NCNO Options History — June 2021

In June 2021, NCNO traded between $60.20 and $65.16. ATM implied volatility averaged 44.9%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 10.2% (HV 20d: 34.6%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.48.

Notable Days

  • 2021-06-18: Highest Volume — 2,843 contracts
  • 2021-06-03: Largest IV drop — 18.4% change
  • 2021-06-02: Highest IV Rank — 20.8%
  • 2021-06-02: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.71$60.20$65.16$61.63$60.20
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV44.9%40.7%59.8%58.6%43.0%
Expected Move12.8%11.7%17.1%16.8%12.3%
HV 20d34.6%27.5%47.8%47.8%29.2%
HV 60d42.4%36.8%52.0%52.0%36.8%
IV Rank3.6%0.0%20.8%19.5%2.6%
IV Percentile5.9%0.0%40.3%28.3%4.9%
Term Structure0.6%-8.8%3.2%-7.9%0.8%
VWIV44.8%39.5%59.3%58.6%46.8%
Skew 25d2.0%0.6%3.0%2.0%1.1%
Skew 10d4.9%-1.0%10.0%2.4%-0.1%
Call IV 25d44.1%40.0%58.7%58.3%44.2%
Put IV 25d46.1%41.1%60.9%60.2%45.3%
Bid-Ask Spread %50.6134.6761.5660.2854.16
Gamma HHI0.230.140.850.140.19
Net GEX859.1K-175.7K10.0M294.5K-175.7K
Net DEX-5.4M-18.4M6.9M-4.1M6.9M
Net VEX-145.6K-160.1K-123.3K-160.1K-123.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.033.650.540.22
Total Volume800.1821472,843517727
Total OI22,447.95518,65826,04422,32319,116

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-06-01$61.63$55.0058.6%16.8%47.8%19.5%58.6%2.0%-7.9%294.5K-4.1M-160.1K0.5460.28N/AN/A33518213,4788,845
2021-06-02$61.47$55.0059.8%17.1%43.5%20.8%59.3%2.2%-8.8%280.8K-3.5M-158.5K0.4145.96N/AN/A76231413,6078,964
2021-06-03$60.99$55.0048.8%13.2%42.9%7.7%46.2%2.4%0.5%297.0K-1.8M-154.0K0.3738.16N/AN/A1,16543214,0159,216
2021-06-04$61.83$55.0045.6%13.0%41.4%3.9%45.7%1.9%0.2%450.8K-4.9M-155.0K0.1034.67N/AN/A8248014,4039,285
2021-06-07$61.77$55.0046.7%13.2%41.5%5.3%45.3%1.7%-0.2%522.5K-4.5M-150.8K0.4141.82N/AN/A39816214,9209,253
2021-06-08$63.51$55.0046.4%12.8%41.8%4.8%45.3%2.7%0.6%712.2K-10.9M-153.3K0.1642.62N/AN/A4296715,0029,235
2021-06-09$61.27$55.0045.3%13.0%43.1%3.5%46.0%1.9%1.4%515.2K-2.9M-147.2K3.6550.74N/AN/A14653315,3059,217
2021-06-10$61.72$55.0043.7%12.5%35.7%1.6%42.7%2.0%1.8%557.6K-4.0M-144.8K0.2452.77N/AN/A1192815,2889,065
2021-06-11$63.95$55.0042.7%12.2%34.5%0.5%42.9%2.2%1.9%941.3K-12.5M-147.7K1.8154.17N/AN/A21939715,3149,063
2021-06-14$64.09$55.0043.9%12.6%34.2%1.9%42.9%2.4%0.8%1.0M-12.9M-143.9K0.1036.43N/AN/A1,58715415,3509,284
2021-06-15$62.56$55.0043.0%12.3%36.6%0.9%43.1%1.5%1.8%786.0K-6.6M-143.3K0.2954.74N/AN/A2166316,3099,296
2021-06-16$62.56$55.0042.7%12.3%32.6%0.5%43.0%2.6%2.0%807.3K-6.8M-141.6K0.4957.09N/AN/A1999716,3509,319
2021-06-17$63.74$55.0042.3%12.1%30.7%0.0%42.2%2.0%3.2%1.4M-10.8M-140.7K0.0652.55N/AN/A1,1386616,2749,316
2021-06-18$64.99$55.0043.5%12.5%29.3%1.5%42.9%3.0%1.1%10.0M-18.4M-146.0K0.0361.42N/AN/A2,7489516,7149,330
2021-06-21$65.16$55.0042.6%12.2%29.3%0.4%42.6%2.0%1.4%174.4K-8.6M-151.4K0.0652.77N/AN/A2971910,3168,342
2021-06-22$63.93$55.0041.6%11.9%28.2%0.0%41.4%2.2%1.8%111.7K-4.6M-146.5K0.1461.56N/AN/A4977110,5448,339
2021-06-23$63.96$55.0041.1%11.8%27.8%0.0%41.0%2.6%2.5%130.0K-5.1M-146.1K0.3550.67N/AN/A83128910,6458,312
2021-06-24$63.68$55.0041.0%11.8%27.7%0.0%41.0%2.7%1.8%91.7K-4.1M-142.6K0.2151.75N/AN/A2505310,7128,329
2021-06-25$62.49$55.0040.8%11.7%28.7%0.0%39.5%1.2%2.0%21.6K-760.0K-140.2K0.1458.03N/AN/A1992711,0128,361
2021-06-28$62.56$55.0040.7%11.7%27.5%0.0%41.0%1.4%2.2%16.3K-984.3K-136.1K0.4151.56N/AN/A1476011,0118,356
2021-06-29$61.54$55.0043.2%12.4%28.1%2.9%45.6%0.6%1.1%-48.5K2.1M-129.5K0.2949.50N/AN/A91326911,0518,392
2021-06-30$60.20$55.0043.0%12.3%29.2%2.6%46.8%1.1%0.8%-175.7K6.9M-123.3K0.2254.16N/AN/A59413310,6288,488