NCNO Options History — September 2021

In September 2021, NCNO traded between $63.23 and $78.28. ATM implied volatility averaged 40.4%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 14.3% (HV 20d: 54.7%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.47.

Notable Days

  • 2021-09-02: Highest Volume — 10,509 contracts
  • 2021-09-02: Largest IV drop — 24.3% change
  • 2021-09-01: Highest IV Rank — 16.5%
  • 2021-09-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$74.30$63.23$78.28$63.23$71.04
Max Pain$68.10$60.00$75.00$65.00$75.00
ATM IV40.4%36.6%53.3%53.3%42.3%
Expected Move11.6%10.5%15.3%15.3%12.1%
HV 20d54.7%25.9%60.5%25.9%60.4%
HV 60d39.0%27.5%41.2%27.5%41.1%
IV Rank4.4%0.0%16.5%16.5%13.3%
IV Percentile5.5%0.0%34.9%34.9%17.5%
Term Structure-0.2%-9.2%2.4%-9.2%-0.9%
VWIV40.8%37.0%54.5%54.5%42.3%
Skew 25d1.4%0.7%2.5%1.7%0.7%
Skew 10d3.0%-5.3%5.4%5.4%-5.3%
Call IV 25d40.4%36.4%54.0%54.0%42.0%
Put IV 25d41.8%37.6%55.7%55.7%42.6%
Bid-Ask Spread %43.1316.2358.0728.6134.27
Gamma HHI0.250.200.390.200.21
Net GEX1.1M150.1K2.3M150.1K370.7K
Net DEX-30.4M-58.9M-2.2M-2.2M-9.3M
Net VEX-116.3K-129.6K-99.8K-99.8K-116.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.0312.641.3012.64
Total Volume2,007.2868610,5093,9263,368
Total OI17,375.57112,01023,33012,01016,717

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-09-01$63.23$65.0053.3%15.3%25.9%16.5%54.5%1.7%-9.2%150.1K-2.2M-99.8K1.3028.61N/AN/A1,7082,2187,1354,875
2021-09-02$72.65$60.0040.3%11.4%55.8%1.6%40.4%1.2%-0.1%770.8K-23.6M-104.3K0.2548.57N/AN/A8,4162,0937,2105,305
2021-09-03$74.49$60.0038.4%11.5%55.8%0.0%41.6%1.4%-0.2%1.1M-38.3M-108.7K0.6046.94N/AN/A2,8531,7238,9507,313
2021-09-07$75.68$65.0041.9%11.3%55.9%4.0%39.9%1.4%-0.3%1.7M-43.1M-114.1K0.7149.13N/AN/A85260510,9448,354
2021-09-08$73.51$65.0039.5%11.3%56.5%1.3%39.9%1.7%-0.2%1.5M-33.1M-117.1K0.7048.64N/AN/A1,5101,06311,1898,384
2021-09-09$75.10$65.0039.1%11.2%53.7%1.2%40.3%0.8%-0.1%1.6M-39.8M-116.1K0.2844.36N/AN/A51214411,1888,355
2021-09-10$74.17$65.0038.6%11.1%54.3%0.5%39.1%1.4%0.9%1.5M-34.1M-119.3K0.1243.75N/AN/A4425512,2759,094
2021-09-13$73.44$65.0040.7%11.7%54.8%5.2%41.7%1.5%-0.7%1.4M-30.5M-112.4K9.2150.20N/AN/A1741,60212,3909,043
2021-09-14$74.17$65.0040.2%11.5%54.8%4.2%40.7%1.5%-0.2%1.4M-33.7M-109.1K0.0349.75N/AN/A6912212,4919,069
2021-09-15$76.24$70.0039.3%11.3%54.3%2.2%39.6%1.8%0.4%1.8M-45.3M-108.3K0.0553.31N/AN/A2,75615112,5329,194
2021-09-16$78.03$70.0039.5%11.3%54.1%2.5%39.8%1.9%0.0%2.3M-54.3M-109.9K0.0954.29N/AN/A1,0739912,7799,193
2021-09-17$78.28$70.0038.9%11.2%53.1%1.3%38.9%2.1%0.2%978.3K-58.9M-118.3K0.0645.24N/AN/A1,75411014,1379,193
2021-09-20$75.35$70.0042.0%12.0%56.1%8.8%42.1%1.8%0.6%854.8K-25.6M-127.4K0.6756.48N/AN/A3722499,0164,170
2021-09-21$77.18$70.0040.5%11.6%56.2%5.3%40.7%1.2%0.3%1.1M-31.0M-129.6K0.1757.43N/AN/A215369,7544,187
2021-09-22$77.63$70.0038.8%11.1%56.1%0.9%39.2%0.9%1.4%1.2M-32.3M-128.8K0.4358.07N/AN/A112489,9484,246
2021-09-23$77.50$70.0037.6%10.8%56.2%0.0%38.2%1.1%2.1%1.2M-31.9M-127.9K0.2255.10N/AN/A2405310,0464,259
2021-09-24$75.95$70.0036.6%10.5%56.6%0.0%37.0%1.1%2.4%1.1M-27.6M-123.3K1.5616.23N/AN/A1,1601,80410,0754,298
2021-09-27$74.71$70.0038.2%10.9%57.1%3.7%38.2%0.8%0.4%972.1K-24.0M-119.8K0.5920.76N/AN/A543210,2874,321
2021-09-28$71.51$75.0041.4%11.9%60.1%11.4%42.1%0.9%-0.9%421.2K-11.3M-118.6K0.0716.96N/AN/A1,54910911,3795,107
2021-09-29$70.36$75.0040.5%11.6%60.5%9.2%40.8%2.5%-0.5%303.2K-7.9M-113.0K1.0727.63N/AN/A616511,3805,105
2021-09-30$71.04$75.0042.3%12.1%60.4%13.3%42.3%0.7%-0.9%370.7K-9.3M-116.1K12.6434.27N/AN/A2473,12111,5675,150