NCNO Options History — September 2022

In September 2022, NCNO traded between $29.36 and $37.17. ATM implied volatility averaged 62.9%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded above realized volatility by 1.8% (HV 20d: 61.2%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2022-09-07: Highest Volume — 2,717 contracts
  • 2022-09-02: Largest IV drop — 21.5% change
  • 2022-09-01: Highest IV Rank — 60.5%
  • 2022-09-01: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.51$29.36$37.17$29.36$34.23
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV62.9%53.7%81.6%81.6%59.7%
Expected Move17.6%16.4%23.4%23.4%17.1%
HV 20d61.2%54.0%65.3%57.3%54.0%
HV 60d67.4%58.6%73.2%71.4%58.6%
IV Rank35.3%23.0%60.5%60.5%30.7%
IV Percentile39.8%26.2%81.0%81.0%29.8%
Term Structure-0.8%-12.4%1.3%-12.4%0.5%
VWIV63.1%54.7%89.1%89.1%60.5%
Skew 25d8.6%6.7%11.8%11.8%8.5%
Skew 10d16.9%-2.1%34.8%17.9%10.4%
Call IV 25d57.7%53.7%79.5%79.5%57.6%
Put IV 25d66.3%61.6%91.3%91.3%66.1%
Bid-Ask Spread %47.3417.9474.8239.3774.82
Gamma HHI0.310.270.390.270.27
Net GEX221.0K50.8K316.9K50.8K231.2K
Net DEX-4.6M-8.2M34.0K34.0K-4.1M
Net VEX-40.9K-55.3K-20.4K-20.4K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0116.481.200.52
Total Volume1,059.19462,7171,164702
Total OI15,253.33313,57019,65013,57014,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$29.36$35.0081.6%23.4%57.3%60.5%89.1%11.8%-12.4%50.8K34.0K-20.4K1.2039.37N/AN/A53063411,8981,672
2022-09-02$31.71$35.0064.1%18.4%64.8%36.9%62.5%7.2%0.2%85.2K-1.5M-26.4K0.6938.23N/AN/A71849712,3022,206
2022-09-06$31.61$35.0068.9%18.5%61.4%43.3%66.0%7.3%0.0%87.0K-1.3M-25.5K0.3043.48N/AN/A2,08063112,5452,238
2022-09-07$33.44$35.0059.9%17.1%65.3%31.3%60.8%6.7%1.3%139.6K-3.0M-32.6K0.2450.19N/AN/A2,19552212,4992,307
2022-09-08$33.92$35.0053.7%16.4%60.5%23.0%63.4%8.1%1.3%134.3K-2.7M-29.4K0.6723.80N/AN/A17511712,7082,446
2022-09-09$36.08$35.0061.7%16.7%62.8%33.6%54.7%8.0%0.8%244.7K-5.6M-39.3K0.2445.43N/AN/A93822512,9112,399
2022-09-12$36.35$35.0070.1%16.6%62.8%45.0%55.0%7.8%0.6%271.2K-5.9M-39.6K0.1233.77N/AN/A6277613,5482,519
2022-09-13$35.60$35.0076.6%17.4%63.1%53.7%67.6%7.6%-0.4%241.2K-5.3M-38.7K0.2153.07N/AN/A1,97140613,9122,564
2022-09-14$37.17$35.0062.7%18.0%64.9%35.1%64.1%10.5%-1.5%270.2K-7.7M-43.5K0.1160.99N/AN/A8969513,9132,570
2022-09-15$37.05$35.0061.3%17.6%60.8%33.1%56.8%9.7%-0.6%316.9K-7.7M-45.8K0.0162.68N/AN/A2,4163014,7302,581
2022-09-16$35.75$35.0061.2%17.5%62.3%32.9%63.1%9.0%-1.4%305.1K-8.2M-55.3K0.3152.19N/AN/A1,63450117,0592,591
2022-09-19$34.79$35.0058.8%16.9%61.6%29.8%57.9%7.5%-0.3%257.0K-5.0M-48.7K0.0722.19N/AN/A3842712,7611,282
2022-09-20$35.23$35.0059.6%17.1%60.2%30.9%67.0%10.2%-1.0%277.9K-5.4M-49.1K4.6037.17N/AN/A3013813,0771,292
2022-09-21$35.77$35.0059.0%16.9%60.1%30.1%64.3%7.5%-0.6%308.0K-6.2M-54.2K16.4850.35N/AN/A3151113,0921,396
2022-09-22$34.04$35.0057.9%16.6%63.1%28.6%62.9%8.8%0.3%216.2K-3.9M-44.0K4.0917.94N/AN/A229013,1221,596
2022-09-23$33.82$35.0060.1%17.2%62.2%31.5%63.4%8.4%-0.5%212.1K-3.8M-42.2K0.6423.02N/AN/A281813,1241,558
2022-09-26$34.39$35.0062.5%17.9%58.3%34.8%62.3%8.9%-1.3%234.5K-4.4M-46.1K0.6460.43N/AN/A31820313,1441,553
2022-09-27$34.03$35.0061.5%17.6%58.5%33.1%63.5%9.2%-0.8%219.7K-4.0M-44.1K0.6959.05N/AN/A30821213,1541,545
2022-09-28$35.49$35.0060.6%17.4%60.1%31.8%58.7%8.5%-0.4%277.6K-5.4M-46.4K0.4171.66N/AN/A49220413,1701,535
2022-09-29$34.88$35.0060.3%17.3%60.4%31.4%60.6%9.2%0.0%260.2K-4.8M-45.8K0.4974.36N/AN/A40920213,3621,534
2022-09-30$34.23$35.0059.7%17.1%54.0%30.7%60.5%8.5%0.5%231.2K-4.1M-41.2K0.5274.82N/AN/A46224013,3711,534