NCNO Options History — March 2022 In March 2022, NCNO traded between $38.78 and $52.06. ATM implied volatility averaged 95.8%, placing in the 80.2% IV rank vs the trailing year. The 30-day expected move averaged 24.8%. IV traded above realized volatility by 7.5% (HV 20d: 88.3%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 0.21.
Notable Days 2022-03-11 : Highest Volume — 9,403 contracts2022-03-07 : Largest IV spike — 23.4% change2022-03-07 : Highest IV Rank — 100.0%2022-03-08 : Largest Expected Move — 34.1%Monthly Statistics Metric Avg Min Max Open Close Price $45.25 $38.78 $52.06 $48.02 $41.09 Max Pain $48.70 $45.00 $55.00 $45.00 $45.00 ATM IV 95.8% 76.8% 111.1% 76.8% 103.8% Expected Move 24.8% 20.4% 34.1% 22.0% 21.5% HV 20d 88.3% 65.2% 103.9% 65.2% 100.8% HV 60d 70.2% 60.0% 79.9% 63.0% 79.9% IV Rank 80.2% 57.9% 100.0% 57.9% 90.2% IV Percentile 97.9% 95.2% 100.0% 98.0% 97.6% Term Structure -17.3% -32.1% -2.0% -6.7% -28.2% VWIV 88.2% 68.2% 138.2% 74.4% 79.3% Skew 25d 1.0% -11.8% 13.7% 10.6% -0.7% Skew 10d 10.9% -10.1% 69.0% 69.0% -0.2% Call IV 25d 96.1% 69.0% 116.6% 72.8% 108.1% Put IV 25d 97.1% 81.6% 110.8% 83.3% 107.4% Bid-Ask Spread % 64.65 56.66 76.02 72.13 66.18 Gamma HHI 0.21 0.16 0.37 0.19 0.16 Net GEX 508.7K 148.4K 1.3M 148.4K 437.2K Net DEX -6.4M -19.8M 6.7M -477.8K -3.3M Net VEX -96.7K -117.6K -77.9K -79.0K -88.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.21 0.04 0.57 0.16 0.40 Total Volume 3,338.435 1,323 9,403 2,006 3,817 Total OI 22,888.304 13,204 31,714 13,204 26,741
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2022-03-01 $48.02 $45.00 76.8% 22.0% 65.2% 57.9% 74.4% 10.6% -6.7% 148.4K -477.8K -79.0K 0.16 72.13 N/A N/A 1,732 274 7,421 5,783 2022-03-02 $52.06 $45.00 85.9% 24.6% 70.2% 71.0% 81.7% 13.7% -8.1% 288.5K -6.9M -94.8K 0.18 71.98 N/A N/A 2,548 452 8,201 5,811 2022-03-03 $50.37 $45.00 83.2% 23.8% 68.7% 67.0% 83.3% 9.6% -4.9% 423.7K -8.0M -98.2K 0.56 62.20 N/A N/A 999 558 10,025 5,959 2022-03-04 $49.05 $45.00 90.0% 25.8% 68.2% 76.9% 90.4% 6.6% -11.3% 372.0K -5.7M -93.9K 0.14 66.50 N/A N/A 1,602 229 10,277 5,926 2022-03-07 $47.03 $45.00 111.1% 31.8% 68.1% 100.0% 117.0% -3.1% -14.4% 348.5K -4.0M -90.7K 0.12 64.31 N/A N/A 1,646 199 11,102 5,930 2022-03-08 $48.21 $45.00 91.4% 34.1% 68.5% 73.6% 120.8% 3.9% -14.4% 473.4K -7.7M -97.7K 0.12 57.99 N/A N/A 2,882 350 11,818 5,921 2022-03-09 $48.52 $45.00 80.2% 26.9% 67.3% 58.6% 94.4% 7.3% -2.0% 695.4K -10.1M -97.6K 0.12 61.79 N/A N/A 2,812 346 13,400 6,030 2022-03-10 $50.75 $45.00 86.9% 28.7% 67.8% 67.5% 116.9% -3.5% -12.9% 776.6K -19.8M -115.3K 0.57 76.02 N/A N/A 4,224 2,414 13,074 6,019 2022-03-11 $43.43 $50.00 96.3% 33.1% 88.1% 80.1% 138.2% -11.8% -19.2% 307.1K 925.0K -90.0K 0.27 57.67 N/A N/A 7,390 2,013 15,228 7,402 2022-03-14 $38.78 $55.00 107.5% 23.9% 96.2% 95.1% 88.2% -3.5% -26.1% 197.8K 6.7M -77.9K 0.41 60.56 N/A N/A 3,782 1,556 19,203 7,194 2022-03-15 $38.92 $55.00 104.6% 26.1% 96.3% 91.4% 93.2% -7.2% -14.0% 264.0K 4.2M -79.6K 0.32 58.75 N/A N/A 2,624 843 20,506 7,131 2022-03-16 $41.04 $55.00 100.5% 25.0% 97.5% 85.8% 90.6% -8.6% -11.7% 263.3K 1.3M -91.7K 0.12 60.69 N/A N/A 2,900 337 21,524 7,162 2022-03-17 $44.54 $55.00 104.3% 25.4% 102.1% 90.9% 84.7% -3.0% -17.8% 559.6K -5.1M -100.4K 0.13 59.45 N/A N/A 3,728 490 22,380 7,202 2022-03-18 $45.14 $55.00 98.4% 24.0% 100.3% 83.0% 79.2% 3.3% -15.8% 1.3M -7.3M -103.1K 0.10 65.45 N/A N/A 3,275 317 24,420 7,294 2022-03-21 $42.35 $55.00 104.0% 24.0% 102.1% 90.5% 83.5% -0.4% -19.9% 418.2K -6.4M -96.9K 0.15 62.58 N/A N/A 1,357 210 16,893 5,729 2022-03-22 $44.92 $55.00 92.3% 21.6% 103.9% 74.9% 76.9% 2.2% -18.0% 526.3K -8.3M -95.3K 0.18 65.40 N/A N/A 1,124 199 16,974 5,769 2022-03-23 $45.18 $55.00 94.1% 21.8% 102.2% 77.2% 72.8% 2.3% -18.1% 556.5K -10.1M -101.9K 0.04 71.95 N/A N/A 5,583 200 17,045 5,795 2022-03-24 $45.68 $45.00 99.6% 20.7% 97.5% 84.6% 68.2% 1.8% -32.1% 745.3K -15.3M -117.6K 0.08 62.39 N/A N/A 2,641 204 20,260 5,823 2022-03-25 $44.65 $45.00 97.4% 21.4% 97.9% 81.6% 72.8% 3.0% -25.8% 712.4K -13.6M -113.6K 0.22 72.53 N/A N/A 1,156 253 20,334 5,854 2022-03-28 $42.12 $45.00 99.4% 22.0% 98.8% 84.4% 76.3% -0.8% -24.1% 535.8K -6.0M -92.5K 0.11 66.99 N/A N/A 2,553 279 20,369 5,911 2022-03-29 $46.07 $45.00 97.6% 20.4% 102.4% 81.9% 71.5% -0.7% -26.6% 815.1K -14.9M -111.5K 0.18 66.86 N/A N/A 1,600 295 20,740 5,968 2022-03-30 $42.83 $45.00 97.1% 21.1% 100.5% 81.2% 74.1% 1.6% -24.7% 580.0K -7.4M -96.9K 0.16 56.66 N/A N/A 2,398 393 20,860 6,023 2022-03-31 $41.09 $45.00 103.8% 21.5% 100.8% 90.2% 79.3% -0.7% -28.2% 437.2K -3.3M -88.2K 0.40 66.18 N/A N/A 2,721 1,096 20,645 6,096
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