NCNO Options History — January 2024

In January 2024, NCNO traded between $31.39 and $35.20. ATM implied volatility averaged 37.7%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 7.3% (HV 20d: 30.4%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2024-01-09: Highest Volume — 3,038 contracts
  • 2024-01-24: Largest IV spike — 23.6% change
  • 2024-01-24: Highest IV Rank — 6.6%
  • 2024-01-24: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.31$31.39$35.20$34.39$31.55
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV37.7%34.5%44.0%36.0%39.0%
Expected Move10.9%9.9%12.6%10.3%11.2%
HV 20d30.4%23.7%37.1%23.7%37.1%
HV 60d37.4%35.7%38.3%37.0%38.0%
IV Rank3.0%1.2%6.6%2.0%3.7%
IV Percentile12.5%3.2%31.0%6.7%15.5%
Term Structure-1.6%-32.0%6.0%2.1%0.0%
VWIV37.9%34.6%45.3%36.0%36.1%
Skew 25d2.0%-2.0%9.2%9.2%1.5%
Skew 10d4.4%-12.8%15.6%15.6%13.8%
Call IV 25d37.5%30.0%42.1%30.0%40.3%
Put IV 25d39.6%35.7%42.7%39.1%41.9%
Bid-Ask Spread %61.4326.3075.9839.2672.03
Gamma HHI0.590.460.640.460.64
Net GEX1.0M645.0K1.5M878.5K658.6K
Net DEX-22.3M-34.7M-12.1M-24.5M-12.7M
Net VEX-99.1K-119.1K-80.6K-98.7K-80.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.001.430.020.04
Total Volume387.667173,0382,21624
Total OI22,885.52420,23624,85420,23622,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$34.39$30.0036.0%10.3%23.7%2.0%36.0%9.2%2.1%878.5K-24.5M-98.7K0.0239.26N/AN/A2,1635316,6313,605
2024-01-03$33.05$30.0037.9%10.9%28.2%3.1%38.0%1.7%-0.3%960.5K-21.3M-102.8K0.0749.62N/AN/A1461018,4903,627
2024-01-04$33.31$30.0034.5%9.9%28.2%1.2%34.8%3.2%-8.9%1.0M-22.1M-100.3K0.2472.54N/AN/A892118,4953,636
2024-01-05$33.80$30.0035.5%10.5%28.3%1.7%37.1%1.1%1.2%1.1M-25.1M-101.7K0.3972.89N/AN/A572218,5023,637
2024-01-08$34.66$30.0035.8%10.6%28.2%1.9%39.3%2.5%-0.1%1.2M-28.8M-103.6K0.3661.96N/AN/A45816618,5333,643
2024-01-09$35.02$30.0034.6%10.5%28.0%1.2%36.9%2.0%-0.3%1.2M-31.0M-104.1K0.1368.50N/AN/A2,67836018,8233,680
2024-01-10$35.20$30.0035.3%10.1%28.0%1.6%35.4%2.3%6.0%1.4M-34.7M-119.1K0.1565.00N/AN/A1021520,8593,755
2024-01-11$35.02$30.0034.9%10.0%26.7%1.4%34.9%0.1%3.4%1.5M-33.8M-118.3K0.6875.98N/AN/A563820,8943,770
2024-01-12$34.91$30.0034.6%9.9%24.5%1.2%34.6%1.5%3.2%1.5M-33.0M-117.1K0.4167.96N/AN/A984020,9113,826
2024-01-16$34.43$30.0035.6%10.2%24.9%1.8%35.6%3.6%3.2%1.5M-30.0M-110.2K0.0365.91N/AN/A112320,9293,865
2024-01-17$34.34$30.0036.4%10.4%25.0%2.2%36.9%2.7%3.4%1.5M-29.0M-110.0K0.0066.41N/AN/A145020,9343,868
2024-01-18$32.37$30.0039.8%11.4%33.7%4.2%35.2%3.8%-1.3%846.5K-19.5M-98.1K0.0273.99N/AN/A222420,9863,868
2024-01-19$31.94$30.0039.8%11.4%33.6%4.2%37.9%2.5%-2.7%719.5K-17.6M-92.7K0.4975.15N/AN/A21610520,9773,853
2024-01-22$32.24$30.0039.2%11.2%33.6%3.8%38.9%-0.4%-0.2%773.1K-15.5M-92.4K0.7531.43N/AN/A15811818,2343,615
2024-01-23$32.92$30.0035.6%10.2%33.0%1.8%37.1%2.9%0.0%878.1K-17.8M-94.3K0.0048.35N/AN/A114018,2793,587
2024-01-24$32.16$30.0044.0%12.6%33.2%6.6%45.3%0.6%-32.0%795.8K-15.0M-90.5K0.5859.27N/AN/A311818,3703,587
2024-01-25$31.39$30.0040.5%11.6%34.0%4.6%40.9%-2.0%-2.3%645.0K-12.1M-84.0K0.0026.30N/AN/A54018,3893,605
2024-01-26$31.46$30.0039.7%11.4%33.8%4.1%45.2%0.2%-0.5%648.6K-12.3M-84.4K0.1571.82N/AN/A1592418,3663,605
2024-01-29$32.71$30.0040.4%11.6%36.5%4.5%40.0%1.1%-4.5%831.6K-16.7M-89.0K0.0258.87N/AN/A44118,4883,629
2024-01-30$32.59$30.0041.6%11.9%36.4%5.2%39.9%2.5%-2.6%822.2K-16.5M-88.8K1.4366.76N/AN/A71018,4863,629
2024-01-31$31.55$30.0039.0%11.2%37.1%3.7%36.1%1.5%0.0%658.6K-12.7M-80.6K0.0472.03N/AN/A23118,4903,640