NCNO Options History — April 2022

In April 2022, NCNO traded between $36.66 and $46.28. ATM implied volatility averaged 71.0%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 16.6% (HV 20d: 87.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2022-04-01: Highest Volume — 6,819 contracts
  • 2022-04-13: Largest IV drop — 32.1% change
  • 2022-04-12: Highest IV Rank — 74.8%
  • 2022-04-26: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.22$36.66$46.28$46.28$37.72
Max Pain$46.00$45.00$50.00$45.00$45.00
ATM IV71.0%62.1%92.3%71.6%68.1%
Expected Move19.0%17.7%20.6%17.7%19.5%
HV 20d87.7%72.3%110.4%110.4%72.3%
HV 60d81.6%79.8%82.8%82.8%81.2%
IV Rank46.2%34.2%74.8%47.0%42.3%
IV Percentile83.3%74.6%93.3%87.3%81.3%
Term Structure-1.1%-9.2%2.8%-9.2%2.8%
VWIV65.9%58.7%71.2%61.1%71.2%
Skew 25d5.0%2.5%8.2%2.7%4.4%
Skew 10d8.2%-0.3%13.4%8.2%7.8%
Call IV 25d63.9%57.9%71.6%71.6%67.7%
Put IV 25d68.8%63.9%74.3%74.3%72.1%
Bid-Ask Spread %67.5347.0883.0268.1973.35
Gamma HHI0.240.190.360.200.31
Net GEX332.8K-69.1K968.8K806.0K-24.7K
Net DEX-33.9K-13.8M8.3M-10.2M6.1M
Net VEX-65.7K-110.3K-36.1K-91.9K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.110.790.270.45
Total Volume2,469.93476,8196,8191,472
Total OI25,980.520,67831,81627,39821,248

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-04-01$46.28$45.0071.6%17.7%110.4%47.0%61.1%2.7%-9.2%806.0K-10.2M-91.9K0.2768.19N/AN/A5,3511,46820,6256,773
2022-04-04$46.05$45.0072.7%19.7%109.4%48.4%58.7%8.2%-0.4%813.4K-10.3M-92.3K0.1283.02N/AN/A4,11948022,2176,750
2022-04-05$45.44$45.0074.7%18.9%109.1%51.1%65.5%2.6%-4.3%968.8K-13.8M-110.3K0.1647.08N/AN/A2,24436924,8086,665
2022-04-06$44.34$45.0077.9%19.3%109.3%55.5%66.2%2.5%-4.2%838.6K-10.0M-100.7K0.3669.37N/AN/A1,86467625,0526,596
2022-04-07$44.86$45.0076.9%19.3%107.9%54.1%67.7%5.9%-3.0%857.6K-11.1M-101.4K0.3158.97N/AN/A1,75354524,9266,730
2022-04-08$43.21$45.0072.4%18.5%93.4%48.1%70.4%5.4%-1.8%587.2K-4.8M-87.7K0.2765.79N/AN/A1,78848524,9036,702
2022-04-11$42.13$45.0089.3%19.3%84.0%70.8%70.0%4.6%-1.7%442.4K-1.2M-75.5K0.1965.16N/AN/A1,80134024,8836,719
2022-04-12$41.55$45.0092.3%19.2%84.2%74.8%69.1%4.6%-1.6%388.6K431.9K-71.3K0.1966.01N/AN/A1,68732525,0706,746
2022-04-13$43.31$45.0062.7%18.0%83.4%35.0%62.4%5.1%-0.6%517.7K-3.5M-77.3K0.1270.14N/AN/A2,68832625,0126,744
2022-04-14$41.18$50.0062.5%17.9%79.9%34.8%59.9%4.0%0.9%166.5K2.5M-61.0K0.1967.38N/AN/A1,70932824,1096,744
2022-04-18$39.91$50.0063.9%18.3%80.2%36.6%64.1%5.9%-0.6%87.9K5.6M-50.5K0.1765.91N/AN/A1,69328815,1575,521
2022-04-19$41.91$50.0062.1%17.8%79.4%34.2%61.9%4.7%0.5%193.5K2.6M-56.8K0.1863.80N/AN/A2,25841215,3195,499
2022-04-20$40.85$50.0062.8%18.0%76.7%35.2%60.9%5.7%0.9%146.4K3.8M-54.6K0.1163.79N/AN/A2,36625115,6985,594
2022-04-21$38.08$45.0064.7%18.6%80.0%37.7%64.4%5.7%-0.8%-6.9K7.6M-43.4K0.2069.37N/AN/A2,20544115,7265,610
2022-04-22$36.66$45.0070.5%20.2%80.3%45.6%69.9%5.8%-2.0%-48.9K8.3M-39.0K0.2168.10N/AN/A2,29547815,8055,441
2022-04-25$38.69$45.0068.0%19.5%83.3%42.2%67.3%5.6%-0.5%24.8K6.0M-43.6K0.3968.53N/AN/A1,01139615,5735,433
2022-04-26$36.94$45.0071.8%20.6%82.4%47.3%70.5%4.9%-0.0%-39.1K7.8M-39.2K0.5473.70N/AN/A97152415,6155,441
2022-04-27$36.80$45.0069.9%20.0%74.3%44.7%69.9%6.1%1.2%-69.1K8.3M-36.1K0.7974.02N/AN/A19415315,6325,416
2022-04-28$38.57$45.0065.6%18.8%73.2%39.0%67.8%4.9%2.0%4.4K5.3M-41.1K0.5068.85N/AN/A1,09654815,7955,313
2022-04-29$37.72$45.0068.1%19.5%72.3%42.3%71.2%4.4%2.8%-24.7K6.1M-39.5K0.4573.35N/AN/A1,01445815,8435,405