NCNO Options History — July 2022

In July 2022, NCNO traded between $29.68 and $36.09. ATM implied volatility averaged 73.1%, placing in the 49.0% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 9.8% (HV 20d: 83.0%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2022-07-12: Highest Volume — 1,740 contracts
  • 2022-07-11: Largest IV spike — 36.0% change
  • 2022-07-12: Highest IV Rank — 82.5%
  • 2022-07-01: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.12$29.68$36.09$32.24$32.45
Max Pain$34.75$30.00$35.00$30.00$35.00
ATM IV73.1%64.1%98.0%76.8%64.8%
Expected Move20.3%18.4%22.0%22.0%18.6%
HV 20d83.0%76.7%91.5%78.0%76.7%
HV 60d90.9%87.4%92.0%87.4%91.0%
IV Rank49.0%36.9%82.5%53.9%37.9%
IV Percentile67.9%53.2%94.4%76.6%53.2%
Term Structure1.3%-1.4%4.9%-1.4%3.5%
VWIV69.7%57.8%80.9%74.2%57.8%
Skew 25d9.9%8.3%13.0%8.4%8.7%
Skew 10d17.6%7.3%33.1%7.3%14.9%
Call IV 25d65.1%57.1%70.2%69.8%57.1%
Put IV 25d74.9%65.8%83.2%78.2%65.8%
Bid-Ask Spread %64.6949.9674.3173.4568.04
Gamma HHI0.250.220.270.240.25
Net GEX85.0K27.7K218.3K102.4K63.4K
Net DEX-1.3M-5.3M537.2K-1.5M-810.3K
Net VEX-33.1K-50.6K-23.6K-39.2K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.450.960.780.58
Total Volume1,396.91,1721,7401,3051,178
Total OI11,829.211,14312,24311,81011,756

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-07-01$32.24$30.0076.8%22.0%78.0%53.9%74.2%8.4%-1.4%102.4K-1.5M-39.2K0.7873.45N/AN/A7335729,2942,516
2022-07-05$36.09$35.0080.2%20.9%88.5%58.6%77.1%10.7%-0.5%218.3K-5.3M-50.6K0.5861.20N/AN/A9775649,3052,516
2022-07-06$33.55$35.0075.3%20.5%91.5%51.9%74.8%9.3%0.7%132.3K-2.5M-41.5K0.5364.64N/AN/A9805199,5572,554
2022-07-07$34.39$35.0069.5%20.1%91.2%44.2%71.0%9.6%0.0%154.5K-3.2M-43.3K0.6565.89N/AN/A8325439,5482,541
2022-07-08$33.77$35.0066.8%19.8%91.2%40.5%70.7%10.4%0.5%126.6K-2.4M-40.7K0.6567.61N/AN/A8335419,5782,587
2022-07-11$32.24$35.0090.8%21.4%89.3%72.7%69.4%8.8%0.2%80.2K-1.1M-35.4K0.5363.54N/AN/A1,0215399,5782,588
2022-07-12$32.03$35.0098.0%21.7%89.0%82.5%68.2%11.3%0.3%74.9K-898.5K-34.6K0.4564.51N/AN/A1,2035379,6762,567
2022-07-13$30.94$35.0075.9%21.8%83.6%52.8%69.6%11.6%-0.9%54.7K-633.9K-31.4K0.5852.23N/AN/A9725679,6892,445
2022-07-14$29.77$35.0074.9%21.5%84.6%51.4%80.9%13.0%0.1%27.7K176.2K-28.1K0.8069.64N/AN/A7846249,7072,455
2022-07-15$30.33$35.0072.5%20.8%82.8%48.2%73.9%9.3%1.6%57.3K-616.2K-27.9K0.7854.73N/AN/A8496599,7192,417
2022-07-18$30.02$35.0070.3%20.2%78.4%45.2%69.3%9.3%1.8%45.7K148.4K-26.4K0.6466.18N/AN/A8135249,0422,101
2022-07-19$30.79$35.0070.5%20.2%77.1%45.5%67.9%9.8%2.1%58.3K-307.3K-27.7K0.9649.96N/AN/A7547219,1252,109
2022-07-20$33.43$35.0064.1%18.4%81.9%36.9%68.5%10.0%3.4%103.3K-2.0M-34.9K0.9469.99N/AN/A7797299,2132,310
2022-07-21$33.97$35.0065.0%18.6%82.0%38.2%62.6%8.7%2.4%120.7K-2.6M-38.0K0.9269.51N/AN/A7586979,3482,310
2022-07-22$32.35$35.0070.8%20.3%81.4%45.9%66.5%11.2%0.3%87.3K-1.3M-32.8K0.7456.04N/AN/A7375489,3522,332
2022-07-25$31.16$35.0070.3%20.1%77.9%45.2%70.4%9.6%2.2%53.8K-215.8K-27.1K0.7559.05N/AN/A7285449,3462,328
2022-07-26$29.68$35.0072.0%20.6%77.9%47.5%70.5%8.3%1.8%36.1K537.2K-23.6K0.8069.27N/AN/A6755379,3662,311
2022-07-27$31.56$35.0068.2%19.6%78.2%42.5%68.1%10.8%3.1%47.7K-232.8K-25.3K0.5774.09N/AN/A7454279,3762,270
2022-07-28$31.69$35.0065.9%18.9%78.2%39.4%62.8%8.8%4.9%54.7K-529.6K-26.4K0.5974.31N/AN/A7534429,4682,284
2022-07-29$32.45$35.0064.8%18.6%76.7%37.9%57.8%8.7%3.5%63.4K-810.3K-26.6K0.5868.04N/AN/A7454339,4742,282