NCNO Options History — March 2023

In March 2023, NCNO traded between $21.05 and $27.42. ATM implied volatility averaged 76.9%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 20.6% (HV 20d: 56.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 7 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 7.18.

Notable Days

  • 2023-03-13: Highest Volume — 1,278 contracts
  • 2023-03-14: Largest IV spike — 65.5% change
  • 2023-03-13: Highest IV Rank — 100.0%
  • 2023-03-16: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.77$21.05$27.42$26.49$24.79
Max Pain$27.17$25.00$30.00$30.00$25.00
ATM IV76.9%50.8%208.7%63.2%53.9%
Expected Move19.4%14.6%27.4%18.1%15.5%
HV 20d56.3%39.8%69.8%47.1%69.8%
HV 60d53.9%48.1%58.0%50.1%57.0%
IV Rank29.2%4.2%100.0%28.7%6.0%
IV Percentile52.1%0.4%100.0%36.9%6.0%
Term Structure-8.1%-48.3%11.1%-2.4%-0.0%
VWIV64.7%32.4%92.1%57.8%56.7%
Skew 25d12.6%-13.4%45.1%7.5%11.4%
Skew 10d23.3%-29.9%137.2%4.4%31.3%
Call IV 25d61.8%44.1%79.6%54.7%46.0%
Put IV 25d74.4%54.1%116.9%62.2%57.4%
Bid-Ask Spread %81.4258.63108.3158.6390.54
Gamma HHI0.180.140.230.200.16
Net GEX-5.7K-35.9K48.7K32.1K-15.3K
Net DEX468.3K-506.4K1.1M-178.8K230.1K
Net VEX-8.7K-11.0K-7.0K-9.5K-8.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.180.0055.600.410.00
Total Volume181.1371,2782429
Total OI6,074.5225,7456,5005,7476,372

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-03-01$26.49$30.0063.2%18.1%47.1%28.7%57.8%7.5%-2.4%32.1K-178.8K-9.5K0.4158.63N/AN/A1774,4411,306
2023-03-02$26.38$30.0063.5%18.2%42.8%29.1%58.3%16.7%-4.3%29.2K-114.2K-9.3K1.5584.98N/AN/A11174,4331,312
2023-03-03$27.42$30.0061.5%17.6%43.0%26.2%32.4%6.3%-12.8%48.7K-506.4K-10.4K12.0094.47N/AN/A1124,4331,325
2023-03-06$26.98$30.0063.5%16.4%42.8%29.1%57.2%14.4%11.1%36.0K-204.0K-9.2K0.9669.41N/AN/A1061024,4341,332
2023-03-07$26.41$30.0072.9%17.3%40.4%43.1%55.6%9.0%-4.1%24.6K-19.4K-9.6K1.5067.69N/AN/A12184,5391,434
2023-03-08$26.38$30.0065.4%17.7%39.8%32.0%57.4%18.2%-5.9%13.0K283.8K-8.4K0.3577.15N/AN/A62224,5431,424
2023-03-09$24.69$30.0064.3%16.7%44.1%31.5%0.0%1.9%-3.8%-11.1K627.9K-7.4K0.0060.48N/AN/A10304,5941,433
2023-03-10$22.87$30.0077.5%19.9%49.8%51.9%64.9%-2.5%-6.5%2.6K446.6K-11.0K0.7768.72N/AN/A1511174,5271,433
2023-03-13$21.05$30.00126.1%25.6%55.1%100.0%85.0%40.8%-13.2%-12.9K1.1M-7.9K0.64105.68N/AN/A7804984,5531,523
2023-03-14$21.64$30.00208.7%19.2%56.1%100.0%68.4%41.4%-7.6%-2.3K437.1K-7.9K1.2792.05N/AN/A44564,8851,434
2023-03-15$22.01$25.0072.1%20.7%55.5%17.1%0.0%8.7%-6.1%-14.6K434.9K-7.0K1.5777.40N/AN/A7114,9001,420
2023-03-16$23.59$25.0095.4%27.4%60.6%31.2%86.6%45.1%-48.3%-4.3K-88.1K-8.8K55.6095.56N/AN/A52784,8961,413
2023-03-17$22.59$25.0069.6%20.0%60.8%15.6%83.3%6.5%-5.6%-19.1K262.0K-8.5K12.2093.69N/AN/A151834,8991,601
2023-03-20$22.30$25.0068.0%19.5%60.7%14.6%67.1%8.5%-3.0%-23.1K919.3K-8.3K0.1374.82N/AN/A5574,1331,628
2023-03-21$23.58$25.0087.7%25.1%64.9%26.5%58.5%29.0%-40.4%-15.2K579.9K-8.9K0.4679.18N/AN/A107494,1731,634
2023-03-22$22.37$25.0065.2%18.7%65.7%12.9%72.2%-1.8%-7.8%-26.1K848.6K-8.6K0.1179.66N/AN/A117134,3121,683
2023-03-23$22.05$25.0069.8%20.0%65.6%15.7%48.7%8.2%-8.2%-23.4K901.3K-8.6K2.5086.92N/AN/A254,3791,689
2023-03-24$21.95$25.0064.7%18.6%65.3%12.6%83.1%11.8%-13.6%-30.5K1.0M-7.9K40.20108.31N/AN/A52014,3811,694
2023-03-27$22.45$25.0076.4%21.9%66.3%19.7%92.1%-13.4%0.3%-26.8K983.8K-8.8K27.3384.65N/AN/A3824,3821,795
2023-03-28$22.54$25.0067.2%19.3%66.1%14.1%68.5%9.4%0.8%-26.0K1.0M-9.4K4.5179.66N/AN/A964334,3821,866
2023-03-29$22.89$25.0050.8%14.6%66.2%4.2%51.7%4.9%6.6%-35.9K987.4K-8.2K0.6967.99N/AN/A1561074,4701,934
2023-03-30$23.20$25.0060.8%17.4%66.6%10.2%53.9%6.9%-10.4%-31.4K837.3K-8.1K0.3974.92N/AN/A46184,4301,910
2023-03-31$24.79$25.0053.9%15.5%69.8%6.0%56.7%11.4%-0.0%-15.3K230.1K-8.9K0.0090.54N/AN/A2904,4511,921