NCNO Options History — October 2023

In October 2023, NCNO traded between $27.55 and $31.20. ATM implied volatility averaged 41.3%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 3.6% (HV 20d: 44.9%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 3.86.

Notable Days

  • 2023-10-25: Highest Volume — 1,022 contracts
  • 2023-10-11: Largest IV drop — 5.0% change
  • 2023-10-03: Highest IV Rank — 5.8%
  • 2023-10-03: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.98$27.55$31.20$31.20$28.13
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV41.3%38.6%44.5%42.9%39.4%
Expected Move11.8%11.1%12.7%12.3%11.3%
HV 20d44.9%30.9%50.3%46.3%30.9%
HV 60d40.5%39.4%41.7%39.9%39.5%
IV Rank4.0%2.4%5.8%4.9%2.9%
IV Percentile5.5%2.8%9.9%5.2%3.6%
Term Structure4.8%-1.0%8.1%0.2%8.1%
VWIV41.5%30.1%50.0%43.3%39.5%
Skew 25d2.8%-2.9%7.1%0.0%1.4%
Skew 10d4.1%-13.4%17.6%3.6%5.1%
Call IV 25d40.3%36.0%47.5%44.0%39.4%
Put IV 25d43.1%40.1%45.1%44.0%40.8%
Bid-Ask Spread %48.1222.1086.1573.2529.05
Gamma HHI0.410.260.590.590.28
Net GEX335.7K75.2K672.1K672.1K86.8K
Net DEX-4.2M-13.0M501.5K-13.0M-856.5K
Net VEX-55.4K-78.8K-41.6K-78.8K-43.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.860.0067.130.405.92
Total Volume163.591131,02212590
Total OI22,822.77319,75024,50923,22821,181

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$31.20$30.0042.9%12.3%46.3%4.9%43.3%0.0%0.2%672.1K-13.0M-78.8K0.4073.25N/AN/A893617,4205,808
2023-10-03$29.96$30.0044.5%12.7%47.8%5.8%44.4%-0.9%-1.0%528.6K-8.6M-70.5K0.4784.23N/AN/A26212417,4795,792
2023-10-04$29.86$30.0042.9%12.3%47.8%4.9%43.1%-2.9%-0.9%522.0K-8.2M-70.0K0.7186.15N/AN/A654617,6005,918
2023-10-05$29.95$30.0043.3%12.0%47.8%5.1%44.8%3.7%5.0%518.8K-8.2M-70.0K2.9268.90N/AN/A5315517,5475,953
2023-10-06$30.23$30.0042.3%11.8%48.0%4.6%43.1%4.4%5.3%543.1K-8.8M-69.1K2.0063.26N/AN/A285617,5776,120
2023-10-09$29.84$30.0043.3%11.6%48.0%5.1%0.0%3.7%5.6%495.6K-7.3M-64.9K0.0859.80N/AN/A12117,6026,184
2023-10-10$29.67$30.0042.0%11.7%47.6%4.4%0.0%2.4%5.3%471.3K-6.4M-62.8K0.0262.94N/AN/A136317,5916,185
2023-10-11$29.23$30.0039.9%11.4%47.8%3.2%39.7%3.6%5.7%422.4K-4.7M-59.2K1.0960.70N/AN/A657117,7226,187
2023-10-12$28.84$30.0039.1%11.2%46.7%2.7%39.6%2.1%5.0%369.9K-3.2M-55.6K0.1453.65N/AN/A29417,7686,252
2023-10-13$27.99$30.0040.2%11.5%44.8%3.4%40.0%6.8%5.0%246.2K-873.8K-49.3K0.4746.58N/AN/A17817,7736,147
2023-10-16$29.30$30.0038.6%11.1%48.5%2.4%38.2%2.7%5.7%462.9K-4.7M-53.3K0.0626.94N/AN/A141817,7786,152
2023-10-17$29.71$30.0039.5%11.3%49.0%2.9%0.0%1.4%5.1%553.1K-6.0M-56.3K0.0625.44N/AN/A84518,0236,154
2023-10-18$28.89$30.0040.7%11.7%49.4%3.6%39.1%3.6%5.1%420.7K-3.1M-52.4K0.0353.06N/AN/A111318,1486,157
2023-10-19$28.46$30.0040.7%11.7%49.5%3.6%30.1%7.1%5.5%180.0K-1.3M-48.0K0.3664.94N/AN/A562018,2156,160
2023-10-20$27.55$30.0040.9%11.7%50.3%3.7%50.0%2.2%5.2%119.0K501.5K-44.2K0.3129.48N/AN/A1875818,3396,170
2023-10-23$27.77$30.0040.5%11.6%50.2%3.5%41.6%2.6%5.2%117.8K-789.9K-43.1K0.2924.77N/AN/A1594614,0385,712
2023-10-24$28.44$30.0040.4%11.6%44.8%3.5%40.4%-1.5%5.9%160.9K-2.2M-45.6K0.0132.71N/AN/A140214,1835,738
2023-10-25$28.30$30.0042.3%12.1%44.6%4.5%42.3%7.0%5.3%158.8K-2.0M-46.0K67.1325.52N/AN/A151,00714,3195,740
2023-10-26$28.50$30.0042.6%12.2%32.8%4.7%42.6%5.0%5.9%144.7K-2.1M-47.3K0.0022.10N/AN/A36014,3226,747
2023-10-27$28.10$30.0041.8%12.0%32.8%4.2%0.0%3.0%6.6%115.4K-1.3M-47.0K0.4037.85N/AN/A10414,3466,747
2023-10-30$27.66$30.0041.0%11.8%32.6%3.8%45.2%3.3%6.8%75.2K-203.9K-41.6K1.9627.35N/AN/A5310414,3576,750
2023-10-31$28.13$30.0039.4%11.3%30.9%2.9%39.5%1.4%8.1%86.8K-856.5K-43.1K5.9229.05N/AN/A137714,3496,832