NCNO Options History — February 2024

In February 2024, NCNO traded between $29.69 and $32.03. ATM implied volatility averaged 41.5%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 6.3% (HV 20d: 35.2%). 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 18 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2024-02-22: Highest Volume — 2,311 contracts
  • 2024-02-13: Largest IV spike — 15.0% change
  • 2024-02-23: Highest IV Rank — 6.9%
  • 2024-02-23: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.53$29.69$32.03$31.12$29.70
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV41.5%36.1%44.6%42.4%37.0%
Expected Move11.8%10.4%12.8%11.8%10.6%
HV 20d35.2%29.6%41.3%34.9%29.6%
HV 60d36.2%31.8%37.8%37.8%31.8%
IV Rank5.1%2.1%6.9%5.7%2.6%
IV Percentile26.7%11.1%39.7%28.2%14.3%
Term Structure4.1%-1.7%19.6%2.2%7.8%
VWIV41.3%36.8%45.5%42.6%37.0%
Skew 25d4.3%-6.4%10.6%5.6%7.3%
Skew 10d10.4%-11.0%57.0%9.7%11.8%
Call IV 25d40.5%33.1%44.4%39.6%33.1%
Put IV 25d44.8%33.2%48.9%45.2%40.4%
Bid-Ask Spread %69.9045.9386.1676.7686.16
Gamma HHI0.480.360.610.610.46
Net GEX404.4K87.6K673.0K578.7K425.8K
Net DEX-9.1M-14.0M-5.1M-10.8M-8.7M
Net VEX-68.3K-82.2K-57.6K-77.7K-64.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.013.830.790.79
Total Volume322.75182,3111,62525
Total OI19,006.612,38122,50722,13914,986

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$31.12$30.0042.4%11.8%34.9%5.7%42.6%5.6%2.2%578.7K-10.8M-77.7K0.7976.76N/AN/A90871718,4983,641
2024-02-02$31.43$30.0042.2%11.4%35.0%5.6%40.6%4.4%4.9%567.5K-11.6M-82.2K0.0377.08N/AN/A5221618,0984,344
2024-02-05$30.63$30.0044.3%11.5%35.3%6.7%36.8%5.3%2.8%407.9K-8.0M-73.2K3.8379.32N/AN/A249218,1244,344
2024-02-06$31.12$30.0044.1%12.4%34.4%6.6%0.0%5.9%-1.7%473.8K-9.8M-74.7K2.0080.81N/AN/A61218,1214,385
2024-02-07$30.73$30.0041.8%12.0%33.9%5.3%42.0%6.0%1.9%401.5K-8.4M-71.6K1.9481.54N/AN/A163118,1224,385
2024-02-08$31.09$30.0040.2%11.5%34.3%4.4%40.1%3.5%3.3%434.3K-10.2M-72.0K0.6774.00N/AN/A181218,1184,184
2024-02-09$31.90$30.0040.8%11.7%36.1%4.7%40.8%10.6%2.4%577.7K-13.0M-74.5K0.2984.40N/AN/A661918,1174,194
2024-02-12$32.03$30.0036.1%10.4%36.3%2.1%40.2%4.7%19.6%673.0K-14.0M-75.5K0.1383.72N/AN/A1752218,1684,200
2024-02-13$30.43$30.0041.5%11.9%39.8%5.1%41.3%5.9%2.9%269.4K-7.9M-66.6K1.3875.82N/AN/A375118,2364,208
2024-02-14$31.20$30.0041.1%11.8%41.3%4.9%0.0%3.7%4.5%332.8K-11.2M-68.8K0.2269.17N/AN/A2034418,2444,207
2024-02-15$30.59$30.0041.4%11.9%36.6%5.1%40.5%6.7%1.4%261.4K-9.0M-65.3K0.1358.38N/AN/A3814818,1534,202
2024-02-16$29.88$30.0041.6%11.9%37.1%5.2%42.4%3.9%5.4%87.6K-5.1M-60.0K0.7359.52N/AN/A705118,1714,222
2024-02-20$29.77$30.0043.3%12.4%36.8%6.1%45.5%4.7%4.2%287.6K-5.9M-58.7K0.0566.25N/AN/A99510,4021,979
2024-02-21$29.70$30.0042.0%12.1%35.6%5.4%43.8%4.9%4.7%279.5K-6.0M-58.3K0.5355.09N/AN/A15810,4901,984
2024-02-22$29.94$30.0044.4%12.7%35.3%6.7%44.4%4.9%-1.0%289.5K-6.0M-57.6K0.0145.93N/AN/A2,2971410,4901,988
2024-02-23$29.77$30.0044.6%12.8%34.4%6.9%44.3%2.4%0.2%431.3K-9.2M-67.0K0.5660.85N/AN/A432412,7501,978
2024-02-26$29.84$30.0040.5%11.6%34.4%4.5%0.0%2.3%3.9%430.8K-9.2M-65.0K0.0356.21N/AN/A112312,7581,975
2024-02-27$30.12$30.0040.3%11.5%31.1%4.4%41.2%-6.4%6.6%446.1K-9.8M-67.1K0.2057.95N/AN/A1743512,7671,977
2024-02-28$29.69$30.0039.4%11.3%31.3%3.9%39.4%-0.8%6.2%430.8K-8.9M-65.2K0.0369.07N/AN/A58212,9341,988
2024-02-29$29.70$30.0037.0%10.6%29.6%2.6%37.0%7.3%7.8%425.8K-8.7M-64.3K0.7986.16N/AN/A141112,9871,999