NCNO Options History — June 2023

In June 2023, NCNO traded between $24.02 and $31.60. ATM implied volatility averaged 57.6%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 17.3% (HV 20d: 74.9%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.55.

Notable Days

  • 2023-06-23: Highest Volume — 3,621 contracts
  • 2023-06-16: Largest IV spike — 48.0% change
  • 2023-06-13: Highest IV Rank — 27.1%
  • 2023-06-16: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.13$24.02$31.60$24.64$30.13
Max Pain$25.95$25.00$30.00$25.00$30.00
ATM IV57.6%46.8%88.5%64.5%50.6%
Expected Move15.1%13.0%20.3%18.5%14.5%
HV 20d74.9%54.5%96.4%62.1%85.2%
HV 60d63.5%54.2%70.4%62.8%69.0%
IV Rank8.3%1.7%27.1%12.5%4.1%
IV Percentile27.1%0.8%96.0%54.0%3.2%
Term Structure-3.7%-20.1%4.8%4.8%-2.6%
VWIV54.9%33.9%70.0%57.7%70.0%
Skew 25d-0.5%-14.4%24.4%14.0%-9.5%
Skew 10d-3.2%-25.7%30.5%22.9%-17.1%
Call IV 25d53.6%33.9%67.3%33.9%63.5%
Put IV 25d53.1%35.2%73.1%47.9%54.0%
Bid-Ask Spread %89.6643.65111.24100.3191.27
Gamma HHI0.320.220.460.280.46
Net GEX185.7K30.8K458.7K31.2K458.7K
Net DEX-5.9M-12.8M-616.3K-966.8K-12.8M
Net VEX-35.7K-58.2K-10.5K-12.6K-57.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.002.900.442.07
Total Volume691.66723,621105169
Total OI9,552.3332,96018,0462,96018,046

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$24.64$25.0064.5%18.5%62.1%12.5%57.7%14.0%4.8%31.2K-966.8K-12.6K0.44100.31N/AN/A73322,278682
2023-06-02$24.68$25.0055.1%15.8%58.6%6.7%55.3%24.4%-4.8%30.8K-715.0K-11.2K0.07101.55N/AN/A208152,286677
2023-06-05$24.20$25.0058.6%14.7%58.4%8.9%49.2%-6.4%1.3%35.9K-851.4K-11.5K0.0397.18N/AN/A3612,476681
2023-06-06$24.18$25.0063.5%14.8%58.4%11.9%51.6%15.2%-2.1%37.6K-732.7K-10.9K2.9098.91N/AN/A401162,490688
2023-06-07$24.31$25.0060.0%16.2%58.1%9.7%0.0%-3.5%-0.5%36.5K-785.5K-11.7K0.00102.13N/AN/A202,527750
2023-06-08$24.41$25.0052.5%14.2%56.6%5.2%50.7%-12.0%0.9%36.6K-616.3K-10.5K1.2095.44N/AN/A2202642,527772
2023-06-09$24.14$25.0061.7%13.0%56.8%10.8%0.0%6.5%3.8%56.0K-2.1M-34.5K0.0094.43N/AN/A1005,0432,350
2023-06-12$24.75$25.0067.1%13.6%56.4%14.1%55.1%6.0%0.7%69.5K-2.5M-33.9K0.0799.16N/AN/A10575,0882,378
2023-06-13$24.31$25.0088.5%13.3%54.5%27.1%47.9%8.9%1.4%62.3K-2.2M-34.3K0.1493.43N/AN/A200275,2562,379
2023-06-14$24.02$25.0046.8%13.4%54.6%1.7%47.5%0.6%1.1%73.6K-2.5M-36.1K0.0496.58N/AN/A5225,4322,415
2023-06-15$25.34$25.0047.7%13.7%55.6%2.3%33.9%-0.9%0.2%107.5K-3.3M-36.5K0.10111.24N/AN/A248255,4792,417
2023-06-16$31.60$25.0070.7%20.3%95.0%16.2%69.7%6.3%-13.0%134.7K-9.8M-43.7K0.2379.31N/AN/A1,7894155,4842,413
2023-06-20$30.46$25.0047.2%13.5%96.4%2.0%49.0%-4.0%-1.9%219.9K-9.9M-42.0K0.1243.65N/AN/A3,0603756,6192,660
2023-06-21$29.39$25.0054.9%15.8%94.9%6.7%58.1%-2.4%-5.0%226.8K-9.4M-45.8K0.4177.38N/AN/A1,1384639,3012,851
2023-06-22$29.63$25.0047.8%13.7%95.0%2.3%51.2%-9.3%-4.3%258.9K-8.8M-42.7K0.2476.64N/AN/A2215310,1483,047
2023-06-23$30.11$25.0056.7%16.2%95.0%7.7%63.5%-5.2%-7.1%289.0K-9.8M-48.7K0.0076.80N/AN/A3,6091210,3133,061
2023-06-26$29.53$25.0053.7%15.4%95.3%5.9%54.1%-4.8%-14.8%418.2K-11.3M-55.7K2.4493.32N/AN/A10525613,8973,070
2023-06-27$29.73$30.0056.4%16.2%95.3%7.6%58.9%-14.4%-20.1%412.9K-10.9M-55.8K0.1487.42N/AN/A5748213,9203,297
2023-06-28$29.97$30.0053.0%15.2%95.3%5.5%53.6%-8.2%-6.8%444.8K-11.9M-55.9K0.2683.42N/AN/A1784614,2373,371
2023-06-29$30.17$30.0052.4%15.0%95.2%5.1%66.8%-10.9%-8.4%458.1K-12.8M-58.2K0.5883.19N/AN/A18810914,4153,378
2023-06-30$30.13$30.0050.6%14.5%85.2%4.1%70.0%-9.5%-2.6%458.7K-12.8M-57.6K2.0791.27N/AN/A5511414,5713,475