NCNO Options History — December 2023

In December 2023, NCNO traded between $28.18 and $34.16. ATM implied volatility averaged 36.6%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 5.1% (HV 20d: 41.7%). 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 15 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2023-12-15: Highest Volume — 4,566 contracts
  • 2023-12-13: Largest IV drop — 19.5% change
  • 2023-12-12: Highest IV Rank — 5.2%
  • 2023-12-01: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.12$28.18$34.16$28.18$33.77
Max Pain$29.75$25.00$30.00$25.00$30.00
ATM IV36.6%32.5%43.5%37.1%34.4%
Expected Move10.0%9.3%10.6%10.6%9.8%
HV 20d41.7%24.0%47.9%47.5%24.0%
HV 60d41.6%36.8%43.6%43.1%36.9%
IV Rank1.7%0.0%5.2%1.5%1.1%
IV Percentile4.8%0.0%19.4%4.4%2.4%
Term Structure1.4%-3.6%6.9%-1.1%1.6%
VWIV35.4%32.6%38.7%38.7%34.6%
Skew 25d-0.1%-6.6%4.0%4.0%-1.7%
Skew 10d-0.6%-6.3%5.4%3.8%-4.7%
Call IV 25d36.5%32.4%42.1%37.5%36.7%
Put IV 25d36.4%32.6%41.5%41.5%35.1%
Bid-Ask Spread %60.3922.8686.9239.8322.86
Gamma HHI0.390.290.520.360.47
Net GEX457.2K199.6K796.4K199.6K770.9K
Net DEX-11.4M-22.0M-2.6M-2.6M-21.1M
Net VEX-58.0K-93.8K-34.4K-37.5K-93.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.002.342.230.06
Total Volume699.254,5662232,493
Total OI21,290.7514,94325,48424,43219,058

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$28.18$25.0037.1%10.6%47.5%1.5%38.7%4.0%-1.1%199.6K-2.6M-37.5K2.2339.83N/AN/A6915417,3407,092
2023-12-04$29.07$30.0041.8%10.6%47.9%4.2%36.9%-0.6%0.6%273.9K-5.3M-40.6K0.8574.71N/AN/A16714217,3407,148
2023-12-05$29.34$30.0040.7%10.4%47.6%3.6%36.3%1.1%1.4%284.0K-6.1M-44.7K2.3472.29N/AN/A358217,2847,263
2023-12-06$29.73$30.0039.7%10.3%46.8%3.0%35.8%0.7%2.7%306.5K-7.1M-41.0K0.0866.53N/AN/A2131717,2787,219
2023-12-07$29.39$30.0039.2%10.3%47.0%2.7%0.0%-0.9%-1.1%278.2K-6.0M-39.4K0.0373.73N/AN/A5161617,4347,223
2023-12-08$29.38$30.0036.7%10.1%42.3%1.3%35.1%-0.8%1.5%311.6K-6.5M-44.7K0.5573.42N/AN/A1156317,9387,225
2023-12-11$29.62$30.0042.5%10.3%42.3%4.7%0.0%0.7%0.6%340.8K-6.9M-40.0K0.0478.37N/AN/A27118,0457,269
2023-12-12$29.09$30.0043.5%10.1%42.7%5.2%35.1%-0.7%-3.6%279.0K-4.1M-34.4K0.0078.56N/AN/A5018,0467,269
2023-12-13$30.27$30.0035.0%10.0%43.1%0.3%35.0%0.1%1.7%406.7K-9.2M-40.3K0.7278.59N/AN/A362618,0497,269
2023-12-14$30.95$30.0035.8%10.3%42.4%0.8%37.7%-6.6%6.9%345.9K-13.8M-42.3K0.2986.11N/AN/A1434118,1637,297
2023-12-15$31.27$30.0034.0%9.8%42.1%0.0%34.5%-3.7%5.7%338.0K-14.6M-44.0K0.0086.92N/AN/A4,5551118,1527,332
2023-12-18$31.46$30.0035.7%10.2%41.6%1.0%35.2%1.2%-0.0%469.1K-10.2M-66.6K0.3384.15N/AN/A66421611,8073,136
2023-12-19$31.99$30.0034.1%9.8%41.9%0.0%34.3%1.1%4.2%541.8K-11.8M-69.0K1.4636.29N/AN/A13619912,4633,328
2023-12-20$31.74$30.0035.9%10.3%38.9%1.1%35.9%-3.2%-0.5%512.7K-10.4M-67.4K0.5741.72N/AN/A14812,4673,426
2023-12-21$32.62$30.0032.7%9.4%39.7%0.0%34.2%2.1%1.1%563.4K-14.7M-76.9K0.0227.17N/AN/A1,2352012,4713,433
2023-12-22$33.28$30.0032.5%9.3%40.0%0.0%32.6%-0.8%1.5%708.0K-18.1M-81.2K0.4039.11N/AN/A431713,6763,440
2023-12-26$33.38$30.0033.7%9.7%39.8%0.7%34.2%1.4%2.5%687.4K-18.3M-81.4K0.2938.22N/AN/A1544413,6663,437
2023-12-27$33.67$30.0034.5%9.9%38.6%1.2%38.6%0.7%0.4%729.8K-19.1M-82.0K0.0051.42N/AN/A1,074113,7403,445
2023-12-28$34.16$30.0033.5%9.6%38.7%0.6%32.8%3.4%2.1%796.4K-22.0M-91.9K0.1857.88N/AN/A1,04518714,7023,445
2023-12-29$33.77$30.0034.4%9.8%24.0%1.1%34.6%-1.7%1.6%770.9K-21.1M-93.8K0.0622.86N/AN/A2,34914415,5803,478