NCNO Options History — November 2021

In November 2021, NCNO traded between $60.29 and $76.84. ATM implied volatility averaged 53.0%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 12.4% (HV 20d: 40.6%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2021-11-18: Highest Volume — 4,169 contracts
  • 2021-11-10: Largest IV spike — 14.1% change
  • 2021-11-30: Highest IV Rank — 87.8%
  • 2021-11-30: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.57$60.29$76.84$75.74$62.00
Max Pain$71.67$65.00$75.00$65.00$65.00
ATM IV53.0%40.9%73.9%40.9%73.9%
Expected Move15.5%11.7%21.2%11.7%21.2%
HV 20d40.6%35.3%48.3%39.2%42.4%
HV 60d45.7%39.9%49.7%44.5%39.9%
IV Rank38.5%10.0%87.8%10.0%87.8%
IV Percentile54.5%15.9%99.2%15.9%99.2%
Term Structure-6.0%-14.2%6.5%4.9%-14.2%
VWIV54.2%40.3%74.8%40.3%72.4%
Skew 25d2.9%0.3%8.8%2.0%7.8%
Skew 10d6.3%0.7%20.7%5.6%20.7%
Call IV 25d53.2%39.9%68.3%39.9%67.2%
Put IV 25d56.1%41.9%75.7%41.9%75.0%
Bid-Ask Spread %52.7634.7467.5361.4354.46
Gamma HHI0.230.170.320.250.24
Net GEX381.8K-616.7K1.4M1.1M-213.4K
Net DEX-8.6M-30.7M16.8M-25.8M5.5M
Net VEX-80.5K-99.4K-54.5K-98.4K-78.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.334.600.350.88
Total Volume1,309.8576584,1691,5581,526
Total OI14,686.9529,72018,06115,70010,902

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-11-01$75.74$65.0040.9%11.7%39.2%10.0%40.3%2.0%4.9%1.1M-25.8M-98.4K0.3561.43N/AN/A1,15340510,0555,645
2021-11-02$74.86$65.0041.0%11.7%39.2%10.3%41.0%1.1%6.5%1.1M-24.3M-98.9K0.4661.35N/AN/A76034910,3275,676
2021-11-03$76.25$65.0041.1%11.8%39.3%10.6%41.2%0.3%6.5%1.3M-28.3M-99.4K0.4567.53N/AN/A67530210,2465,705
2021-11-04$76.84$75.0041.2%13.6%37.5%10.8%47.9%0.4%-4.9%1.4M-30.7M-97.0K0.3946.79N/AN/A69927610,3565,712
2021-11-05$76.53$75.0041.5%13.7%35.6%11.5%48.1%0.6%-4.7%1.3M-30.0M-97.7K0.4546.90N/AN/A58526610,5545,725
2021-11-08$74.21$75.0043.1%14.0%36.7%15.2%47.4%0.4%-6.0%1.0M-22.4M-91.0K0.3334.74N/AN/A73224210,5965,751
2021-11-09$74.63$75.0043.6%14.4%35.6%16.5%50.2%1.3%-6.0%1.1M-23.6M-91.5K0.4648.07N/AN/A71032410,6955,765
2021-11-10$70.58$75.0049.8%14.3%36.4%30.9%49.4%0.6%-6.5%402.9K-12.4M-82.1K0.5049.74N/AN/A61230410,7795,865
2021-11-11$69.59$75.0049.4%14.2%36.5%30.1%49.0%0.6%-5.6%197.7K-9.4M-76.4K0.4045.98N/AN/A59923710,7585,800
2021-11-12$69.49$75.0049.0%14.0%35.3%29.1%49.2%1.4%-5.9%190.2K-9.6M-74.8K0.5753.14N/AN/A47627010,8055,809
2021-11-15$70.33$75.0049.7%14.3%35.6%30.8%49.7%2.0%-6.6%317.6K-12.5M-71.4K0.7651.91N/AN/A37328510,8275,695
2021-11-16$70.89$75.0049.9%14.3%35.4%31.2%50.9%2.1%-6.3%425.5K-13.4M-70.6K0.9653.05N/AN/A67865010,8355,824
2021-11-17$68.36$75.0050.2%14.4%37.4%32.0%50.4%3.1%-6.7%64.6K-6.5M-64.0K1.0056.20N/AN/A53453210,6746,030
2021-11-18$62.55$75.0057.2%16.4%48.3%48.5%59.2%4.7%-6.2%-616.7K12.8M-54.5K2.4652.58N/AN/A1,2052,96410,3856,105
2021-11-19$62.73$70.0058.8%16.9%47.4%52.2%58.4%2.9%-8.4%-55.7K16.8M-64.9K2.5556.17N/AN/A7451,89910,4347,627
2021-11-22$61.07$70.0061.8%17.7%47.8%59.1%60.7%3.4%-8.9%-216.5K6.8M-74.3K1.2654.16N/AN/A8301,0464,9844,736
2021-11-23$60.74$70.0064.6%18.5%47.1%65.8%63.7%5.8%-10.1%-200.8K7.0M-76.2K0.6849.51N/AN/A7355035,1034,878
2021-11-24$61.02$70.0064.9%18.6%47.1%66.5%64.2%4.6%-9.6%-182.2K6.3M-77.4K0.6354.86N/AN/A4432795,2594,909
2021-11-26$60.29$70.0070.6%20.2%46.4%79.9%69.4%6.4%-13.1%-172.1K6.7M-76.6K0.9555.44N/AN/A3403245,3714,924
2021-11-29$61.21$70.0070.6%20.2%45.9%80.0%74.8%8.8%-13.7%-170.3K5.8M-75.1K4.6053.92N/AN/A2931,3475,3534,947
2021-11-30$62.00$65.0073.9%21.2%42.4%87.8%72.4%7.8%-14.2%-213.4K5.5M-78.3K0.8854.46N/AN/A8107165,4445,458