NCNO Options History — December 2021

In December 2021, NCNO traded between $48.01 and $59.86. ATM implied volatility averaged 58.5%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded below realized volatility by 27.5% (HV 20d: 86.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2021-12-16: Highest Volume — 3,459 contracts
  • 2021-12-14: Largest IV spike — 60.0% change
  • 2021-12-01: Highest IV Rank — 100.0%
  • 2021-12-01: Largest Expected Move — 23.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.26$48.01$59.86$59.86$55.10
Max Pain$62.95$60.00$65.00$65.00$60.00
ATM IV58.5%45.9%106.1%80.9%46.5%
Expected Move15.2%13.2%23.2%23.2%13.3%
HV 20d86.0%43.4%92.8%43.4%59.4%
HV 60d60.1%40.2%62.7%40.2%62.1%
IV Rank41.1%13.3%100.0%100.0%14.2%
IV Percentile64.9%41.3%100.0%100.0%43.7%
Term Structure-2.5%-21.1%2.3%-21.1%0.5%
VWIV51.2%40.1%78.1%78.1%46.5%
Skew 25d8.4%4.9%19.7%11.7%6.9%
Skew 10d16.0%11.4%32.1%22.6%14.6%
Call IV 25d49.1%42.4%73.7%73.7%42.8%
Put IV 25d57.5%49.7%85.3%85.3%49.7%
Bid-Ask Spread %52.6429.8963.4933.6052.03
Gamma HHI0.230.140.320.250.18
Net GEX-148.4K-445.9K135.5K-228.3K8.7K
Net DEX9.0M1.1M21.7M8.1M5.3M
Net VEX-73.6K-95.9K-37.7K-78.0K-78.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.122.120.831.16
Total Volume1,927.7271,3823,4591,8391,504
Total OI14,112.81811,62617,65111,62613,853

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$59.86$65.0080.9%23.2%43.4%100.0%78.1%11.7%-21.1%-228.3K8.1M-78.0K0.8333.60N/AN/A1,0068335,9555,671
2021-12-02$49.55$65.0069.4%19.9%75.3%73.9%62.9%12.6%-10.7%-257.4K21.4M-43.1K0.8143.81N/AN/A1,2821,0446,6266,028
2021-12-03$48.01$60.0062.8%18.0%74.6%59.0%62.1%19.7%-5.0%-179.3K21.7M-37.7K0.3553.22N/AN/A1,4875256,8546,008
2021-12-06$54.10$65.0078.3%15.7%90.1%94.0%45.9%11.6%-2.8%-225.8K12.8M-60.6K0.8863.49N/AN/A7356477,4865,700
2021-12-07$56.05$65.0058.2%15.0%91.9%48.7%53.2%7.3%-1.6%-318.5K10.2M-62.0K0.9156.47N/AN/A8437717,5895,633
2021-12-08$57.20$65.0056.3%14.8%92.4%44.3%51.4%6.4%-1.2%-370.6K8.1M-66.3K2.1242.91N/AN/A4731,0017,7945,845
2021-12-09$55.54$65.0060.5%14.9%91.3%53.9%53.7%6.2%-2.1%-316.8K11.2M-62.0K1.5655.62N/AN/A1,0511,6357,7815,920
2021-12-10$55.24$65.0056.5%14.4%91.3%44.8%53.0%5.4%-0.0%-341.0K12.3M-71.3K1.4856.55N/AN/A1,0451,5498,3956,738
2021-12-13$54.61$65.0066.3%14.3%91.2%67.0%51.6%6.8%0.3%-334.3K14.0M-67.4K0.4356.03N/AN/A1,6877228,4396,989
2021-12-14$54.56$65.00106.1%14.5%90.9%100.0%51.5%7.3%0.5%-325.0K13.6M-69.5K0.3262.11N/AN/A1,1353679,1797,020
2021-12-15$56.97$65.0051.9%14.9%92.8%22.1%52.1%8.3%-2.0%-445.9K9.4M-79.4K0.2159.72N/AN/A1,9294039,1847,153
2021-12-16$55.21$65.0050.3%14.4%92.6%19.7%50.7%8.3%-1.0%-340.9K12.7M-74.2K0.1257.88N/AN/A3,0823779,8957,139
2021-12-17$57.06$65.0048.5%13.9%89.0%17.1%51.3%6.5%2.0%-2277.3M-85.0K0.1360.90N/AN/A2,30230410,4497,202
2021-12-20$55.03$65.0052.0%14.9%89.7%22.1%50.7%7.9%-1.5%1.1K5.6M-80.8K0.3857.84N/AN/A1,0914167,8024,997
2021-12-21$57.03$60.0051.3%14.7%90.5%21.1%47.1%7.6%-2.7%102.2K2.0M-85.7K0.4451.63N/AN/A1,5376827,9734,868
2021-12-22$56.83$60.0048.4%13.9%90.5%17.0%45.4%7.2%2.3%106.3K1.6M-95.9K0.7549.91N/AN/A9116828,5535,185
2021-12-23$57.02$60.0055.3%15.9%90.5%26.9%44.9%9.5%-9.7%135.5K1.1M-95.3K0.8559.23N/AN/A8066848,5595,187
2021-12-27$54.89$60.0047.3%13.5%91.3%15.3%46.4%7.6%0.2%10.8K5.6M-81.7K0.9147.29N/AN/A7747078,5235,188
2021-12-28$55.35$60.0047.3%13.6%91.2%15.4%43.6%4.9%0.6%27.9K4.7M-83.3K0.8959.95N/AN/A7576758,5315,199
2021-12-29$54.57$60.0047.0%13.5%91.0%15.0%44.1%6.5%0.3%-14.5K6.4M-78.4K0.8748.11N/AN/A7606618,5255,202
2021-12-30$56.01$60.0045.9%13.2%91.0%13.3%40.1%8.5%0.4%41.4K3.8M-82.5K0.6029.89N/AN/A9565728,5285,137
2021-12-31$55.10$60.0046.5%13.3%59.4%14.2%46.5%6.9%0.5%8.7K5.3M-78.5K1.1652.03N/AN/A6978078,7205,133