NCNO Options History — November 2023

In November 2023, NCNO traded between $27.54 and $30.37. ATM implied volatility averaged 51.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 12.2% (HV 20d: 38.9%). 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 1 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2023-11-22: Highest Volume — 2,596 contracts
  • 2023-11-30: Largest IV drop — 49.1% change
  • 2023-11-29: Highest IV Rank — 25.1%
  • 2023-11-29: Largest Expected Move — 22.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.21$27.54$30.37$27.66$27.54
Max Pain$25.24$25.00$30.00$30.00$25.00
ATM IV51.1%35.7%78.1%36.5%39.8%
Expected Move15.2%10.5%22.4%10.5%11.4%
HV 20d38.9%31.3%48.9%31.3%48.9%
HV 60d41.7%39.6%43.7%39.6%42.8%
IV Rank9.6%0.8%25.1%1.2%3.1%
IV Percentile35.2%1.6%93.7%2.4%6.3%
Term Structure-9.1%-27.1%8.8%8.8%-2.9%
VWIV53.1%41.6%79.5%43.8%41.6%
Skew 25d2.9%-0.8%6.7%6.7%-0.5%
Skew 10d4.8%-11.3%14.5%8.0%1.9%
Call IV 25d52.0%35.5%81.5%35.5%39.2%
Put IV 25d54.8%38.7%80.7%42.2%38.7%
Bid-Ask Spread %59.0126.6378.2426.9039.60
Gamma HHI0.380.260.520.260.36
Net GEX302.6K48.5K988.5K48.5K161.3K
Net DEX-5.4M-11.3M300.5K300.5K-887.5K
Net VEX-45.6K-61.6K-34.4K-38.8K-34.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.0017.0017.004.21
Total Volume556.76242,596361,125
Total OI21,85518,61524,31821,24324,318

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$27.66$30.0036.5%10.5%31.3%1.2%43.8%6.7%8.8%48.5K300.5K-38.8K17.0026.90N/AN/A23414,3516,892
2023-11-02$28.76$25.0036.1%13.3%34.7%1.0%42.7%3.6%-4.6%102.6K-2.0M-41.3K0.0069.30N/AN/A112014,3526,746
2023-11-03$29.52$25.0035.7%13.4%36.0%0.8%46.4%3.8%-5.2%158.8K-3.8M-45.2K0.5572.27N/AN/A512814,3236,747
2023-11-06$29.01$25.0037.2%13.5%36.2%1.6%47.3%2.1%-5.3%112.6K-2.6M-40.4K0.0070.64N/AN/A14014,3166,773
2023-11-07$29.81$25.0036.5%13.3%37.5%1.2%46.5%2.9%-5.1%153.9K-4.2M-41.3K0.0070.56N/AN/A1,258414,3246,773
2023-11-08$29.87$25.0047.6%13.7%37.1%7.6%47.6%2.4%-5.7%248.2K-6.3M-48.0K0.0475.80N/AN/A142515,6936,771
2023-11-09$28.25$25.0046.3%13.3%42.0%6.8%43.0%4.4%-4.5%141.5K-1.7M-39.2K0.0271.53N/AN/A131315,8106,770
2023-11-10$28.22$25.0046.9%13.4%40.6%7.2%46.4%3.5%-5.8%147.2K-1.8M-39.3K0.0073.21N/AN/A4015,9036,770
2023-11-13$27.92$25.0047.6%13.7%37.0%7.6%47.8%3.8%-7.0%154.1K-795.2K-35.5K0.1162.99N/AN/A28315,9006,770
2023-11-14$28.95$25.0048.0%13.8%39.1%7.8%45.7%3.0%-8.0%269.5K-4.4M-39.6K0.2171.69N/AN/A2816015,9186,290
2023-11-15$29.88$25.0051.1%14.6%39.4%9.6%47.4%3.8%-9.8%373.6K-7.0M-43.9K0.3548.08N/AN/A62321716,2506,301
2023-11-16$29.49$25.0052.5%15.0%39.3%10.4%46.8%4.3%-9.6%407.6K-7.5M-49.3K0.0169.97N/AN/A173217,4756,470
2023-11-17$30.09$25.0052.2%15.0%37.7%10.2%51.4%4.0%-9.2%988.5K-9.8M-50.2K0.1058.81N/AN/A1401417,6026,472
2023-11-20$30.37$25.0053.1%15.2%37.7%10.7%51.3%1.8%-8.4%410.6K-9.0M-49.4K0.0254.81N/AN/A128312,6915,924
2023-11-21$29.16$25.0054.9%15.7%40.2%11.8%54.9%2.6%-10.3%327.6K-6.4M-46.6K0.0078.24N/AN/A25012,8105,926
2023-11-22$29.41$25.0059.3%17.0%40.2%14.3%64.4%3.3%-10.6%349.9K-7.3M-46.9K0.4740.88N/AN/A1,76083612,8015,923
2023-11-24$29.77$25.0060.1%17.2%40.3%14.7%64.8%-0.3%-12.3%395.4K-7.8M-49.9K0.1473.01N/AN/A94013614,2896,772
2023-11-27$30.30$25.0077.3%22.2%40.2%24.6%77.9%4.0%-24.9%464.7K-11.3M-61.6K0.5945.65N/AN/A72743215,5766,877
2023-11-28$29.68$25.0076.3%21.9%40.5%24.0%78.3%2.1%-22.8%460.6K-9.5M-57.4K0.3638.57N/AN/A73426216,0786,625
2023-11-29$29.75$25.0078.1%22.4%40.2%25.1%79.5%-0.8%-27.1%476.9K-10.2M-59.2K0.3426.63N/AN/A93831716,8146,769
2023-11-30$27.54$25.0039.8%11.4%48.9%3.1%41.6%-0.5%-2.9%161.3K-887.5K-34.4K4.2139.60N/AN/A21690917,3107,008