NCNO Options History — August 2022

In August 2022, NCNO traded between $31.55 and $38.99. ATM implied volatility averaged 69.2%, placing in the 43.8% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 6.2% (HV 20d: 63.1%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2022-08-08: Highest Volume — 3,458 contracts
  • 2022-08-08: Largest IV spike — 13.4% change
  • 2022-08-31: Highest IV Rank — 58.2%
  • 2022-08-31: Largest Expected Move — 22.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.38$31.55$38.99$32.32$31.55
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV69.2%59.4%79.9%68.3%79.9%
Expected Move20.1%17.0%22.9%19.6%22.9%
HV 20d63.1%52.3%75.1%75.1%52.3%
HV 60d79.2%70.3%90.8%90.8%70.3%
IV Rank43.8%30.6%58.2%42.6%58.2%
IV Percentile60.4%42.5%79.0%59.5%79.0%
Term Structure-4.8%-12.2%8.5%5.0%-12.2%
VWIV67.8%62.0%77.6%62.9%77.6%
Skew 25d8.9%6.6%19.6%7.5%11.0%
Skew 10d16.9%5.0%38.5%18.1%18.5%
Call IV 25d65.6%56.0%73.9%63.2%73.5%
Put IV 25d74.5%64.0%89.7%70.8%84.5%
Bid-Ask Spread %64.9445.7777.6477.6466.89
Gamma HHI0.330.250.410.260.32
Net GEX166.1K63.2K399.7K63.2K88.8K
Net DEX-3.6M-9.6M-918.4K-918.4K-1.2M
Net VEX-36.5K-54.3K-25.8K-26.1K-25.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.001.500.520.22
Total Volume643.957153,4581,2582,164
Total OI13,861.60911,76616,06811,76613,558

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-08-01$32.32$35.0068.3%19.6%75.1%42.6%62.9%7.5%5.0%63.2K-918.4K-26.1K0.5277.64N/AN/A8304289,4832,283
2022-08-02$32.98$35.0060.7%17.4%62.9%32.3%64.5%9.8%8.5%82.7K-1.5M-29.6K0.5271.11N/AN/A8884599,6282,293
2022-08-03$35.73$35.0059.4%17.0%64.2%30.6%62.0%8.1%8.4%154.2K-3.9M-34.9K0.6776.60N/AN/A6384299,6332,330
2022-08-04$35.24$35.0062.3%19.8%64.0%34.5%64.9%7.5%-3.9%140.7K-3.4M-33.6K0.6865.08N/AN/A6354319,6472,319
2022-08-05$35.48$35.0059.5%19.2%63.6%30.7%62.4%8.1%-2.5%144.6K-3.6M-33.8K0.6166.19N/AN/A7434569,6742,322
2022-08-08$37.30$35.0067.4%20.1%62.9%41.4%66.9%11.3%-4.8%214.0K-5.3M-36.5K0.1664.58N/AN/A2,9834759,7102,348
2022-08-09$36.55$35.0066.9%20.4%63.5%40.7%70.4%10.7%-5.9%256.8K-6.1M-45.5K0.7862.79N/AN/A9712,1912,357
2022-08-10$38.99$35.0064.7%18.6%64.7%37.8%64.2%8.8%-3.1%399.7K-9.6M-54.3K0.0271.48N/AN/A103212,1982,361
2022-08-11$37.05$35.0067.5%19.4%66.2%41.5%65.7%7.3%-6.3%282.1K-6.7M-47.9K0.0373.28N/AN/A1,4814012,2272,363
2022-08-12$37.15$35.0067.0%19.2%66.2%40.8%63.3%7.5%-5.5%308.8K-7.3M-53.1K0.0972.22N/AN/A1711613,4392,386
2022-08-15$36.69$35.0067.3%19.3%66.3%41.2%65.3%7.3%-7.2%278.1K-6.6M-51.1K0.1773.91N/AN/A47813,5732,376
2022-08-16$36.24$35.0066.9%19.2%66.5%40.7%64.9%7.7%-7.1%232.6K-5.9M-47.1K0.4473.13N/AN/A662913,5882,380
2022-08-17$34.13$35.0068.2%19.6%64.6%42.4%69.8%6.6%-7.8%143.1K-3.2M-37.7K1.3773.29N/AN/A598113,5682,394
2022-08-18$34.58$35.0067.7%19.4%64.5%41.7%68.0%8.0%-5.5%125.0K-3.8M-41.0K0.3068.36N/AN/A932813,5852,406
2022-08-19$33.33$35.0069.5%19.9%63.4%44.2%69.9%8.1%-5.8%152.5K-2.4M-36.6K1.5057.38N/AN/A9614413,6452,423
2022-08-22$32.23$35.0076.2%21.8%63.1%53.1%67.4%6.8%-8.7%119.3K-1.7M-32.0K0.1249.82N/AN/A1972411,7851,676
2022-08-23$31.97$35.0075.2%21.6%60.4%51.8%72.3%7.2%-7.2%106.1K-1.3M-29.5K0.3045.77N/AN/A1153411,6281,684
2022-08-24$32.45$35.0075.2%21.6%56.6%51.8%71.1%7.7%-9.6%109.9K-1.8M-29.7K0.2850.83N/AN/A1564311,6911,598
2022-08-25$33.50$35.0069.8%20.0%57.6%44.5%69.7%8.3%-6.9%142.2K-2.6M-34.4K0.2354.58N/AN/A431011,8241,635
2022-08-26$31.59$35.0076.2%21.8%61.0%53.1%70.9%9.7%-8.9%95.8K-1.3M-26.9K1.2858.86N/AN/A324111,8551,641
2022-08-29$31.78$35.0079.7%22.8%61.0%57.8%76.1%9.5%-9.3%96.4K-1.3M-26.6K0.9455.98N/AN/A323011,8811,676
2022-08-30$31.87$35.0077.1%22.1%60.6%54.4%69.9%19.6%-3.5%83.2K-1.1M-25.9K0.0063.88N/AN/A15011,8941,661
2022-08-31$31.55$35.0079.9%22.9%52.3%58.2%77.6%11.0%-12.2%88.8K-1.2M-25.8K0.2266.89N/AN/A1,78038411,8971,661