NCNO Options History — March 2024

In March 2024, NCNO traded between $28.22 and $37.22. ATM implied volatility averaged 44.8%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 10.5% (HV 20d: 34.3%). 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 1 of 20 days. Put/call ratio averaged 1.43.

Notable Days

  • 2024-03-27: Highest Volume — 7,060 contracts
  • 2024-03-27: Largest IV drop — 37.0% change
  • 2024-03-26: Highest IV Rank — 46.9%
  • 2024-03-26: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.44$28.22$37.22$29.94$37.22
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV44.8%34.5%58.8%38.4%34.5%
Expected Move13.3%9.9%16.9%11.0%9.9%
HV 20d34.3%28.1%66.4%29.6%66.4%
HV 60d34.0%31.2%47.7%31.2%47.7%
IV Rank15.2%3.4%46.9%3.4%3.7%
IV Percentile40.9%3.6%79.8%15.9%3.6%
Term Structure-3.3%-9.9%6.5%6.5%-0.0%
VWIV47.4%35.4%60.4%43.4%35.4%
Skew 25d3.7%-3.3%8.8%8.8%-1.1%
Skew 10d11.5%-5.0%24.2%14.0%1.8%
Call IV 25d46.5%33.4%63.0%33.4%35.9%
Put IV 25d50.2%34.8%59.8%42.2%34.8%
Bid-Ask Spread %59.7344.1978.0271.7253.26
Gamma HHI0.430.390.510.450.48
Net GEX532.5K344.2K998.8K439.0K998.8K
Net DEX-11.1M-36.5M-5.5M-9.4M-36.5M
Net VEX-58.8K-90.2K-52.3K-64.4K-90.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.430.0010.512.000.67
Total Volume651.3597,060871,589
Total OI14,987.514,15019,67014,99519,670

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$29.94$30.0038.4%11.0%29.6%3.4%43.4%8.8%6.5%439.0K-9.4M-64.4K2.0071.72N/AN/A295812,9872,008
2024-03-04$29.99$30.0040.3%13.3%29.3%4.4%46.6%5.0%-1.2%435.8K-9.7M-65.5K0.2953.80N/AN/A24713,0002,065
2024-03-05$28.22$30.0044.1%13.4%35.1%6.6%48.5%2.7%-1.8%344.2K-5.5M-52.8K10.5150.88N/AN/A5153613,0052,060
2024-03-06$28.40$30.0044.7%13.7%34.5%6.9%47.5%4.7%-4.3%367.7K-6.0M-52.3K0.8461.36N/AN/A383212,9871,878
2024-03-07$28.86$30.0040.7%13.6%35.1%4.7%47.2%4.5%-2.3%397.7K-7.0M-55.5K0.0046.86N/AN/A10013,0091,878
2024-03-08$29.31$30.0038.5%13.6%35.3%3.5%47.3%3.6%-3.2%420.4K-7.7M-57.1K0.1449.80N/AN/A21313,0051,878
2024-03-11$29.37$30.0044.9%13.9%33.8%7.0%48.4%4.1%-4.9%425.6K-7.8M-55.8K1.5056.29N/AN/A162413,0061,878
2024-03-12$29.82$30.0044.5%13.7%34.3%6.8%47.6%6.6%-5.3%446.2K-8.9M-58.3K0.4857.13N/AN/A231113,0131,881
2024-03-13$30.45$30.0047.0%13.5%30.4%8.3%46.6%6.1%-1.5%521.3K-10.5M-60.9K0.0246.49N/AN/A108213,0251,875
2024-03-14$29.90$30.0047.6%13.6%29.5%8.6%47.6%6.2%-3.4%422.7K-9.1M-58.0K3.5064.54N/AN/A2713,0671,876
2024-03-15$29.57$30.0046.1%13.2%29.0%21.6%55.3%3.9%-2.8%507.3K-7.5M-54.2K0.2068.05N/AN/A15313,0671,877
2024-03-18$29.91$30.0046.5%13.3%28.2%22.4%46.8%3.3%-3.6%543.3K-9.2M-53.7K0.2769.02N/AN/A1474012,7821,368
2024-03-19$30.16$30.0047.0%13.5%28.3%25.9%47.2%3.9%-5.2%554.2K-9.2M-53.1K0.1066.54N/AN/A93912,7751,387
2024-03-20$30.40$30.0047.9%13.7%28.4%27.6%48.7%2.7%-6.1%571.7K-10.3M-57.5K1.3566.67N/AN/A263512,8021,380
2024-03-21$30.41$30.0046.8%13.4%28.2%25.5%46.6%4.0%-3.2%593.5K-10.2M-55.5K5.7578.02N/AN/A84612,8171,402
2024-03-22$30.41$30.0048.1%13.8%28.1%27.9%47.9%4.6%-4.5%578.5K-9.8M-52.8K0.1669.64N/AN/A1001612,8211,444
2024-03-25$30.51$30.0052.0%14.9%28.2%34.9%52.8%3.1%-8.2%576.0K-10.1M-54.0K0.2172.72N/AN/A3697712,8221,447
2024-03-26$30.18$30.0058.8%16.9%28.3%46.9%60.4%-3.3%-9.9%563.4K-10.0M-53.9K0.2647.66N/AN/A1,90548713,1081,468
2024-03-27$35.70$30.0037.0%10.6%65.5%8.1%37.0%1.3%-0.1%942.1K-27.1M-70.4K0.3144.19N/AN/A5,3721,68814,0201,912
2024-03-28$37.22$30.0034.5%9.9%66.4%3.7%35.4%-1.1%-0.0%998.8K-36.5M-90.2K0.6753.26N/AN/A95463516,5333,137