NCNO Options History — January 2023

In January 2023, NCNO traded between $24.91 and $28.69. ATM implied volatility averaged 56.1%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 5.2% (HV 20d: 50.8%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 3.28.

Notable Days

  • 2023-01-06: Highest Volume — 815 contracts
  • 2023-01-23: Largest IV spike — 28.6% change
  • 2023-01-03: Highest IV Rank — 23.9%
  • 2023-01-03: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.87$24.91$28.69$26.29$28.58
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV56.1%44.0%64.4%61.9%55.5%
Expected Move16.0%12.6%17.7%17.7%15.9%
HV 20d50.8%45.7%56.8%51.6%52.0%
HV 60d66.8%65.5%69.3%67.5%67.6%
IV Rank13.5%0.0%23.9%23.9%17.2%
IV Percentile7.9%0.0%34.5%25.0%4.0%
Term Structure-0.3%-6.3%22.8%-1.1%-5.7%
VWIV55.5%47.1%77.1%60.6%53.4%
Skew 25d7.0%-5.3%17.3%3.4%7.7%
Skew 10d17.6%-7.9%46.2%8.4%30.5%
Call IV 25d51.9%40.0%60.4%60.0%52.7%
Put IV 25d58.9%43.2%65.1%63.4%60.4%
Bid-Ask Spread %71.1042.0297.0161.2997.01
Gamma HHI0.270.160.370.250.30
Net GEX-16.7K-175.0K129.6K-77.0K88.1K
Net DEX-89.6K-1.7M2.7M826.8K-1.7M
Net VEX-18.2K-24.7K-13.2K-24.7K-15.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.280.0043.000.881.33
Total Volume1391815817
Total OI15,136.711,89217,06716,82312,160

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$26.29$25.0061.9%17.7%51.6%23.9%60.6%3.4%-1.1%-77.0K826.8K-24.7K0.8861.29N/AN/A433811,7535,070
2023-01-04$25.88$25.0060.2%17.2%45.7%20.8%54.8%3.1%0.3%-114.1K1.5M-23.0K0.5371.90N/AN/A914811,7895,081
2023-01-05$24.91$25.0060.0%17.0%47.8%20.6%0.0%7.9%0.6%-175.0K2.7M-21.9K1.3864.68N/AN/A81111,9575,104
2023-01-06$25.36$25.0055.3%16.8%48.1%8.0%77.1%9.2%1.5%-174.2K2.1M-22.1K0.0366.25N/AN/A7952011,9625,105
2023-01-09$26.64$25.0064.4%16.9%49.6%23.1%57.6%6.8%-1.0%-77.0K476.3K-22.0K0.0870.82N/AN/A77611,4435,115
2023-01-10$26.45$25.0060.9%16.8%49.7%17.4%54.1%5.7%0.5%-101.4K689.3K-20.9K0.0065.37N/AN/A6011,5335,117
2023-01-11$26.68$25.0058.0%16.6%48.8%12.6%53.8%6.3%-0.5%-92.5K232.8K-20.3K0.0046.00N/AN/A9011,5335,117
2023-01-12$27.55$25.0051.4%14.7%49.5%1.7%56.0%5.1%3.5%13.9K-792.8K-19.0K1.4442.32N/AN/A91311,5355,117
2023-01-13$27.31$25.0055.4%15.9%49.5%8.3%54.4%5.7%1.9%-16.0K-476.0K-19.9K7.6442.02N/AN/A1410711,5375,117
2023-01-17$28.18$25.0053.1%15.2%48.9%3.2%52.9%8.9%2.3%129.6K-1.6M-18.1K0.0787.73N/AN/A1931411,5395,184
2023-01-18$28.08$25.0051.7%14.8%48.7%0.4%51.7%13.7%3.7%45.7K-1.2M-16.8K0.0087.63N/AN/A300111,7145,181
2023-01-19$26.68$25.0058.7%16.8%52.4%12.1%53.9%5.5%-6.3%-100.6K389.7K-16.4K0.5082.33N/AN/A482411,6935,181
2023-01-20$27.25$25.0044.0%12.6%52.9%0.0%51.3%6.9%22.8%32.0K-688.8K-15.0K0.0964.02N/AN/A3513311,7205,201
2023-01-23$26.53$25.0056.5%16.2%52.7%18.8%47.1%9.1%-5.2%39.9K-526.3K-14.7K0.4266.71N/AN/A101429,9451,947
2023-01-24$25.08$25.0055.5%15.9%53.7%17.2%55.0%17.3%-3.4%12.0K204.8K-13.2K7.0078.49N/AN/A1711910,0321,959
2023-01-25$25.94$25.0056.3%16.1%54.5%18.4%0.0%8.8%-4.9%20.9K-43.3K-13.2K0.0065.89N/AN/A1010,0312,011
2023-01-26$26.70$25.0054.9%15.8%52.1%16.4%0.0%5.7%-5.4%40.6K-524.1K-14.2K43.0079.03N/AN/A14310,0312,010
2023-01-27$28.68$25.0051.8%14.8%56.8%11.6%54.1%8.8%-4.3%85.1K-1.7M-16.3K1.2195.92N/AN/A425110,0312,057
2023-01-30$28.69$25.0055.9%16.0%52.1%17.7%53.4%-5.3%-5.5%85.1K-1.7M-16.4K0.0786.67N/AN/A91610,0612,061
2023-01-31$28.58$25.0055.5%15.9%52.0%17.2%0.0%7.7%-5.7%88.1K-1.7M-15.7K1.3397.01N/AN/A3410,0942,066