NCNO Options History — April 2024

In April 2024, NCNO traded between $29.13 and $35.31. ATM implied volatility averaged 33.2%, placing in the 4.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 30.5% (HV 20d: 63.6%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 3.61.

Notable Days

  • 2024-04-22: Highest Volume — 2,172 contracts
  • 2024-04-29: Largest IV spike — 20.1% change
  • 2024-04-29: Highest IV Rank — 12.1%
  • 2024-04-29: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.82$29.13$35.31$35.31$29.13
Max Pain$32.27$30.00$35.00$30.00$30.00
ATM IV33.2%30.2%37.2%34.4%34.4%
Expected Move9.5%8.9%10.7%9.9%9.8%
HV 20d63.6%29.2%73.5%70.2%29.2%
HV 60d48.6%47.7%49.8%48.2%47.7%
IV Rank4.4%0.0%12.1%3.5%7.2%
IV Percentile4.1%0.0%23.8%3.2%9.5%
Term Structure3.5%-0.7%6.9%-0.7%5.3%
VWIV33.9%30.3%43.6%34.1%34.7%
Skew 25d-0.1%-8.7%14.1%-8.7%4.4%
Skew 10d0.4%-15.0%22.7%-15.0%9.2%
Call IV 25d33.6%27.1%40.2%37.5%30.9%
Put IV 25d33.6%28.8%41.9%28.8%35.3%
Bid-Ask Spread %63.1649.5479.4254.1449.54
Gamma HHI0.530.370.720.540.37
Net GEX762.6K294.1K1.1M954.0K405.5K
Net DEX-13.3M-28.4M-2.0M-28.4M-4.5M
Net VEX-66.2K-88.4K-43.6K-88.4K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.610.0323.500.940.19
Total Volume521.136492,1721,48457
Total OI20,377.09116,49221,69720,41820,127

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-04-01$35.31$30.0034.4%9.9%70.2%3.5%34.1%-8.7%-0.7%954.0K-28.4M-88.4K0.9454.14N/AN/A76571916,9123,506
2024-04-02$34.87$30.0033.1%9.5%70.5%1.2%33.3%-7.2%-0.3%1.0M-27.4M-86.2K0.4463.77N/AN/A34115117,2093,241
2024-04-03$35.16$30.0032.6%9.4%65.7%0.3%32.9%-6.6%0.5%1.0M-28.1M-85.7K1.6463.97N/AN/A8814417,0433,189
2024-04-04$34.09$35.0033.3%9.4%67.4%1.6%32.6%-1.4%3.3%986.6K-23.2M-82.2K0.4458.88N/AN/A76433517,0473,318
2024-04-05$34.28$35.0030.2%9.1%67.4%0.0%32.5%1.6%4.5%1.0M-23.9M-83.6K0.9865.19N/AN/A26626117,0943,495
2024-04-08$34.67$35.0033.3%9.2%67.3%5.3%32.0%1.6%3.9%1.1M-25.3M-83.0K3.3063.85N/AN/A13945917,1183,629
2024-04-09$35.06$35.0031.7%9.0%67.3%2.6%32.2%1.0%4.3%1.0M-26.7M-85.3K2.4479.42N/AN/A16941217,1404,063
2024-04-10$33.53$35.0032.1%9.2%69.8%3.3%32.1%1.6%2.7%916.9K-19.2M-80.1K0.5773.97N/AN/A19110817,2124,334
2024-04-11$33.37$35.0032.3%9.3%69.7%3.6%32.7%-0.9%2.9%849.9K-18.3M-78.5K2.0354.20N/AN/A7214617,1894,314
2024-04-12$32.19$35.0034.6%9.9%70.8%7.5%32.1%1.9%2.9%743.2K-13.4M-68.8K5.5953.38N/AN/A3419017,1424,372
2024-04-15$30.82$35.0034.3%9.8%72.6%7.1%34.1%0.4%2.5%760.4K-7.1M-59.6K1.9556.70N/AN/A6212117,1434,554
2024-04-16$30.09$35.0033.4%9.6%73.0%5.5%37.4%-8.1%3.8%839.7K-4.0M-55.7K21.6179.24N/AN/A2860517,1634,333
2024-04-17$29.89$35.0033.5%9.6%73.0%5.7%35.5%-0.9%3.6%1.0M-3.9M-50.2K6.7570.85N/AN/A7147917,1623,808
2024-04-18$29.61$30.0033.3%9.5%73.0%5.3%33.3%-3.5%6.6%1.1M-3.8M-46.0K4.9669.39N/AN/A2411917,1623,491
2024-04-19$29.51$30.0032.6%9.4%73.0%4.2%43.6%-8.7%-0.1%296.8K-2.0M-44.8K0.4150.02N/AN/A1285217,1733,522
2024-04-22$29.52$30.0034.6%9.9%73.0%7.5%34.6%14.1%5.5%294.1K-2.4M-43.6K0.0355.72N/AN/A2,1027013,6262,866
2024-04-23$30.16$30.0033.1%9.5%73.5%5.0%33.2%-2.6%5.6%510.1K-6.8M-57.0K1.2070.19N/AN/A23027515,6272,936
2024-04-24$30.17$30.0032.5%9.3%73.4%3.9%32.2%6.7%5.9%488.0K-6.2M-57.0K0.2467.51N/AN/A88120815,7643,188
2024-04-25$29.77$30.0032.3%9.3%38.0%3.6%32.3%4.0%6.9%491.5K-6.2M-58.8K23.5069.58N/AN/A24716,6303,373
2024-04-26$29.50$30.0031.0%8.9%32.9%1.4%30.3%3.4%6.6%443.8K-5.4M-55.2K0.0567.01N/AN/A61316,6323,395
2024-04-29$29.44$30.0037.2%10.7%29.3%12.1%38.1%6.3%1.9%475.0K-5.5M-54.5K0.2352.93N/AN/A701616,6633,391
2024-04-30$29.13$30.0034.4%9.8%29.2%7.2%34.7%4.4%5.3%405.5K-4.5M-52.8K0.1949.54N/AN/A48916,7263,401