NCNO Options History — January 2022

In January 2022, NCNO traded between $41.18 and $56.10. ATM implied volatility averaged 60.7%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 8.0% (HV 20d: 52.7%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.17.

Notable Days

  • 2022-01-14: Highest Volume — 7,030 contracts
  • 2022-01-25: Largest IV spike — 26.3% change
  • 2022-01-25: Highest IV Rank — 65.9%
  • 2022-01-25: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.14$41.18$56.10$56.10$45.21
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV60.7%46.7%82.4%47.1%64.7%
Expected Move17.1%13.4%23.6%13.5%18.5%
HV 20d52.7%41.3%64.7%57.9%64.7%
HV 60d64.5%61.7%68.0%61.7%68.0%
IV Rank34.7%14.6%65.9%15.1%40.4%
IV Percentile75.9%44.8%99.6%46.0%86.9%
Term Structure-3.4%-16.9%6.4%-0.5%-5.4%
VWIV58.4%43.6%76.4%43.6%66.2%
Skew 25d8.2%-7.9%46.4%7.3%7.1%
Skew 10d15.7%4.8%56.6%14.6%16.2%
Call IV 25d57.2%43.0%85.7%43.0%62.0%
Put IV 25d65.5%50.1%96.5%50.4%69.1%
Bid-Ask Spread %57.8624.3578.3958.2265.09
Gamma HHI0.180.140.210.180.18
Net GEX-117.9K-245.1K40.0K40.0K-70.2K
Net DEX14.3M4.4M22.9M4.4M11.7M
Net VEX-76.4K-86.8K-65.5K-84.6K-86.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.245.191.450.24
Total Volume2,678.51,1307,0301,3691,130
Total OI18,233.614,14522,08714,14520,055

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-01-03$56.10$60.0047.1%13.5%57.9%15.1%43.6%7.3%-0.5%40.0K4.4M-84.6K1.4558.22N/AN/A5588118,7775,368
2022-01-04$54.72$60.0046.7%13.4%41.3%14.6%46.5%6.2%1.0%-9.5K6.3M-81.3K1.4924.35N/AN/A5558288,7815,367
2022-01-05$51.20$60.0056.5%16.2%45.5%28.6%53.2%46.4%-6.3%-131.4K11.1M-65.5K2.2971.54N/AN/A8251,8888,7895,388
2022-01-06$52.23$60.0058.1%15.4%45.5%30.9%53.6%8.0%-1.8%-120.6K10.5M-73.7K3.4854.32N/AN/A3911,3599,1956,088
2022-01-07$50.87$60.0057.3%15.2%45.3%29.8%48.6%6.8%1.5%-172.8K13.1M-70.9K5.1942.54N/AN/A2441,2679,2516,323
2022-01-10$50.50$60.0063.2%15.9%45.3%38.3%59.7%7.8%-2.1%-177.1K13.2M-69.1K0.5654.71N/AN/A1,9351,0849,2536,323
2022-01-11$52.87$60.0056.1%14.2%48.6%28.1%50.9%4.7%2.1%-22.5K7.7M-78.6K1.7152.03N/AN/A1,3792,3619,4756,338
2022-01-12$50.93$60.0050.4%14.4%50.2%19.8%49.2%3.5%-0.8%-146.8K12.6M-77.3K1.0556.54N/AN/A1,6721,7599,6057,825
2022-01-13$48.09$60.0051.2%14.7%50.5%20.9%53.2%5.0%0.4%-212.0K17.6M-72.3K0.8427.94N/AN/A1,6351,3799,9138,512
2022-01-14$46.68$60.0054.0%15.5%50.4%25.0%50.9%6.4%-0.3%-245.1K20.1M-69.5K0.4262.61N/AN/A4,9572,0739,7428,908
2022-01-18$42.73$60.0059.7%17.1%55.4%33.2%62.1%6.2%-6.1%-182.4K22.2M-68.9K0.2759.89N/AN/A5,0151,34411,8389,069
2022-01-19$43.48$60.0058.3%16.7%55.8%31.2%57.6%5.9%-2.4%-188.9K22.4M-72.6K0.6365.57N/AN/A1,9041,19812,0509,513
2022-01-20$43.34$60.0056.7%16.3%53.1%28.9%57.2%5.6%-0.9%-167.0K22.5M-73.4K0.9361.95N/AN/A1,4471,34112,3039,511
2022-01-21$42.02$60.0067.5%19.3%53.3%44.4%65.3%9.2%-5.4%-139.9K22.9M-70.7K0.6764.62N/AN/A1,9351,28912,5989,489
2022-01-24$44.26$60.0065.2%18.7%58.1%41.2%63.8%8.6%-1.3%-100.4K13.3M-86.7K0.5278.39N/AN/A1,41473211,4517,920
2022-01-25$42.27$60.0082.4%23.6%58.6%65.9%76.4%10.1%-16.6%-62.8K13.0M-85.4K0.6060.51N/AN/A1,23974011,8827,943
2022-01-26$41.84$60.0076.5%21.9%58.1%57.4%69.5%12.9%-16.9%-81.6K13.9M-82.8K0.2765.75N/AN/A1,10930211,9087,983
2022-01-27$41.18$60.0070.1%20.1%58.1%48.2%73.2%-7.9%6.4%-51.9K13.1M-82.8K0.4870.60N/AN/A87041611,9407,945
2022-01-28$42.35$60.0072.4%20.8%58.3%51.6%66.4%4.8%-12.6%-114.6K15.2M-75.1K0.3560.04N/AN/A87630911,9478,106
2022-01-31$45.21$60.0064.7%18.5%64.7%40.4%66.2%7.1%-5.4%-70.2K11.7M-86.8K0.2465.09N/AN/A90822211,9408,115