NCNO Options History — October 2021

In October 2021, NCNO traded between $68.78 and $74.81. ATM implied volatility averaged 39.4%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded below realized volatility by 0.0% (HV 20d: 39.4%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2021-10-12: Highest Volume — 2,456 contracts
  • 2021-10-11: Largest IV spike — 18.8% change
  • 2021-10-04: Highest IV Rank — 19.6%
  • 2021-10-04: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.35$68.78$74.81$72.02$72.50
Max Pain$65.48$65.00$75.00$75.00$65.00
ATM IV39.4%37.0%45.0%41.1%38.5%
Expected Move11.2%10.6%12.2%11.8%11.0%
HV 20d39.4%34.6%43.2%34.6%39.7%
HV 60d42.8%41.1%43.8%41.1%43.8%
IV Rank6.6%0.8%19.6%10.5%4.5%
IV Percentile7.7%0.4%28.2%11.1%6.0%
Term Structure4.0%-0.5%7.1%-0.5%7.1%
VWIV39.1%35.9%43.0%41.1%38.1%
Skew 25d1.5%0.3%2.9%2.2%2.4%
Skew 10d3.5%1.3%8.0%2.7%2.7%
Call IV 25d38.5%36.8%42.0%39.4%37.3%
Put IV 25d40.0%37.9%43.7%41.6%39.7%
Bid-Ask Spread %50.6424.5468.7768.7768.53
Gamma HHI0.190.170.220.210.19
Net GEX366.4K-364.2K823.5K367.2K673.4K
Net DEX-13.0M-23.4M-3.9M-11.3M-17.3M
Net VEX-101.5K-114.0K-92.5K-114.0K-96.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.072.210.620.79
Total Volume818.9051012,456151852
Total OI16,582.14314,10718,80316,71715,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-10-01$72.02$75.0041.1%11.8%34.6%10.5%41.1%2.2%-0.5%367.2K-11.3M-114.0K0.6268.77N/AN/A935811,5505,167
2021-10-04$69.03$65.0045.0%12.2%36.3%19.6%43.0%1.7%1.2%-103.7K-4.7M-107.2K0.9153.56N/AN/A534811,6495,886
2021-10-05$70.41$65.0041.6%11.9%36.6%11.8%41.3%1.4%1.0%-15.6K-8.4M-106.5K0.1840.98N/AN/A1733111,6865,891
2021-10-06$69.82$65.0041.8%11.7%35.4%12.2%40.7%1.3%1.4%-147.1K-6.3M-104.1K0.2452.48N/AN/A62615111,6965,914
2021-10-07$72.36$65.0039.2%11.4%37.0%6.1%40.0%0.3%2.2%285.2K-15.0M-107.1K2.0543.04N/AN/A15431511,8135,942
2021-10-08$70.22$65.0037.0%11.2%38.2%0.8%39.6%1.0%2.7%-169.5K-8.4M-104.0K0.2746.70N/AN/A2526812,0166,093
2021-10-11$68.78$65.0043.9%11.2%38.7%17.2%39.5%1.3%3.0%-364.2K-3.9M-95.3K0.3455.80N/AN/A2699111,9986,038
2021-10-12$70.69$65.0042.1%11.6%39.9%12.8%40.3%1.3%1.7%-183.0K-10.2M-96.6K2.2132.79N/AN/A7661,69011,8476,049
2021-10-13$74.46$65.0039.7%11.4%43.2%7.1%39.5%1.4%2.1%643.6K-22.2M-99.4K0.1349.86N/AN/A6488611,8266,094
2021-10-14$74.81$65.0038.6%11.1%42.3%4.6%38.8%0.4%5.3%823.5K-23.4M-105.5K0.0743.75N/AN/A1,4919712,1676,412
2021-10-15$72.70$65.0037.1%10.6%43.2%1.2%37.4%0.5%5.6%682.8K-16.9M-101.9K0.5856.02N/AN/A17610212,3586,445
2021-10-18$72.20$65.0037.8%10.8%41.3%2.9%38.0%0.9%5.8%726.5K-17.4M-102.5K1.0437.80N/AN/A2002099,6784,429
2021-10-19$73.08$65.0037.4%10.7%40.5%1.9%37.0%2.0%5.3%795.9K-19.2M-103.6K0.1061.84N/AN/A533519,6874,502
2021-10-20$72.16$65.0038.0%10.9%40.5%3.2%36.7%1.6%5.4%751.8K-17.0M-105.7K0.3324.54N/AN/A79826010,2634,727
2021-10-21$71.85$65.0037.4%10.7%40.5%1.7%36.8%1.3%6.0%704.7K-16.2M-102.7K0.5539.43N/AN/A50027610,2564,772
2021-10-22$69.52$65.0038.5%11.0%41.5%4.3%41.3%2.0%4.9%424.1K-9.8M-98.0K1.9545.08N/AN/A41681210,3814,803
2021-10-25$69.91$65.0038.5%11.0%41.3%4.3%38.2%1.6%5.9%404.0K-10.6M-95.9K0.6153.07N/AN/A48729810,4005,217
2021-10-26$71.04$65.0038.3%11.0%39.0%4.0%38.0%2.9%6.5%552.1K-13.3M-96.8K0.7866.78N/AN/A40931910,3925,248
2021-10-27$69.85$65.0038.5%11.0%39.0%4.4%39.6%1.7%5.9%389.8K-10.1M-92.5K0.4459.78N/AN/A1,22954010,4255,284
2021-10-28$70.99$65.0038.1%10.9%39.3%3.4%35.9%2.6%6.5%452.8K-12.4M-95.4K0.4262.79N/AN/A1,10546510,0455,553
2021-10-29$72.50$65.0038.5%11.0%39.7%4.5%38.1%2.4%7.1%673.4K-17.3M-96.2K0.7968.53N/AN/A47737510,0365,590