NCNO Options History — May 2022

In May 2022, NCNO traded between $25.61 and $38.56. ATM implied volatility averaged 89.7%, placing in the 71.3% IV rank vs the trailing year. The 30-day expected move averaged 25.5%. IV traded below realized volatility by 0.4% (HV 20d: 90.1%). Max pain ranged from $35.00 to $50.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2022-05-20: Highest Volume — 5,358 contracts
  • 2022-05-10: Largest IV spike — 13.0% change
  • 2022-05-12: Highest IV Rank — 92.6%
  • 2022-05-12: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.61$25.61$38.56$38.56$32.39
Max Pain$41.67$35.00$50.00$45.00$35.00
ATM IV89.7%71.6%105.6%71.6%92.4%
Expected Move25.5%20.5%30.3%20.5%26.5%
HV 20d90.1%56.9%109.4%56.9%109.4%
HV 60d89.9%81.1%96.1%81.1%94.0%
IV Rank71.3%47.0%92.6%47.0%75.0%
IV Percentile90.7%84.1%98.8%84.1%90.5%
Term Structure-9.2%-18.1%-0.8%-1.0%-11.0%
VWIV90.1%72.0%104.8%73.1%90.4%
Skew 25d9.6%3.8%15.9%5.3%8.9%
Skew 10d18.0%2.9%27.7%10.3%27.7%
Call IV 25d83.5%69.7%93.6%70.8%86.5%
Put IV 25d93.1%74.8%109.5%76.2%95.4%
Bid-Ask Spread %66.3353.2878.9275.1878.26
Gamma HHI0.330.170.560.290.18
Net GEX-74.0K-200.4K26.9K2.0K-2.7K
Net DEX8.3M82.5K13.2M5.4M1.5M
Net VEX-28.9K-39.0K-17.4K-39.0K-31.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.171.340.520.38
Total Volume3,101.9051,5555,3581,5553,029
Total OI19,689.14311,81825,80021,27912,275

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-05-02$38.56$45.0071.6%20.5%56.9%47.0%73.1%5.3%-1.0%2.0K5.4M-39.0K0.5275.18N/AN/A1,02253315,8535,426
2022-05-03$36.30$45.0072.7%20.8%59.7%48.4%72.0%4.6%-0.8%-120.4K8.3M-33.5K0.6378.92N/AN/A1,11970915,9005,568
2022-05-04$37.28$45.0074.7%21.4%61.3%51.2%72.8%5.6%-2.0%-64.8K5.8M-38.4K0.9978.52N/AN/A1,2091,19915,9315,472
2022-05-05$33.94$50.0078.3%22.5%68.0%55.9%76.9%8.6%-8.4%-173.1K9.9M-30.3K1.2755.62N/AN/A1,3601,72715,9835,670
2022-05-06$32.17$50.0086.0%23.7%68.8%66.3%79.1%9.6%-9.3%-134.0K10.6M-29.9K1.1753.28N/AN/A1,3671,59316,1525,914
2022-05-09$29.69$50.0092.1%25.3%72.1%74.5%91.5%9.2%-10.0%-120.2K12.4M-22.4K1.2758.12N/AN/A1,3641,73816,2435,946
2022-05-10$28.20$40.00104.0%26.4%73.0%90.6%95.4%6.5%-13.9%-107.5K12.6M-20.8K1.3458.31N/AN/A1,2871,72116,3556,221
2022-05-11$25.61$40.0098.4%28.2%77.8%83.0%104.8%11.7%-14.7%-86.9K12.9M-17.4K0.6059.80N/AN/A2,2591,36516,4276,597
2022-05-12$27.12$45.00105.6%30.3%79.7%92.6%100.4%15.9%-18.1%-102.7K13.0M-20.4K0.5860.45N/AN/A1,7401,00315,9946,733
2022-05-13$32.01$45.0097.8%28.0%103.4%82.1%92.9%14.6%-12.0%-200.4K10.6M-30.3K0.4959.53N/AN/A1,66282216,1846,848
2022-05-16$28.93$45.0091.3%26.2%108.0%73.5%98.8%3.8%-8.0%-115.9K12.8M-22.9K0.6063.24N/AN/A1,57494916,2906,877
2022-05-17$29.59$45.0091.8%26.3%106.3%74.1%95.7%10.2%-11.6%-126.3K13.0M-23.7K0.5768.68N/AN/A1,8891,08416,3507,227
2022-05-18$29.25$40.0090.2%25.9%106.2%72.0%96.8%8.1%-7.4%-106.6K13.2M-23.4K0.8365.84N/AN/A1,6261,34816,4007,241
2022-05-19$30.72$40.0095.2%27.3%106.7%78.7%98.5%13.4%-12.0%-99.0K12.9M-22.9K0.3267.81N/AN/A3,9321,26316,3857,004
2022-05-20$30.97$40.0089.5%25.7%106.4%71.0%94.9%9.1%-5.2%-5.5K11.3M-32.7K0.3467.50N/AN/A3,9951,36318,7947,006
2022-05-23$31.58$35.0092.7%26.6%104.4%75.3%93.1%12.3%-10.0%-6.7K2.3M-32.3K0.2366.18N/AN/A3,0056918,3213,497
2022-05-24$30.14$35.0095.2%27.3%104.4%78.7%97.9%11.0%-10.3%-13.0K2.8M-30.2K0.1868.08N/AN/A2,9985268,4133,506
2022-05-25$31.55$35.0093.7%26.9%106.3%76.7%96.2%10.7%-11.1%-5.2K2.0M-32.1K0.1767.67N/AN/A3,0065238,4663,508
2022-05-26$33.16$35.0086.7%24.9%106.5%67.3%84.7%12.6%-8.6%7.3K1.2M-35.4K0.2371.85N/AN/A2,1164768,5683,564
2022-05-27$34.58$35.0083.6%24.0%107.7%63.1%86.3%9.3%-8.0%26.9K82.5K-38.0K0.4670.10N/AN/A2,0149348,7753,588
2022-05-31$32.39$35.0092.4%26.5%109.4%75.0%90.4%8.9%-11.0%-2.7K1.5M-31.0K0.3878.26N/AN/A2,1948358,8923,383