NCNO Options History — August 2021

In August 2021, NCNO traded between $59.73 and $64.38. ATM implied volatility averaged 46.4%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 19.8% (HV 20d: 26.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.88.

Notable Days

  • 2021-08-26: Highest Volume — 1,649 contracts
  • 2021-08-11: Largest IV spike — 10.9% change
  • 2021-08-31: Highest IV Rank — 18.1%
  • 2021-08-31: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.86$59.73$64.38$64.20$62.02
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV46.4%40.7%54.7%42.4%54.7%
Expected Move13.5%11.9%15.7%12.2%15.7%
HV 20d26.6%22.5%30.7%29.5%24.9%
HV 60d29.5%27.2%33.7%33.6%27.8%
IV Rank8.6%2.0%18.1%4.1%18.1%
IV Percentile20.2%1.6%35.7%8.5%35.7%
Term Structure-3.4%-11.5%4.9%3.3%-11.5%
VWIV47.4%42.6%52.7%42.6%52.7%
Skew 25d1.5%-1.0%4.5%-0.1%3.7%
Skew 10d3.0%-3.6%7.7%-0.7%-3.6%
Call IV 25d46.9%43.5%49.7%43.5%49.7%
Put IV 25d48.4%42.9%53.5%43.5%53.4%
Bid-Ask Spread %50.8725.4262.5459.3955.07
Gamma HHI0.280.190.750.230.19
Net GEX-119.9K-2.7M452.4K358.8K79.9K
Net DEX3.2M-6.9M16.5M-6.4M187.0K
Net VEX-86.8K-112.5K-71.4K-112.5K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.044.270.044.27
Total Volume508.318711,649539627
Total OI17,509.59,43821,81019,85611,749

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-08-02$64.20$65.0042.4%12.2%29.5%4.1%42.6%-0.1%3.3%358.8K-6.4M-112.5K0.0459.39N/AN/A5162312,2747,582
2021-08-03$63.35$65.0042.6%12.2%30.0%4.3%43.9%-1.0%3.8%236.6K-2.8M-106.8K0.2258.47N/AN/A71816012,2707,613
2021-08-04$63.73$65.0041.5%11.9%29.4%3.0%44.7%-0.6%4.9%321.6K-4.6M-109.0K0.2759.93N/AN/A561512,6167,625
2021-08-05$64.38$65.0041.0%13.0%29.4%2.5%45.3%1.1%-2.8%452.4K-6.9M-109.4K2.4441.86N/AN/A4811713,0517,722
2021-08-06$63.67$65.0040.7%12.9%27.6%2.0%45.8%0.6%-2.5%326.9K-4.2M-104.4K0.5549.22N/AN/A492713,0497,705
2021-08-09$63.93$65.0040.7%13.1%26.7%2.0%45.8%0.9%-2.8%377.3K-5.3M-99.0K2.4443.49N/AN/A28770013,0317,784
2021-08-10$62.63$65.0041.4%13.0%27.0%2.8%46.0%1.8%-3.0%133.3K403.9K-94.3K0.0448.28N/AN/A231913,0427,786
2021-08-11$60.13$65.0045.9%13.2%30.5%8.0%46.3%0.9%-2.9%-250.4K11.0M-78.6K0.3051.76N/AN/A82724612,9597,665
2021-08-12$60.58$65.0045.5%13.0%30.7%7.6%45.7%1.1%-3.3%-229.5K9.7M-78.4K0.7444.94N/AN/A1067813,1077,665
2021-08-13$61.38$65.0044.9%12.9%27.9%6.8%44.9%1.7%-2.8%-208.4K8.1M-80.2K0.6354.20N/AN/A37923913,0497,734
2021-08-16$62.09$65.0047.8%13.7%27.9%10.2%47.8%1.8%-4.9%-156.5K6.2M-76.6K0.8451.95N/AN/A35830112,9567,765
2021-08-17$61.07$65.0048.6%13.9%26.2%11.1%48.8%1.1%-5.5%-353.1K10.4M-77.0K2.3357.86N/AN/A7216813,2987,995
2021-08-18$60.79$65.0047.9%13.7%24.6%10.3%49.0%2.2%-4.7%-498.5K11.9M-78.3K0.4662.54N/AN/A502313,5478,229
2021-08-19$59.73$65.0049.7%14.3%24.9%12.4%49.9%1.2%-4.7%-744.6K16.5M-73.6K0.3261.95N/AN/A58418913,5438,267
2021-08-20$59.95$65.0048.7%14.0%24.1%11.2%51.1%1.5%-3.9%-2.7M15.2M-71.4K0.6042.47N/AN/A63038113,5608,113
2021-08-23$60.93$65.0048.1%13.8%24.2%10.6%48.8%1.1%-3.3%11.0K2.1M-72.0K0.6956.60N/AN/A1541065,6553,783
2021-08-24$61.01$65.0048.6%13.9%23.4%11.1%48.3%2.4%-3.9%14.1K2.0M-73.9K0.2151.67N/AN/A324675,7833,823
2021-08-25$61.05$65.0048.1%13.8%22.5%10.6%48.0%1.8%-4.3%7.2K2.2M-73.4K0.4851.56N/AN/A66325,8883,921
2021-08-26$60.15$65.0048.8%14.0%22.9%11.4%48.7%2.1%-4.8%-14.4K3.2M-71.8K0.9725.42N/AN/A8378126,1163,981
2021-08-27$61.85$65.0050.6%14.5%25.3%13.4%48.2%4.0%-7.0%61.7K796.8K-75.7K0.0540.86N/AN/A13176,1564,016
2021-08-30$62.39$65.0052.1%14.9%25.3%15.1%51.4%4.5%-7.8%97.3K-342.3K-96.9K0.3749.72N/AN/A3161176,9664,770
2021-08-31$62.02$65.0054.7%15.7%24.9%18.1%52.7%3.7%-11.5%79.9K187.0K-96.0K4.2755.07N/AN/A1195086,9714,778