NCNO Options History — May 2023

In May 2023, NCNO traded between $21.55 and $27.73. ATM implied volatility averaged 61.5%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 1.2% (HV 20d: 62.7%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.34.

Notable Days

  • 2023-05-22: Highest Volume — 370 contracts
  • 2023-05-02: Largest IV spike — 39.4% change
  • 2023-05-31: Highest IV Rank — 20.8%
  • 2023-05-31: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.64$21.55$27.73$24.63$27.50
Max Pain$23.30$20.00$25.00$25.00$25.00
ATM IV61.5%46.8%78.2%46.8%78.2%
Expected Move17.7%13.4%22.4%13.4%22.4%
HV 20d62.7%38.6%72.1%38.6%46.1%
HV 60d57.8%51.6%59.8%51.6%58.8%
IV Rank10.6%1.7%20.8%1.7%20.8%
IV Percentile38.6%0.4%88.5%0.4%88.5%
Term Structure-4.2%-15.2%9.4%9.4%-14.6%
VWIV63.0%45.5%90.3%46.8%76.3%
Skew 25d10.2%-3.5%21.4%16.6%4.5%
Skew 10d19.8%-8.5%49.2%16.8%1.5%
Call IV 25d55.8%39.3%71.9%39.3%71.9%
Put IV 25d66.0%56.0%76.4%56.0%76.4%
Bid-Ask Spread %78.8367.05105.1367.0567.83
Gamma HHI0.240.160.340.200.34
Net GEX22.8K-7.5K55.6K17.7K52.1K
Net DEX-458.8K-1.8M690.1K-392.5K-1.6M
Net VEX-9.1K-14.5K-5.6K-8.2K-13.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.0010.000.910.55
Total Volume87.455037021115
Total OI5,287.9552,3097,1986,2282,904

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$24.63$25.0046.8%13.4%38.6%1.7%46.8%16.6%9.4%17.7K-392.5K-8.2K0.9167.05N/AN/A11104,9951,233
2023-05-02$21.87$25.0065.2%18.7%57.0%12.9%50.8%21.4%-7.9%-4.5K492.3K-6.2K0.34105.13N/AN/A29104,9941,226
2023-05-03$22.67$25.0056.0%16.1%58.8%7.3%45.5%-3.5%4.2%2.4K311.1K-6.4K2.7999.61N/AN/A752095,0151,220
2023-05-04$21.55$25.0068.7%16.6%61.1%15.0%63.8%5.7%-1.7%-7.5K690.1K-5.9K10.0085.00N/AN/A4405,0011,317
2023-05-05$22.29$25.0055.5%17.3%62.6%7.0%65.4%16.5%-2.4%-3.0K561.7K-6.3K6.7573.11N/AN/A4275,0041,325
2023-05-08$22.50$25.0055.2%17.6%62.4%6.8%90.3%17.6%-5.3%-686554.5K-6.0K3.3375.79N/AN/A3105,0061,309
2023-05-09$22.19$25.0053.6%17.3%62.2%5.9%62.0%6.9%-3.9%-3.0K664.1K-5.6K0.1367.05N/AN/A2435,0091,303
2023-05-10$23.09$22.5061.7%17.7%64.0%10.8%62.5%10.4%-3.1%6.9K382.3K-6.0K0.0770.36N/AN/A1515,0331,305
2023-05-11$23.07$20.0061.5%17.6%63.6%10.6%0.0%15.7%-2.5%9.6K278.8K-6.7K0.0075.26N/AN/A005,1401,306
2023-05-12$22.52$20.0059.8%17.2%63.5%9.6%62.0%13.5%-4.7%905554.1K-5.9K0.5068.59N/AN/A425,1401,306
2023-05-15$23.64$20.0062.5%17.9%66.3%11.2%60.0%9.6%-4.3%15.6K117.5K-6.8K0.0069.14N/AN/A17905,1391,308
2023-05-16$23.51$20.0063.1%18.1%66.1%11.6%0.0%21.4%-3.5%16.1K263.4K-6.7K0.2676.66N/AN/A170445,3081,308
2023-05-17$24.59$20.0064.7%18.6%68.0%12.6%65.6%12.0%-8.4%41.9K-435.9K-8.8K0.1568.29N/AN/A282435,4781,351
2023-05-18$25.70$22.5059.4%17.0%69.7%9.4%64.1%4.8%-4.7%55.3K-1.5M-10.9K1.5267.78N/AN/A40615,7341,390
2023-05-19$25.66$22.5063.0%18.1%69.1%11.5%63.1%5.5%6.7%24.2K-1.8M-11.0K0.4468.54N/AN/A50225,7511,447
2023-05-22$27.46$22.5066.3%19.0%72.1%13.6%62.9%5.5%-15.2%32.2K-1.2M-11.6K0.0172.60N/AN/A36731,678631
2023-05-23$27.57$22.5066.7%19.1%66.8%13.8%65.6%8.4%-11.0%43.2K-1.5M-13.5K0.2089.66N/AN/A2041,995638
2023-05-24$27.52$25.0058.9%16.9%65.9%9.1%0.0%8.7%-5.3%48.6K-1.6M-13.6K0.0082.87N/AN/A302,079648
2023-05-25$27.33$25.0063.1%18.1%65.6%11.6%0.0%9.8%-5.1%48.4K-1.5M-13.4K0.00101.97N/AN/A102,081648
2023-05-26$27.59$25.0059.8%17.2%65.2%9.6%59.9%6.6%-3.5%49.8K-1.6M-13.6K0.0096.24N/AN/A502,081648
2023-05-30$27.73$25.0062.9%18.0%65.1%11.5%66.3%6.5%-5.8%55.6K-1.8M-14.5K0.2185.73N/AN/A2862,255648
2023-05-31$27.50$25.0078.2%22.4%46.1%20.8%76.3%4.5%-14.6%52.1K-1.6M-13.8K0.5567.83N/AN/A74412,251653