NCNO Options History — February 2023

In February 2023, NCNO traded between $26.99 and $31.14. ATM implied volatility averaged 56.5%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 2.2% (HV 20d: 54.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.31.

Notable Days

  • 2023-02-21: Highest Volume — 364 contracts
  • 2023-02-24: Largest IV spike — 53.0% change
  • 2023-02-24: Highest IV Rank — 50.6%
  • 2023-02-24: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.92$26.99$31.14$30.02$27.28
Max Pain$29.74$25.00$30.00$25.00$30.00
ATM IV56.5%50.9%77.9%66.5%61.8%
Expected Move15.9%13.8%22.3%19.1%17.7%
HV 20d54.3%45.9%57.7%54.3%46.1%
HV 60d54.8%50.6%68.3%68.3%50.6%
IV Rank18.7%10.4%50.6%33.5%26.6%
IV Percentile12.4%0.4%74.2%41.7%29.8%
Term Structure0.8%-25.5%9.9%-12.4%0.6%
VWIV53.0%44.6%62.4%62.4%51.8%
Skew 25d8.7%-13.5%36.7%21.1%12.2%
Skew 10d16.4%-24.2%40.3%30.6%19.5%
Call IV 25d50.5%43.9%57.4%48.8%51.8%
Put IV 25d59.1%36.0%90.8%70.0%64.0%
Bid-Ask Spread %83.9363.41107.3399.9474.56
Gamma HHI0.300.150.560.260.22
Net GEX103.5K30.8K189.4K103.3K38.9K
Net DEX-1.9M-3.9M-364.6K-2.6M-364.6K
Net VEX-14.6K-18.5K-10.2K-16.5K-10.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.006.601.500.14
Total Volume60.4212364108
Total OI10,284.8425,31312,62512,1695,743

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-02-01$30.02$25.0066.5%19.1%54.3%33.5%62.4%21.1%-12.4%103.3K-2.6M-16.5K1.5099.94N/AN/A4610,0972,072
2023-02-02$31.14$30.0055.7%13.8%54.7%17.4%44.6%-1.1%6.1%141.7K-3.7M-18.4K0.0080.36N/AN/A219110,1042,071
2023-02-03$30.46$30.0052.0%14.2%53.1%11.9%49.5%-5.8%5.8%144.8K-3.3M-17.5K2.4595.11N/AN/A112710,3122,070
2023-02-06$29.06$30.0057.1%14.7%56.7%19.6%0.0%6.3%3.8%117.1K-2.1M-17.3K0.7578.26N/AN/A4310,3112,083
2023-02-07$29.50$30.0056.4%14.5%54.5%18.5%50.1%1.3%1.2%129.8K-2.4M-16.2K0.3385.48N/AN/A3110,3072,082
2023-02-08$30.05$30.0052.1%14.9%54.5%12.1%50.9%4.4%9.2%147.5K-3.1M-17.8K0.2863.41N/AN/A32910,3072,083
2023-02-09$29.23$30.0054.5%15.6%55.9%15.7%0.0%-13.5%-1.1%128.6K-2.2M-15.4K0.00107.33N/AN/A2010,3242,092
2023-02-10$28.14$30.0053.6%15.4%56.8%14.4%0.0%12.5%1.2%93.3K-1.3M-13.8K0.5081.52N/AN/A2110,3242,092
2023-02-13$28.59$30.0054.7%15.7%56.9%15.9%0.0%16.0%0.2%128.1K-2.3M-18.5K6.0094.80N/AN/A21210,3252,099
2023-02-14$29.31$30.0051.8%14.8%56.5%11.7%49.9%-13.3%4.4%149.8K-2.0M-13.7K0.01102.93N/AN/A163110,3252,110
2023-02-15$30.37$30.0053.1%15.2%57.7%13.6%53.4%3.9%-0.7%189.4K-3.9M-17.4K6.6091.15N/AN/A53310,4722,111
2023-02-16$29.20$30.0051.9%14.9%56.3%11.8%55.9%6.0%2.9%188.1K-1.7M-12.5K0.5077.68N/AN/A14710,4752,137
2023-02-17$28.53$30.0051.5%14.8%56.8%11.2%52.1%27.2%1.0%36.9K-1.0M-12.6K0.6282.79N/AN/A452810,4832,142
2023-02-21$27.68$30.0054.8%15.7%57.0%16.1%54.7%12.7%1.0%30.8K-539.3K-11.9K0.0869.07N/AN/A337274,0571,256
2023-02-22$28.29$30.0054.1%15.5%53.0%15.1%55.0%36.7%1.9%52.3K-797.1K-12.2K0.4984.40N/AN/A53264,3921,303
2023-02-23$28.23$30.0050.9%14.6%52.1%10.4%49.4%16.4%6.4%63.3K-991.8K-13.9K0.3880.81N/AN/A834,4211,328
2023-02-24$27.34$30.0077.9%22.3%52.7%50.6%56.4%21.6%-25.5%39.0K-393.7K-10.7K3.6074.70N/AN/A10364,4291,331
2023-02-27$26.99$30.0062.9%18.0%45.9%28.2%58.6%0.3%9.9%42.7K-448.8K-11.1K0.6770.43N/AN/A324,4351,307
2023-02-28$27.28$30.0061.8%17.7%46.1%26.6%51.8%12.2%0.6%38.9K-364.6K-10.2K0.1474.56N/AN/A714,4361,307