NCNO Options History — February 2022

In February 2022, NCNO traded between $39.92 and $48.30. ATM implied volatility averaged 63.7%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 0.3% (HV 20d: 63.4%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 5 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.29.

Notable Days

  • 2022-02-18: Highest Volume — 2,642 contracts
  • 2022-02-09: Largest IV drop — 29.1% change
  • 2022-02-08: Highest IV Rank — 63.9%
  • 2022-02-02: Largest Expected Move — 19.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.09$39.92$48.30$46.61$45.58
Max Pain$46.58$45.00$60.00$60.00$45.00
ATM IV63.7%57.5%81.0%64.5%66.3%
Expected Move17.6%16.5%19.1%18.5%19.0%
HV 20d63.4%54.8%68.6%65.5%66.7%
HV 60d70.0%68.4%73.0%68.4%73.0%
IV Rank39.0%30.0%63.9%40.1%42.6%
IV Percentile83.1%69.8%99.2%86.1%89.7%
Term Structure1.2%-10.6%8.8%-6.9%4.1%
VWIV60.1%55.3%67.5%63.8%67.2%
Skew 25d7.8%0.8%16.6%8.7%11.3%
Skew 10d16.3%-10.5%33.4%22.5%22.8%
Call IV 25d59.0%54.3%63.7%59.7%63.3%
Put IV 25d66.8%61.2%79.1%68.3%74.7%
Bid-Ask Spread %70.6555.4384.3164.5284.31
Gamma HHI0.200.170.230.180.17
Net GEX-27.2K-102.1K76.1K-56.3K76.1K
Net DEX9.3M3.6M14.1M10.2M3.6M
Net VEX-78.8K-90.1K-58.1K-90.1K-72.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.160.540.200.25
Total Volume1,511.1051,1902,6421,3391,320
Total OI18,63112,76021,32020,16613,031

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-02-01$46.61$60.0064.5%18.5%65.5%40.1%63.8%8.7%-6.9%-56.3K10.2M-90.1K0.2064.52N/AN/A1,11922012,0468,120
2022-02-02$44.32$60.0066.7%19.1%67.0%43.2%65.0%1.7%-9.2%-76.4K12.3M-83.4K0.4267.96N/AN/A1,18149212,1448,119
2022-02-03$42.89$45.0073.0%17.0%64.2%52.4%58.3%9.0%2.7%-102.1K14.1M-80.0K0.3561.53N/AN/A1,19241912,1798,284
2022-02-04$45.18$45.0063.8%17.3%67.1%39.1%57.1%7.6%2.7%-78.3K11.8M-85.7K0.4655.43N/AN/A90841712,1818,301
2022-02-07$44.80$45.0067.0%17.2%66.7%43.7%60.1%8.6%1.6%-73.1K11.6M-83.3K0.4863.62N/AN/A98947112,2918,196
2022-02-08$46.54$45.0081.0%17.1%68.6%63.9%55.4%6.1%1.7%-58.5K10.7M-82.7K0.5466.01N/AN/A91248912,2948,194
2022-02-09$48.30$45.0057.5%16.5%67.8%30.0%55.3%6.9%2.4%-27.2K7.8M-86.8K0.3058.87N/AN/A1,00430412,3068,197
2022-02-10$47.69$45.0058.2%16.7%66.7%31.0%57.0%7.9%4.2%-17.2K7.7M-87.9K0.2771.60N/AN/A98426912,5218,193
2022-02-11$47.16$45.0063.7%18.3%63.7%39.0%59.0%9.3%1.0%-33.5K8.8M-86.3K0.2765.66N/AN/A98926912,5388,195
2022-02-14$46.57$45.0064.0%18.3%63.0%39.4%58.7%7.0%0.3%-22.4K9.4M-82.6K0.2672.79N/AN/A98525812,6838,196
2022-02-15$48.27$45.0061.1%17.5%54.8%35.2%55.5%9.2%-2.5%2.6K8.1M-84.8K0.2171.48N/AN/A1,26126712,6868,179
2022-02-16$46.75$45.0060.0%17.2%56.2%33.7%59.0%16.6%1.5%24.5K9.3M-79.4K0.2280.18N/AN/A1,27428613,1918,129
2022-02-17$44.24$45.0058.1%16.7%60.0%31.0%67.5%2.6%5.2%-43.1K11.6M-76.1K0.1680.31N/AN/A2,06133012,7108,149
2022-02-18$42.72$45.0058.3%16.7%60.3%31.2%58.2%0.8%5.9%-5.7K13.5M-72.1K0.1676.92N/AN/A2,28335912,9028,173
2022-02-22$41.82$45.0065.0%18.6%57.6%40.9%62.9%9.4%4.7%-4.2K5.9M-68.9K0.2682.91N/AN/A1,2413237,1015,659
2022-02-23$39.92$45.0061.9%17.8%57.6%36.4%61.9%7.5%8.8%-52.6K8.6M-58.1K0.1971.79N/AN/A1,1452227,2175,760
2022-02-24$43.63$45.0061.3%17.6%66.1%35.5%61.6%6.8%4.7%20.0K5.3M-70.5K0.2875.16N/AN/A1,0012777,1825,768
2022-02-25$43.68$45.0059.8%17.1%65.7%33.4%59.5%11.5%-10.6%11.3K6.1M-65.7K0.3071.28N/AN/A9122787,1955,779
2022-02-28$45.58$45.0066.3%19.0%66.7%42.6%67.2%11.3%4.1%76.1K3.6M-72.2K0.2584.31N/AN/A1,0572637,2505,781