NCNO Options History — July 2023

In July 2023, NCNO traded between $29.92 and $32.30. ATM implied volatility averaged 52.0%, placing in the 6.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 4.0% (HV 20d: 56.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.20.

Notable Days

  • 2023-07-05: Highest Volume — 2,097 contracts
  • 2023-07-25: Largest IV spike — 42.2% change
  • 2023-07-31: Highest IV Rank — 15.6%
  • 2023-07-31: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.11$29.92$32.30$30.13$32.30
Max Pain$28.25$25.00$30.00$30.00$30.00
ATM IV52.0%35.3%62.3%42.8%62.3%
Expected Move14.5%10.1%17.9%12.3%17.9%
HV 20d56.0%23.8%85.7%85.2%31.8%
HV 60d68.1%62.7%69.5%69.0%62.7%
IV Rank6.8%0.0%15.6%0.0%15.6%
IV Percentile17.6%0.0%58.3%0.0%58.3%
Term Structure-9.4%-36.7%19.0%-2.4%-26.4%
VWIV56.4%41.4%76.6%41.4%54.9%
Skew 25d-3.4%-24.3%14.8%14.8%9.9%
Skew 10d3.3%-36.2%59.3%27.2%12.9%
Call IV 25d57.3%39.0%68.3%39.0%49.7%
Put IV 25d53.9%37.1%72.4%53.7%59.7%
Bid-Ask Spread %93.4881.99108.8196.75106.75
Gamma HHI0.490.380.630.440.62
Net GEX662.0K441.8K945.1K441.8K945.1K
Net DEX-16.2M-19.6M-11.7M-11.7M-19.1M
Net VEX-63.9K-69.4K-55.6K-55.6K-64.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.000.870.000.08
Total Volume650.35372,09737903
Total OI21,71818,17626,03218,17620,111

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$30.13$30.0042.8%12.3%85.2%0.0%41.4%14.8%-2.4%441.8K-11.7M-55.6K0.0096.75N/AN/A37014,5953,581
2023-07-05$30.77$30.0055.4%15.9%84.6%7.6%65.9%-1.0%-1.9%487.0K-14.5M-60.5K0.0282.26N/AN/A2,0643314,6173,581
2023-07-06$29.92$25.0047.4%13.5%85.6%2.7%76.6%-3.0%-4.6%449.9K-11.7M-57.2K0.0188.86N/AN/A1,538816,5743,675
2023-07-07$30.27$25.0060.6%14.2%85.6%10.7%59.1%-13.0%-16.2%582.6K-14.6M-66.4K0.3381.99N/AN/A49716217,9963,680
2023-07-10$30.24$25.0055.9%13.4%85.7%7.9%55.3%-6.2%0.9%561.2K-13.6M-60.0K0.3991.22N/AN/A1485718,4293,772
2023-07-11$30.82$25.0056.3%14.2%85.3%8.1%55.8%-7.2%-7.4%625.0K-16.1M-67.4K0.1684.99N/AN/A2153518,4803,798
2023-07-12$31.31$25.0057.3%16.4%85.2%8.8%54.8%4.0%-19.7%725.1K-18.5M-65.8K0.2789.51N/AN/A59415918,4343,828
2023-07-13$31.79$25.0052.2%15.0%84.5%5.7%55.0%7.2%-21.3%776.3K-19.6M-62.0K0.1995.55N/AN/A1,31125418,6263,969
2023-07-14$31.00$25.0045.5%13.0%85.2%1.6%51.0%-7.8%-21.3%728.7K-16.9M-62.0K0.27100.11N/AN/A73020019,7514,222
2023-07-17$31.52$30.0049.5%14.2%83.8%4.1%61.4%13.1%-11.1%763.1K-18.4M-65.8K0.0895.34N/AN/A1411120,2334,383
2023-07-18$31.62$30.0052.5%15.0%29.6%5.8%53.7%3.4%-17.0%738.3K-18.8M-69.4K0.8793.85N/AN/A12510920,3334,382
2023-07-19$31.04$30.0060.9%17.5%27.2%10.9%49.6%9.4%-36.7%637.7K-18.4M-67.3K0.1391.40N/AN/A5817320,3804,488
2023-07-20$30.59$30.0052.4%15.0%24.3%5.8%65.7%-8.0%-3.7%633.9K-15.2M-63.0K0.0189.09N/AN/A8531220,8764,449
2023-07-21$30.83$30.0042.1%12.1%24.3%0.0%58.5%-22.2%-17.2%584.0K-18.3M-67.6K0.1888.16N/AN/A2654821,5724,460
2023-07-24$31.61$30.0035.3%10.1%25.2%0.0%55.1%-24.3%19.0%689.0K-14.4M-65.4K0.0696.97N/AN/A4932815,6283,561
2023-07-25$31.74$30.0050.2%14.4%23.8%8.6%49.3%-16.7%1.3%739.4K-17.2M-63.9K0.6189.40N/AN/A17010315,6753,579
2023-07-26$31.96$30.0050.5%14.5%23.8%8.8%52.3%0.7%7.8%713.4K-16.4M-66.5K0.05108.81N/AN/A2381215,7263,583
2023-07-27$30.74$30.0054.0%15.5%28.1%10.8%57.4%-14.7%6.8%642.7K-14.0M-60.5K0.0997.69N/AN/A4914215,8283,595
2023-07-28$32.10$30.0056.8%16.3%31.8%12.4%54.4%-6.9%-16.7%776.5K-17.0M-66.7K0.17100.90N/AN/A2283916,2743,636
2023-07-31$32.30$30.0062.3%17.9%31.8%15.6%54.9%9.9%-26.4%945.1K-19.1M-64.4K0.08106.75N/AN/A8337016,4493,662