NCNO Options History — April 2023

In April 2023, NCNO traded between $23.43 and $25.88. ATM implied volatility averaged 55.0%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 6.4% (HV 20d: 48.6%). Max pain ranged from $25.00 to $25.00. Net GEX was positive for 6 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.86.

Notable Days

  • 2023-04-21: Highest Volume — 266 contracts
  • 2023-04-10: Largest IV spike — 37.0% change
  • 2023-04-10: Highest IV Rank — 17.1%
  • 2023-04-04: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.62$23.43$25.88$24.36$24.66
Max Pain$25.00$25.00$25.00$25.00$25.00
ATM IV55.0%49.2%72.1%50.5%55.6%
Expected Move15.3%13.5%17.0%14.5%16.0%
HV 20d48.6%31.0%69.8%69.8%45.3%
HV 60d54.3%52.2%56.6%56.6%52.2%
IV Rank6.7%3.2%17.1%4.0%7.1%
IV Percentile12.6%0.4%65.5%0.4%15.5%
Term Structure3.7%-5.4%15.1%0.8%10.7%
VWIV54.4%45.4%62.9%51.0%57.2%
Skew 25d9.1%2.3%22.9%16.5%6.8%
Skew 10d13.5%-5.2%38.6%33.1%38.6%
Call IV 25d49.0%36.3%56.2%43.6%48.7%
Put IV 25d58.0%52.7%63.2%60.1%55.5%
Bid-Ask Spread %78.8457.6892.6187.1189.80
Gamma HHI0.210.160.370.170.17
Net GEX-13.6K-30.2K14.4K-21.5K13.9K
Net DEX118.1K-578.6K589.5K412.2K-250.8K
Net VEX-7.7K-8.4K-7.0K-8.1K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.007.860.051.60
Total Volume77.684326611339
Total OI6,456.5796,0216,8636,3726,247

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-04-03$24.36$25.0050.5%14.5%69.8%4.0%51.0%16.5%0.8%-21.5K412.2K-8.1K0.0587.11N/AN/A10854,4511,921
2023-04-04$24.13$25.0059.3%17.0%69.5%9.3%59.8%6.2%-5.4%-23.5K467.0K-8.3K0.0082.24N/AN/A7704,5481,921
2023-04-05$24.16$25.0058.7%16.8%69.6%8.9%57.0%9.0%-3.9%-26.0K456.2K-8.2K0.1081.90N/AN/A4244,5951,921
2023-04-06$24.29$25.0052.6%14.7%65.7%5.3%51.4%8.0%6.1%-24.6K446.3K-8.4K0.0065.84N/AN/A1004,5991,920
2023-04-10$23.75$25.0072.1%16.7%59.9%17.1%0.0%4.2%-1.6%-27.3K589.5K-7.9K0.0057.68N/AN/A304,5951,920
2023-04-11$24.08$25.0063.0%13.5%51.0%11.5%0.0%7.2%15.1%-30.2K487.6K-7.5K0.0083.31N/AN/A1204,5951,920
2023-04-12$24.27$25.0052.2%15.0%50.4%5.0%56.2%9.9%6.2%-24.2K420.5K-7.3K1.0076.08N/AN/A224,5951,778
2023-04-13$24.70$25.0053.9%15.4%50.4%6.0%0.0%3.3%7.5%-18.8K278.2K-7.2K0.0171.25N/AN/A10614,5951,776
2023-04-14$25.14$25.0053.9%15.5%44.8%6.0%54.1%9.2%6.0%-13.2K39.2K-7.5K1.5286.46N/AN/A951444,7651,774
2023-04-17$25.01$25.0052.9%15.2%41.4%5.4%62.9%4.4%4.1%-27.1K78.8K-7.5K1.2280.76N/AN/A9114,8191,886
2023-04-18$25.35$25.0052.0%14.9%41.0%4.9%52.5%10.1%4.9%-21.3K-105.8K-7.8K0.1483.98N/AN/A135194,8161,896
2023-04-19$24.90$25.0052.5%15.0%37.4%5.2%54.3%2.3%4.2%-29.7K56.7K-7.7K0.8377.12N/AN/A12104,9231,896
2023-04-20$25.21$25.0052.2%15.0%31.2%5.0%52.1%2.3%4.3%-29.8K-88.0K-7.6K7.8678.86N/AN/A7554,9311,906
2023-04-21$25.88$25.0052.6%15.1%31.0%5.3%54.4%5.3%1.3%4.9K-578.6K-7.5K0.0062.05N/AN/A26514,9301,933
2023-04-24$25.09$25.0049.2%14.1%33.7%3.2%45.4%16.7%7.2%12.7K-264.4K-7.5K0.2382.64N/AN/A92214,7501,271
2023-04-25$23.43$25.0057.7%16.5%42.4%8.3%59.8%14.8%-1.1%3.5K196.6K-7.0K0.8377.48N/AN/A654,8331,257
2023-04-26$24.35$25.0052.8%15.1%44.3%5.3%51.0%12.9%1.4%10.3K-100.3K-7.6K0.0080.72N/AN/A064,8371,261
2023-04-27$25.02$25.0051.5%14.8%44.9%4.6%50.9%22.9%2.9%14.4K-297.6K-7.8K0.0192.61N/AN/A17114,8371,257
2023-04-28$24.66$25.0055.6%16.0%45.3%7.1%57.2%6.8%10.7%13.9K-250.8K-8.0K1.6089.80N/AN/A15244,9901,257