NCNO Options History — September 2023

In September 2023, NCNO traded between $28.94 and $33.38. ATM implied volatility averaged 42.6%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 1.7% (HV 20d: 40.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.32.

Notable Days

  • 2023-09-15: Highest Volume — 2,735 contracts
  • 2023-09-07: Largest IV drop — 22.4% change
  • 2023-09-01: Highest IV Rank — 8.7%
  • 2023-09-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.85$28.94$33.38$33.11$31.80
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV42.6%34.4%50.4%50.4%41.3%
Expected Move11.7%9.9%14.4%14.4%11.8%
HV 20d40.9%37.9%47.9%37.9%45.9%
HV 60d42.8%33.3%57.7%57.4%39.8%
IV Rank4.5%0.0%8.7%8.7%3.9%
IV Percentile4.3%0.0%11.5%8.3%3.6%
Term Structure-1.1%-10.2%2.2%-10.2%1.6%
VWIV41.7%34.4%50.4%49.8%42.6%
Skew 25d-1.6%-10.1%3.5%-10.1%-1.4%
Skew 10d0.5%-23.1%10.9%-23.1%6.9%
Call IV 25d42.1%31.1%54.3%54.3%42.8%
Put IV 25d40.5%34.3%48.5%44.2%41.4%
Bid-Ask Spread %76.9351.0186.8351.0179.56
Gamma HHI0.650.540.760.730.62
Net GEX665.3K389.9K1.0M1.0M747.1K
Net DEX-14.5M-19.9M-6.5M-19.9M-15.8M
Net VEX-70.0K-81.8K-57.7K-73.5K-81.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.320.057.860.670.60
Total Volume762.25382,735708612
Total OI21,428.316,91923,50221,15222,799

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$33.11$30.0050.4%14.4%37.9%8.7%49.8%-10.1%-10.2%1.0M-19.9M-73.5K0.6751.01N/AN/A42528317,2013,951
2023-09-05$32.40$30.0046.8%10.9%38.9%6.7%40.0%0.6%2.2%907.1K-16.2M-66.8K0.2678.80N/AN/A81221017,3514,116
2023-09-06$32.28$30.0047.7%11.2%39.0%7.2%40.1%1.6%0.4%924.9K-16.2M-69.3K2.0278.85N/AN/A6412918,1474,296
2023-09-07$32.36$30.0037.0%11.6%38.4%1.0%40.9%1.6%-0.8%948.9K-16.5M-70.1K3.4178.93N/AN/A5117418,1714,426
2023-09-08$32.08$30.0042.5%10.8%38.2%4.2%38.1%0.5%0.7%784.4K-14.2M-65.7K7.8678.37N/AN/A2116518,2034,565
2023-09-11$31.69$30.0047.2%10.7%38.6%6.9%37.5%-0.1%-0.2%565.9K-12.2M-61.9K1.9769.81N/AN/A6512818,2244,742
2023-09-12$31.06$30.0040.2%10.5%39.6%2.9%37.4%-1.4%2.1%389.9K-10.4M-59.4K1.3879.85N/AN/A162218,2324,817
2023-09-13$31.10$30.0036.2%10.4%38.6%0.5%36.5%-0.8%0.9%395.0K-10.8M-57.7K2.0371.00N/AN/A7615418,2334,828
2023-09-14$31.91$30.0034.4%9.9%39.3%0.0%34.4%-0.1%-0.2%467.7K-12.5M-59.8K0.6778.37N/AN/A21114118,2934,945
2023-09-15$33.07$30.0034.5%9.9%40.9%0.1%34.5%-0.4%-1.7%555.2K-15.6M-64.0K0.1279.57N/AN/A2,45328218,4275,075
2023-09-18$33.38$30.0034.7%9.9%40.9%0.2%34.6%3.5%-0.8%699.4K-18.8M-72.1K0.0880.13N/AN/A5874612,3924,527
2023-09-19$33.17$30.0036.2%10.4%39.3%1.0%40.3%-2.8%-2.1%713.4K-18.8M-74.5K0.0678.62N/AN/A1,4869012,9144,557
2023-09-20$32.54$30.0043.5%12.5%40.0%5.2%42.7%-4.2%-0.8%669.7K-17.1M-77.3K0.0573.69N/AN/A1,6438314,1224,619
2023-09-21$32.16$30.0046.8%13.4%40.3%7.1%47.2%-2.3%-3.6%677.1K-17.0M-81.8K0.9586.83N/AN/A14714015,4324,680
2023-09-22$31.81$30.0045.8%13.1%38.8%6.6%49.4%-4.6%-1.3%661.1K-15.8M-80.0K0.1884.37N/AN/A65911715,5234,718
2023-09-25$31.08$30.0047.9%13.7%39.9%7.7%50.4%-6.8%-2.3%620.6K-13.1M-75.1K0.2080.74N/AN/A3226515,9214,811
2023-09-26$28.94$30.0046.7%13.4%47.9%7.1%47.1%-0.4%-2.5%417.8K-6.5M-62.7K0.9977.60N/AN/A69769016,2934,853
2023-09-27$29.29$30.0046.4%13.3%47.7%6.9%46.2%-5.0%-1.6%447.7K-7.4M-66.8K2.5775.42N/AN/A13434516,5345,302
2023-09-28$31.73$30.0045.0%12.9%47.7%6.1%44.7%0.3%-0.9%700.5K-15.3M-80.4K0.4277.16N/AN/A1,05844216,6835,643
2023-09-29$31.80$30.0041.3%11.8%45.9%3.9%42.6%-1.4%1.6%747.1K-15.8M-81.0K0.6079.56N/AN/A38322917,2125,587