NCNO Options History — August 2023 In August 2023, NCNO traded between $28.77 and $33.05. ATM implied volatility averaged 62.6%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 28.9% (HV 20d: 33.8%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.45.
Notable Days 2023-08-30 : Highest Volume — 4,656 contracts2023-08-16 : Largest IV spike — 88.2% change2023-08-29 : Highest IV Rank — 30.3%2023-08-29 : Largest Expected Move — 25.2%Monthly Statistics Metric Avg Min Max Open Close Price $29.83 $28.77 $33.05 $32.17 $33.05 Max Pain $30.43 $30.00 $35.00 $30.00 $30.00 ATM IV 62.6% 40.3% 87.8% 48.6% 43.1% Expected Move 17.8% 11.5% 25.2% 13.9% 12.3% HV 20d 33.8% 28.3% 38.5% 31.9% 38.5% HV 60d 60.0% 55.0% 62.6% 61.6% 57.4% IV Rank 15.8% 2.9% 30.3% 7.7% 4.5% IV Percentile 48.3% 0.4% 96.4% 4.4% 1.6% Term Structure -13.2% -35.3% 15.4% -8.7% -3.4% VWIV 72.0% 42.9% 105.7% 44.0% 42.9% Skew 25d -4.6% -31.4% 22.0% -9.4% -2.1% Skew 10d -4.3% -47.6% 156.1% 0.3% -3.4% Call IV 25d 70.5% 42.1% 107.5% 53.7% 43.2% Put IV 25d 65.9% 41.1% 107.7% 44.2% 41.1% Bid-Ask Spread % 84.55 36.67 119.15 109.53 54.30 Gamma HHI 0.52 0.34 0.75 0.65 0.75 Net GEX 393.4K 155.8K 1.0M 794.1K 1.0M Net DEX -9.2M -19.6M -5.5M -16.4M -19.6M Net VEX -51.5K -73.6K -42.0K -58.7K -73.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.00 2.29 0.32 0.11 Total Volume 640.391 0 4,656 27 1,673 Total OI 18,949.783 12,605 22,274 19,754 20,887
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-08-01 $32.17 $30.00 48.6% 13.9% 31.9% 7.7% 44.0% -9.4% -8.7% 794.1K -16.4M -58.7K 0.00 109.53 N/A N/A 0 27 16,062 3,692 2023-08-02 $30.56 $30.00 75.7% 21.7% 36.5% 23.3% 64.3% 0.8% -35.3% 638.4K -13.2M -58.4K 0.32 97.90 N/A N/A 74 24 16,062 3,699 2023-08-03 $30.06 $35.00 71.8% 17.0% 35.6% 21.1% 56.0% 4.5% -6.6% 527.8K -11.8M -61.6K 1.56 105.30 N/A N/A 162 253 16,114 3,719 2023-08-04 $29.68 $35.00 49.6% 16.2% 35.6% 8.2% 64.3% 22.0% -9.0% 358.4K -8.0M -51.3K 2.14 93.73 N/A N/A 36 77 16,260 3,969 2023-08-07 $30.12 $30.00 60.7% 16.7% 36.0% 14.6% 61.5% -4.1% -12.9% 451.1K -8.9M -46.3K 2.29 103.53 N/A N/A 7 16 16,268 4,005 2023-08-08 $30.05 $30.00 57.8% 15.9% 35.3% 13.0% 57.7% -0.4% -14.7% 336.7K -8.3M -48.7K 0.64 79.53 N/A N/A 14 9 16,275 4,022 2023-08-09 $29.64 $30.00 53.4% 15.3% 35.0% 10.5% 53.4% -4.1% -8.9% 316.2K -8.0M -48.6K 0.03 102.73 N/A N/A 70 2 16,282 4,031 2023-08-10 $29.24 $30.00 46.7% 13.4% 34.5% 6.6% 45.1% -5.5% -9.2% 226.6K -6.6M -44.0K 0.00 109.01 N/A N/A 104 0 16,368 4,033 2023-08-11 $29.34 $30.00 59.1% 16.9% 33.7% 13.7% 0.0% -0.9% -20.1% 214.8K -6.8M -47.2K 0.00 107.71 N/A N/A 11 0 16,449 4,033 2023-08-14 $29.41 $30.00 43.4% 12.4% 33.0% 4.7% 0.0% 20.0% -11.2% 271.9K -6.3M -42.1K 0.00 103.73 N/A N/A 0 0 16,451 4,033 2023-08-15 $28.81 $30.00 40.3% 11.5% 33.4% 2.9% 58.4% -0.6% 15.4% 199.1K -5.5M -42.0K 0.00 119.15 N/A N/A 0 2 16,451 4,032 2023-08-16 $29.07 $30.00 75.8% 21.7% 33.3% 23.4% 85.8% -10.5% -22.5% 155.8K -6.1M -47.3K 0.03 82.16 N/A N/A 1,009 33 16,451 4,033 2023-08-17 $29.26 $30.00 52.2% 15.0% 33.2% 9.7% 89.0% -13.8% -10.0% 229.3K -6.6M -43.4K 0.07 94.84 N/A N/A 829 56 17,436 4,060 2023-08-18 $29.54 $30.00 76.5% 21.9% 33.3% 23.8% 96.9% -16.6% -12.2% 225.3K -6.2M -45.1K 0.05 86.37 N/A N/A 374 20 18,174 4,100 2023-08-21 $28.77 $30.00 79.0% 22.6% 32.7% 25.2% 95.6% -18.2% -18.6% 253.5K -6.9M -52.5K 0.03 71.09 N/A N/A 1,926 50 9,467 3,138 2023-08-22 $29.41 $30.00 54.1% 15.5% 34.0% 10.9% 105.7% -31.4% 13.2% 347.6K -9.3M -55.2K 0.01 83.90 N/A N/A 1,191 6 11,843 3,205 2023-08-23 $29.80 $30.00 71.8% 20.6% 34.3% 21.1% 91.9% -13.3% -14.6% 385.1K -9.8M -57.8K 0.30 63.04 N/A N/A 174 52 12,930 3,211 2023-08-24 $28.94 $30.00 81.2% 23.3% 33.1% 26.5% 92.0% -10.2% -30.1% 372.0K -9.0M -53.7K 0.03 71.35 N/A N/A 452 12 13,077 3,254 2023-08-25 $28.77 $30.00 78.8% 22.6% 28.3% 25.1% 79.3% 15.3% -29.0% 348.7K -8.0M -53.7K 0.13 76.03 N/A N/A 32 4 13,489 3,264 2023-08-28 $28.98 $30.00 85.5% 24.5% 28.3% 29.0% 89.2% -11.1% -28.4% 369.7K -8.7M -51.7K 0.53 36.67 N/A N/A 223 118 13,519 3,266 2023-08-29 $29.48 $30.00 87.8% 25.2% 29.4% 30.3% 90.6% -17.1% -19.9% 401.1K -9.8M -53.9K 0.70 37.06 N/A N/A 561 390 13,641 3,351 2023-08-30 $31.94 $30.00 48.0% 13.8% 37.5% 7.4% 49.3% 0.7% -7.3% 619.7K -11.7M -47.8K 0.09 55.99 N/A N/A 4,286 370 14,028 3,711 2023-08-31 $33.05 $30.00 43.1% 12.3% 38.5% 4.5% 42.9% -2.1% -3.4% 1.0M -19.6M -73.6K 0.11 54.30 N/A N/A 1,505 168 17,094 3,793
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