NCNO Options History — July 2021

In July 2021, NCNO traded between $61.45 and $67.75. ATM implied volatility averaged 42.6%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 14.3% (HV 20d: 28.3%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2021-07-22: Highest Volume — 4,286 contracts
  • 2021-07-14: Largest IV drop — 17.7% change
  • 2021-07-13: Highest IV Rank — 11.5%
  • 2021-07-13: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.23$61.45$67.75$61.45$63.57
Max Pain$64.05$55.00$65.00$55.00$65.00
ATM IV42.6%38.9%50.5%42.8%40.8%
Expected Move12.1%11.1%12.9%12.3%11.7%
HV 20d28.3%24.9%31.3%30.0%29.4%
HV 60d36.9%34.1%37.9%37.0%34.1%
IV Rank3.1%0.0%11.5%2.4%2.1%
IV Percentile6.0%0.0%20.5%4.8%2.4%
Term Structure2.3%-0.8%4.6%0.5%3.5%
VWIV42.0%39.6%45.2%42.5%41.2%
Skew 25d2.0%-0.8%4.3%2.3%-0.3%
Skew 10d3.1%-3.2%5.9%3.1%-0.2%
Call IV 25d41.4%38.6%43.7%42.0%42.0%
Put IV 25d43.4%40.6%46.0%44.3%41.7%
Bid-Ask Spread %50.3116.1767.2958.8453.03
Gamma HHI0.210.190.230.190.22
Net GEX197.5K-157.6K662.0K-145.1K291.0K
Net DEX-6.0M-16.6M3.2M3.2M-3.9M
Net VEX-130.9K-151.6K-115.9K-127.5K-115.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.0423.080.260.78
Total Volume798.524444,286210107
Total OI20,635.52419,21622,48919,21619,835

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-07-01$61.45$55.0042.8%12.3%30.0%2.4%42.5%2.3%0.5%-145.1K3.2M-127.5K0.2658.84N/AN/A1674310,6608,556
2021-07-02$61.60$55.0040.9%11.7%29.6%0.2%40.7%2.6%2.0%-157.6K3.1M-125.6K0.1444.57N/AN/A4696510,6898,552
2021-07-06$61.91$65.0045.1%12.7%29.7%5.1%42.7%2.8%1.7%-145.3K1.9M-122.3K0.0549.35N/AN/A9124310,9898,537
2021-07-07$63.05$65.0045.1%12.5%28.7%5.1%43.6%2.2%2.0%19.1K-3.1M-130.0K0.6059.63N/AN/A1669911,6078,524
2021-07-08$63.54$65.0045.5%12.7%25.5%5.5%43.5%2.5%1.6%37.5K-4.3M-128.3K0.2162.33N/AN/A661411,6338,517
2021-07-09$65.44$65.0041.6%12.4%27.3%1.1%43.5%2.1%2.2%238.3K-11.0M-131.5K0.0456.61N/AN/A1,0994611,6298,517
2021-07-12$64.09$65.0046.9%12.9%25.7%7.3%44.4%2.2%0.9%186.5K-8.4M-128.5K0.8349.24N/AN/A786512,6488,493
2021-07-13$63.00$65.0050.5%12.9%26.4%11.5%43.2%4.0%-0.8%69.7K-5.1M-124.4K0.5344.46N/AN/A1166212,6518,542
2021-07-14$63.31$65.0041.6%11.9%24.9%1.0%41.4%2.9%1.5%44.6K-4.9M-121.8K1.7150.32N/AN/A7061,20812,5718,551
2021-07-15$63.47$65.0042.0%12.0%24.9%1.5%41.4%2.1%2.5%-52.3K205.1K-136.1K0.4835.19N/AN/A34016412,5889,669
2021-07-16$65.76$65.0040.1%11.5%27.2%0.0%39.8%1.7%4.2%258.6K-11.2M-143.2K0.0547.50N/AN/A1,8998612,6429,847
2021-07-19$64.68$65.0044.3%12.7%27.0%5.0%42.9%2.4%1.1%71.7K-3.4M-150.2K0.2167.29N/AN/A2525411,9799,469
2021-07-20$66.43$65.0042.1%12.1%28.7%2.4%40.6%4.3%1.9%277.0K-10.4M-151.6K0.1765.94N/AN/A2153712,0739,493
2021-07-21$67.75$65.0038.9%11.1%28.4%0.0%40.1%2.0%4.6%480.8K-16.6M-150.3K0.1062.60N/AN/A1,54714812,2659,510
2021-07-22$67.70$65.0039.8%11.4%28.4%1.0%41.4%2.4%3.5%402.1K-14.8M-143.9K23.0852.72N/AN/A1784,10811,9789,506
2021-07-23$66.01$65.0039.6%11.4%30.0%0.9%39.6%2.1%3.7%662.0K-13.1M-133.3K0.1229.92N/AN/A2423012,6777,425
2021-07-26$64.50$65.0041.3%11.8%30.4%2.8%41.3%0.7%3.1%471.4K-7.7M-123.8K0.2530.19N/AN/A1844612,6777,425
2021-07-27$63.26$65.0041.6%11.9%31.3%3.1%45.2%1.6%3.1%313.9K-3.2M-120.1K0.0465.26N/AN/A1,4075312,8087,507
2021-07-28$64.26$65.0042.3%12.1%31.1%3.9%42.7%0.7%2.8%447.9K-7.0M-121.9K0.9655.24N/AN/A10410012,8717,508
2021-07-29$64.10$65.0041.5%11.9%29.8%3.0%40.5%-0.8%3.4%374.9K-6.4M-118.5K2.3816.17N/AN/A133112,2277,501
2021-07-30$63.57$65.0040.8%11.7%29.4%2.1%41.2%-0.3%3.5%291.0K-3.9M-115.9K0.7853.03N/AN/A604712,2647,571