NCNO Options History — December 2022

In December 2022, NCNO traded between $24.22 and $27.38. ATM implied volatility averaged 65.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 4.4% (HV 20d: 60.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.07.

Notable Days

  • 2022-12-21: Highest Volume — 1,595 contracts
  • 2022-12-12: Largest IV spike — 50.2% change
  • 2022-12-13: Highest IV Rank — 96.3%
  • 2022-12-02: Largest Expected Move — 20.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.75$24.22$27.38$27.38$26.36
Max Pain$29.29$25.00$30.00$30.00$25.00
ATM IV65.2%55.2%108.6%67.0%59.3%
Expected Move17.2%15.8%20.9%19.2%17.0%
HV 20d60.7%45.1%93.5%92.9%52.8%
HV 60d66.4%65.6%67.5%66.5%67.5%
IV Rank29.6%14.4%96.3%32.4%20.6%
IV Percentile29.4%4.4%99.6%43.7%12.7%
Term Structure0.8%-7.4%4.3%-7.3%1.5%
VWIV58.3%52.5%65.8%65.8%58.2%
Skew 25d7.1%-0.6%20.1%-0.6%9.4%
Skew 10d11.9%-1.5%48.6%25.5%7.4%
Call IV 25d56.2%50.6%66.8%66.8%52.5%
Put IV 25d63.3%58.3%77.4%66.3%61.9%
Bid-Ask Spread %50.1330.5888.7848.9664.79
Gamma HHI0.230.190.300.200.25
Net GEX-67.5K-152.6K-17.5K-21.6K-72.0K
Net DEX1.7M451.5K3.4M451.5K925.3K
Net VEX-27.5K-34.8K-22.7K-34.8K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.070.0512.340.600.50
Total Volume290.905121,59586512
Total OI16,377.47616,09316,80816,15216,808

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$27.38$30.0067.0%19.2%92.9%32.4%65.8%-0.6%-7.3%-21.6K451.5K-34.8K0.6048.96N/AN/A54232311,0035,149
2022-12-02$26.52$30.0072.8%20.9%93.5%41.3%65.6%20.1%-7.4%-17.5K834.4K-34.0K8.1788.78N/AN/A64911,4164,919
2022-12-05$24.81$30.0065.8%17.5%82.7%30.5%61.6%7.6%-0.5%-86.1K2.9M-28.7K12.3442.24N/AN/A3239511,4214,918
2022-12-06$24.59$30.0067.8%17.7%82.6%33.7%57.7%8.0%-0.4%-79.9K3.0M-27.2K0.1444.61N/AN/A1281811,3674,726
2022-12-07$24.47$30.0072.3%17.4%82.6%40.5%61.5%8.4%1.9%-84.3K3.1M-26.8K1.1542.07N/AN/A202311,4344,743
2022-12-08$25.37$30.0072.8%17.5%79.9%41.3%61.0%9.2%1.8%-65.0K2.2M-27.7K0.7641.96N/AN/A382911,4264,752
2022-12-09$25.48$30.0060.8%17.6%62.2%22.9%60.0%6.4%1.6%-63.6K2.1M-29.0K1.7545.29N/AN/A122111,4314,770
2022-12-12$26.21$30.0091.3%17.8%52.5%69.7%59.2%7.2%2.4%-49.2K1.5M-27.1K0.4446.87N/AN/A1175111,4354,784
2022-12-13$26.79$30.00108.6%17.3%51.7%96.3%56.2%5.9%0.7%-29.5K924.3K-28.2K0.0630.58N/AN/A3542211,6024,824
2022-12-14$27.06$30.0059.7%17.1%49.3%21.3%56.0%7.8%1.0%-20.2K510.5K-29.4K5.1136.34N/AN/A2814311,9404,837
2022-12-15$26.16$30.0058.1%16.7%48.4%18.8%57.2%6.6%2.1%-72.1K1.4M-28.1K1.0831.57N/AN/A131411,9494,825
2022-12-16$25.91$30.0057.2%16.4%47.9%17.3%52.7%9.2%4.3%-56.3K1.3M-27.3K0.1039.31N/AN/A5005211,9534,728
2022-12-19$25.73$30.0056.9%16.3%47.8%16.9%56.6%4.4%2.5%-56.3K1.3M-26.3K0.5040.34N/AN/A1678311,7414,370
2022-12-20$25.68$30.0056.8%16.3%45.1%16.7%54.2%5.4%3.9%-68.4K1.4M-25.5K0.8657.65N/AN/A221911,7984,424
2022-12-21$26.50$30.0056.9%16.3%46.2%17.0%52.5%6.6%2.2%-34.6K567.3K-26.5K0.0549.53N/AN/A1,5257011,8164,442
2022-12-22$25.23$30.0057.8%16.6%48.9%18.3%56.4%4.8%-0.6%-79.5K1.7M-25.5K3.2062.32N/AN/A14747111,6144,505
2022-12-23$25.79$30.0055.2%15.8%49.6%14.4%0.0%7.7%3.4%-82.4K1.5M-26.4K0.3659.67N/AN/A552011,5504,815
2022-12-27$24.55$30.0055.9%16.0%52.0%15.4%57.4%7.8%1.9%-134.3K2.9M-23.5K3.8158.31N/AN/A4216011,5834,827
2022-12-28$24.22$25.0058.1%16.7%51.4%18.8%60.0%3.2%-0.4%-152.6K3.4M-22.7K1.9460.69N/AN/A9618611,6254,888
2022-12-29$25.95$25.0056.9%16.3%55.2%16.8%56.0%5.2%1.9%-91.1K1.2M-26.6K0.6060.89N/AN/A653911,7165,053
2022-12-30$26.36$25.0059.3%17.0%52.8%20.6%58.2%9.4%1.5%-72.0K925.3K-26.1K0.5064.79N/AN/A8411,7485,060