NCNO Options History — November 2022

In November 2022, NCNO traded between $23.40 and $30.59. ATM implied volatility averaged 76.1%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 21.9%. IV traded below realized volatility by 4.8% (HV 20d: 80.9%). 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 2 of 21 days. Put/call ratio averaged 5.96.

Notable Days

  • 2022-11-21: Highest Volume — 3,750 contracts
  • 2022-11-07: Largest IV spike — 15.6% change
  • 2022-11-29: Highest IV Rank — 70.2%
  • 2022-11-29: Largest Expected Move — 26.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.95$23.40$30.59$30.59$26.14
Max Pain$30.48$30.00$35.00$35.00$30.00
ATM IV76.1%60.4%91.6%60.4%89.9%
Expected Move21.9%17.3%26.3%17.3%25.8%
HV 20d80.9%46.3%93.8%46.3%93.8%
HV 60d64.8%53.0%70.0%53.4%66.9%
IV Rank47.7%27.7%70.2%27.7%67.5%
IV Percentile66.2%25.0%87.7%25.0%84.9%
Term Structure-9.6%-18.7%4.2%4.2%-17.8%
VWIV77.6%55.8%92.2%55.8%90.3%
Skew 25d10.6%-0.5%42.7%2.8%9.1%
Skew 10d18.4%-4.0%55.1%9.8%55.1%
Call IV 25d71.1%47.0%87.3%58.0%84.7%
Put IV 25d81.7%60.7%93.8%60.7%93.8%
Bid-Ask Spread %62.3245.80104.8964.1350.01
Gamma HHI0.180.140.250.200.20
Net GEX62.9K-35.9K150.5K150.5K-35.9K
Net DEX-1.1M-4.4M1.8M-2.8M1.6M
Net VEX-26.7K-35.4K-16.3K-35.4K-35.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.960.1892.000.181.56
Total Volume1,207.571253,7502,185105
Total OI17,410.09510,93119,94617,78516,069

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-11-01$30.59$35.0060.4%17.3%46.3%27.7%55.8%2.8%4.2%150.5K-2.8M-35.4K0.1864.13N/AN/A1,85133416,4841,301
2022-11-02$28.60$35.0062.7%18.0%50.8%30.9%62.3%2.8%2.3%94.0K-1.1M-26.3K1.3371.24N/AN/A25233616,4861,315
2022-11-03$28.34$30.0060.5%18.7%50.7%27.7%66.2%9.8%-5.3%75.9K-709.8K-21.7K1.3755.37N/AN/A24833916,5211,258
2022-11-04$24.69$30.0066.6%20.7%67.4%36.3%72.1%9.3%-8.3%29.8K413.5K-16.3K4.3445.80N/AN/A3351,45516,5231,235
2022-11-07$25.07$30.0077.0%21.7%64.5%51.1%75.7%11.5%-8.8%89.4K-754.5K-22.0K6.2653.08N/AN/A3312,07117,5942,086
2022-11-08$24.99$30.0075.7%21.8%64.3%48.0%81.9%11.6%-9.9%89.2K-633.5K-22.2K1.3157.27N/AN/A22028917,5952,101
2022-11-09$23.40$30.0079.3%22.7%66.9%52.9%84.7%10.1%-11.6%64.4K537.2K-17.4K0.9565.38N/AN/A22821717,6002,069
2022-11-10$26.87$30.0075.2%21.6%85.6%45.0%92.2%9.3%-10.3%103.1K-2.4M-23.0K0.6159.52N/AN/A33120117,6421,992
2022-11-11$29.49$30.0070.8%20.3%91.6%38.2%72.0%10.5%-7.7%117.8K-4.4M-26.5K1.3456.65N/AN/A17122917,7172,010
2022-11-14$28.32$30.0073.1%20.9%91.9%41.7%72.5%8.8%-10.3%124.9K-4.0M-28.0K0.2947.96N/AN/A78522917,7422,030
2022-11-15$29.50$30.0072.6%20.8%91.9%41.0%72.3%9.3%-8.9%108.8K-3.7M-29.2K0.3051.07N/AN/A72722117,3362,057
2022-11-16$28.25$30.0073.3%21.0%92.2%42.0%75.2%8.1%-10.1%91.4K-2.7M-25.7K0.2652.01N/AN/A87222817,7162,056
2022-11-17$27.58$30.0074.0%21.2%92.5%43.1%74.9%9.8%-8.9%60.0K-2.5M-26.1K0.1860.03N/AN/A1,24322217,6682,058
2022-11-18$27.79$30.0073.7%21.1%92.6%42.7%73.8%10.4%-9.1%80.4K-2.7M-27.2K0.2163.08N/AN/A1,25726717,8882,058
2022-11-21$26.54$30.0078.6%22.5%93.8%50.3%77.7%7.8%-9.3%58.5K-937.8K-24.0K1.3947.65N/AN/A1,5712,1799,3331,598
2022-11-22$26.11$30.0083.8%24.0%92.4%58.1%80.0%12.9%-14.4%11.4K599.6K-30.9K1.9957.78N/AN/A6101,21610,3883,563
2022-11-23$26.59$30.0084.8%24.3%92.3%59.7%79.0%19.2%-14.4%21.8K211.0K-32.9K2.0677.95N/AN/A5911,21610,4043,616
2022-11-25$26.35$30.0084.3%24.2%92.2%59.0%90.9%42.7%-8.0%15.3K391.8K-32.5K5.25104.89N/AN/A42110,4073,637
2022-11-28$25.77$30.0090.4%25.9%92.3%68.3%91.6%7.3%-17.4%965898.4K-29.6K92.0074.63N/AN/A764410,4073,657
2022-11-29$25.07$30.0091.6%26.3%92.2%70.2%87.8%-0.5%-18.7%-30.0K1.8M-28.3K1.9993.19N/AN/A5701,13610,4133,982
2022-11-30$26.14$30.0089.9%25.8%93.8%67.5%90.3%9.1%-17.8%-35.9K1.6M-35.3K1.5650.01N/AN/A416410,9725,097