NCNO Options History — October 2022

In October 2022, NCNO traded between $29.01 and $36.41. ATM implied volatility averaged 62.2%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 12.6% (HV 20d: 49.6%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2022-10-21: Highest Volume — 3,714 contracts
  • 2022-10-10: Largest IV spike — 14.7% change
  • 2022-10-10: Highest IV Rank — 43.2%
  • 2022-10-10: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.77$29.01$36.41$34.57$31.57
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV62.2%58.8%69.0%59.8%63.1%
Expected Move17.8%16.9%18.8%17.2%18.1%
HV 20d49.6%43.8%52.9%47.5%50.2%
HV 60d57.6%54.2%60.5%58.5%54.2%
IV Rank33.7%28.4%43.2%30.9%33.8%
IV Percentile34.5%19.0%54.8%30.2%37.7%
Term Structure1.5%-4.0%8.5%-0.3%0.4%
VWIV58.3%49.8%62.4%62.4%60.6%
Skew 25d8.8%6.2%11.3%9.7%11.3%
Skew 10d12.1%-15.8%28.5%-8.6%28.5%
Call IV 25d57.1%53.3%60.1%57.0%54.2%
Put IV 25d65.9%61.8%69.3%66.8%65.5%
Bid-Ask Spread %58.8042.5478.8676.2458.52
Gamma HHI0.220.180.300.260.20
Net GEX140.7K-5.8K342.0K230.3K170.0K
Net DEX-2.5M-6.4M229.5K-4.2M-3.1M
Net VEX-32.1K-49.6K-18.0K-42.4K-34.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.150.590.570.20
Total Volume1,627.5717003,7147002,224
Total OI16,124.57114,97917,85114,97917,738

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-10-03$34.57$35.0059.8%17.2%47.5%30.9%62.4%9.7%-0.3%230.3K-4.2M-42.4K0.5776.24N/AN/A44725313,4261,553
2022-10-04$36.41$35.0060.4%17.3%50.3%31.6%58.0%6.9%0.7%341.9K-6.3M-49.6K0.2378.86N/AN/A1,22927713,4331,550
2022-10-05$36.17$35.0062.2%17.8%46.9%34.0%60.4%9.6%-1.1%342.0K-6.4M-48.6K0.4676.22N/AN/A67431313,9551,548
2022-10-06$35.59$35.0060.6%17.3%47.3%31.8%56.4%8.6%-0.9%310.9K-5.6M-45.7K0.5654.78N/AN/A56131313,9781,558
2022-10-07$34.28$35.0060.1%17.6%43.8%31.2%56.7%9.1%-1.0%229.0K-3.9M-38.7K0.4867.26N/AN/A64931013,9891,558
2022-10-10$31.80$35.0069.0%18.8%50.5%43.2%60.3%8.0%-4.0%118.3K-1.4M-29.0K0.4664.36N/AN/A55325513,9651,558
2022-10-11$30.92$35.0067.9%18.5%50.9%41.6%58.8%9.5%-2.1%80.4K-622.8K-24.6K0.3153.60N/AN/A82725813,9551,570
2022-10-12$31.00$35.0064.5%18.5%47.5%37.1%49.8%11.2%-2.0%70.3K-742.8K-24.1K0.3450.58N/AN/A74025113,7321,506
2022-10-13$30.07$35.0061.5%17.6%48.0%32.9%54.4%9.8%2.1%44.1K-169.4K-20.6K0.3066.99N/AN/A84525613,7921,508
2022-10-14$29.01$35.0063.4%18.2%48.0%35.5%56.9%9.3%-0.7%44.0K229.5K-18.0K0.4145.87N/AN/A78632613,9251,504
2022-10-17$30.00$35.0062.8%18.0%50.0%34.7%59.2%7.8%-0.6%56.0K-421.7K-21.2K0.3554.01N/AN/A93232314,0531,567
2022-10-18$31.24$35.0062.6%17.9%52.4%34.2%57.8%7.4%0.2%78.6K-1.4M-24.1K0.4147.12N/AN/A78332414,1911,569
2022-10-19$30.10$35.0062.0%17.8%52.9%33.4%61.4%7.7%1.0%57.2K-694.1K-21.8K0.5951.78N/AN/A54932414,4071,570
2022-10-20$30.01$35.0062.6%17.9%50.7%34.2%61.5%9.4%7.0%46.3K-790.0K-22.0K0.1553.46N/AN/A2,12732014,4041,570
2022-10-21$29.92$35.0059.3%17.0%50.7%29.8%59.3%7.7%8.5%-5.8K-2.0M-35.1K0.1749.08N/AN/A3,18353116,2811,570
2022-10-24$29.61$35.0062.5%17.9%50.0%33.5%61.4%6.2%4.5%100.3K-1.5M-26.4K0.2142.54N/AN/A2,12845415,4221,266
2022-10-25$30.78$35.0061.9%17.7%52.6%32.6%57.2%10.5%4.0%122.0K-2.0M-29.9K0.1949.05N/AN/A2,45545515,4191,266
2022-10-26$31.45$35.0061.8%17.7%50.6%32.5%57.2%9.0%5.9%155.6K-2.8M-34.0K0.1564.93N/AN/A2,22633716,0341,267
2022-10-27$31.46$35.0060.4%17.3%50.5%30.6%57.3%7.8%5.6%176.6K-3.4M-38.7K0.1958.00N/AN/A1,86234516,4601,268
2022-10-28$31.30$35.0058.8%16.9%50.2%28.4%57.4%8.6%4.7%186.9K-4.4M-45.2K0.1971.43N/AN/A1,82934516,4531,278
2022-10-31$31.57$35.0063.1%18.1%50.2%33.8%60.6%11.3%0.4%170.0K-3.1M-34.0K0.2058.52N/AN/A1,85736716,4601,278