NCNO Options History — June 2022

In June 2022, NCNO traded between $29.80 and $36.70. ATM implied volatility averaged 76.6%, placing in the 53.8% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 18.6% (HV 20d: 95.2%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2022-06-02: Highest Volume — 6,344 contracts
  • 2022-06-13: Largest IV spike — 18.9% change
  • 2022-06-01: Highest IV Rank — 75.6%
  • 2022-06-01: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.29$29.80$36.70$32.19$30.83
Max Pain$30.24$30.00$35.00$35.00$30.00
ATM IV76.6%68.2%92.9%92.9%77.0%
Expected Move21.7%19.6%26.6%26.6%22.1%
HV 20d95.2%80.9%117.4%107.6%90.1%
HV 60d91.2%86.4%97.6%93.7%86.8%
IV Rank53.8%42.5%75.6%75.6%54.2%
IV Percentile77.2%66.7%90.9%90.9%77.8%
Term Structure-1.3%-8.6%2.5%-8.6%-1.6%
VWIV76.3%65.0%91.1%90.8%77.5%
Skew 25d9.0%5.0%12.3%11.5%8.7%
Skew 10d22.5%10.6%91.6%18.3%12.1%
Call IV 25d70.8%60.8%86.4%86.4%72.9%
Put IV 25d79.9%71.4%97.8%97.8%81.5%
Bid-Ask Spread %48.8634.2270.3649.6147.90
Gamma HHI0.180.150.230.170.23
Net GEX73.2K-4.4K176.2K2.5K75.1K
Net DEX-1.3M-4.6M2.6M1.1M-483.8K
Net VEX-40.8K-54.2K-31.3K-31.3K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.161.000.520.79
Total Volume3,680.0481,2946,3444,0751,294
Total OI13,551.7149,97216,45512,33211,816

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-06-01$32.19$35.0092.9%26.6%107.6%75.6%90.8%11.5%-8.6%2.5K1.1M-31.3K0.5249.61N/AN/A2,6791,3969,0083,324
2022-06-02$36.62$30.0080.1%20.9%117.4%58.4%73.9%9.9%-1.3%66.7K-3.1M-40.7K0.2743.29N/AN/A5,0001,3449,5393,456
2022-06-03$35.97$30.0074.3%20.4%112.4%50.6%72.7%6.6%0.0%120.6K-4.3M-54.2K0.2850.99N/AN/A4,8501,33711,8193,563
2022-06-06$34.75$30.0074.7%20.7%111.4%51.1%71.4%7.7%-0.5%73.0K-2.6M-48.5K0.2334.22N/AN/A4,5241,03011,8343,614
2022-06-07$35.91$30.0075.5%20.5%107.2%52.2%74.8%7.8%2.5%100.1K-3.9M-52.5K0.2138.40N/AN/A4,48393011,9443,714
2022-06-08$36.37$30.0069.6%19.9%104.8%44.3%69.2%8.1%1.8%116.7K-4.6M-53.1K0.2245.73N/AN/A4,34896711,9413,697
2022-06-09$33.94$30.0073.3%21.0%101.4%49.2%75.1%7.5%-1.9%44.7K-1.7M-45.9K0.1634.89N/AN/A4,34869811,9333,714
2022-06-10$33.09$30.0074.0%21.2%101.0%50.2%76.7%7.4%-2.1%30.6K-645.0K-43.0K0.2239.16N/AN/A3,21972011,7763,693
2022-06-13$30.22$30.0088.0%25.2%88.8%69.0%86.8%12.3%-5.7%4131.9M-34.5K0.3737.78N/AN/A2,47091411,9333,762
2022-06-14$30.56$30.0084.0%24.1%80.9%63.7%76.2%11.6%-3.4%-4.4K1.8M-34.9K0.2946.02N/AN/A2,55675212,0853,870
2022-06-15$32.13$30.0079.8%22.9%82.4%58.0%74.5%10.4%-4.4%14.0K409.4K-38.1K0.2946.54N/AN/A2,91784412,0263,806
2022-06-16$29.80$30.0082.0%23.5%86.9%60.9%81.8%10.5%-0.1%-4.4K2.6M-32.8K0.3736.90N/AN/A2,53694312,3973,881
2022-06-17$31.22$30.0078.7%22.6%86.8%56.5%79.5%11.2%1.0%77.2K800.1K-36.7K0.3850.87N/AN/A2,57698912,4144,041
2022-06-21$32.19$30.0076.7%22.0%87.4%53.9%91.1%9.4%-2.4%73.7K-690.0K-33.4K0.3955.43N/AN/A1,8327087,6002,394
2022-06-22$32.48$30.0071.2%20.4%87.2%46.5%73.7%5.0%1.5%87.8K-1.2M-35.3K0.4157.33N/AN/A1,7977387,5792,393
2022-06-23$34.33$30.0069.9%20.1%87.2%44.8%67.8%7.3%0.5%122.1K-2.5M-39.2K0.3863.50N/AN/A1,8036887,6082,457
2022-06-24$36.70$30.0068.2%19.6%88.8%42.5%65.0%10.6%0.9%176.2K-4.4M-45.9K0.8264.53N/AN/A8386877,6412,490
2022-06-27$34.95$30.0072.3%20.7%89.5%47.9%77.5%10.1%-0.8%140.5K-3.0M-41.0K0.3070.36N/AN/A2,3787087,7732,491
2022-06-28$32.65$30.0069.9%20.0%91.6%44.7%70.3%7.7%1.0%116.4K-1.9M-42.1K0.3359.75N/AN/A2,2697399,2732,508
2022-06-29$32.29$30.0077.4%22.2%88.6%54.7%75.5%8.6%-3.3%108.4K-1.6M-39.6K1.0052.76N/AN/A7177159,2782,501
2022-06-30$30.83$30.0077.0%22.1%90.1%54.2%77.5%8.7%-1.6%75.1K-483.8K-34.7K0.7947.90N/AN/A7225729,2932,523