NCNO Options History — May 2024

In May 2024, NCNO traded between $30.05 and $32.18. ATM implied volatility averaged 41.7%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 15.5% (HV 20d: 26.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2024-05-29: Highest Volume — 5,921 contracts
  • 2024-05-30: Largest IV drop — 36.0% change
  • 2024-05-29: Highest IV Rank — 51.7%
  • 2024-05-29: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.00$30.05$32.18$30.12$30.52
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV41.7%31.9%60.4%35.7%32.3%
Expected Move12.6%9.1%17.3%10.2%9.3%
HV 20d26.2%21.2%33.0%32.4%21.2%
HV 60d46.8%45.0%47.9%47.9%45.1%
IV Rank19.7%2.9%51.7%9.4%3.6%
IV Percentile39.7%1.2%90.1%17.1%3.2%
Term Structure-3.6%-13.4%9.0%3.7%-0.7%
VWIV44.5%32.2%62.1%35.7%54.5%
Skew 25d4.4%-18.1%17.4%9.5%-18.1%
Skew 10d9.9%-24.4%30.3%14.0%-24.4%
Call IV 25d42.5%24.1%63.3%26.4%51.8%
Put IV 25d46.9%33.7%66.9%35.9%33.7%
Bid-Ask Spread %69.9351.5387.7171.2287.71
Gamma HHI0.390.340.500.400.42
Net GEX586.2K369.0K900.8K543.6K768.1K
Net DEX-9.5M-13.7M-5.7M-7.1M-9.0M
Net VEX-60.5K-68.3K-54.0K-59.2K-66.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.008.240.300.02
Total Volume725.182185,921902,524
Total OI18,925.81814,25722,34920,13122,232

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-05-01$30.12$30.0035.7%10.2%32.4%9.4%35.7%9.5%3.7%543.6K-7.1M-59.2K0.3071.22N/AN/A692116,7303,401
2024-05-02$30.62$30.0032.6%9.3%32.3%4.2%33.6%10.4%9.0%560.7K-8.4M-61.9K0.0370.22N/AN/A276816,7353,422
2024-05-03$30.31$30.0031.9%9.1%32.1%2.9%32.2%8.8%7.5%509.3K-7.6M-60.0K0.1951.53N/AN/A541016,9273,421
2024-05-06$30.81$30.0036.0%12.2%32.5%10.0%42.2%4.8%-2.8%570.5K-8.9M-60.9K1.9769.65N/AN/A377316,9393,424
2024-05-07$31.35$30.0032.1%11.8%33.0%3.3%39.4%4.3%-3.3%602.8K-10.3M-61.3K0.0467.85N/AN/A133516,9603,355
2024-05-08$30.93$30.0033.8%11.9%29.8%6.2%41.6%6.7%-3.8%551.8K-9.0M-58.4K0.0071.27N/AN/A265016,9613,359
2024-05-09$30.83$30.0034.1%11.8%29.8%6.7%41.2%5.2%-4.6%535.1K-9.0M-58.8K0.5871.37N/AN/A191116,9613,355
2024-05-10$31.07$30.0032.4%12.0%27.5%3.9%41.8%3.8%-3.7%533.6K-9.2M-57.0K1.0062.36N/AN/A9916,9643,364
2024-05-13$30.71$30.0037.9%12.3%23.0%13.2%40.4%4.8%-3.5%493.1K-8.4M-54.0K0.2871.72N/AN/A3379516,9713,360
2024-05-14$31.12$30.0036.1%12.5%21.7%10.2%40.9%0.5%-3.1%513.5K-9.7M-56.1K0.0078.33N/AN/A151017,2683,390
2024-05-15$32.18$30.0043.8%12.6%24.2%23.4%40.6%5.4%-4.1%900.8K-13.7M-61.8K0.0065.00N/AN/A214117,2973,390
2024-05-16$32.00$30.0046.6%13.4%24.0%28.2%45.1%4.7%3.4%824.7K-13.1M-60.9K0.2767.70N/AN/A82221817,3863,391
2024-05-17$31.99$30.0047.4%13.6%23.9%29.4%43.9%3.6%-7.3%573.5K-12.9M-63.4K0.0368.77N/AN/A3251018,1443,418
2024-05-20$31.77$30.0048.9%14.0%24.1%32.1%47.5%0.6%-7.3%581.0K-11.8M-61.5K0.0377.73N/AN/A289811,4852,772
2024-05-21$31.70$30.0048.9%14.0%23.3%32.1%49.2%6.1%-5.4%582.2K-11.6M-62.8K0.4962.97N/AN/A25212411,7502,775
2024-05-22$31.61$30.0050.1%14.4%23.3%34.2%50.2%-1.9%-7.8%581.6K-10.9M-62.1K0.9770.69N/AN/A898611,9902,888
2024-05-23$30.98$30.0052.1%15.0%24.1%37.6%51.9%17.4%-7.0%548.4K-10.0M-62.6K1.3376.32N/AN/A121612,0442,974
2024-05-24$30.63$30.0049.1%14.1%24.2%32.5%49.0%8.5%-9.0%547.8K-8.3M-57.7K1.8770.13N/AN/A152812,0462,977
2024-05-28$30.52$30.0055.4%15.9%24.3%43.1%56.3%3.4%-12.4%527.9K-7.7M-55.3K8.2466.79N/AN/A1871,54112,0453,000
2024-05-29$30.16$30.0060.4%17.3%24.3%51.7%62.1%2.7%-13.4%369.0K-5.7M-60.7K0.0562.97N/AN/A5,62629512,2164,532
2024-05-30$30.05$30.0038.6%11.1%21.3%14.5%39.8%5.5%-4.6%678.4K-7.2M-68.3K0.1176.06N/AN/A1,52017017,5524,797
2024-05-31$30.52$30.0032.3%9.3%21.2%3.6%54.5%-18.1%-0.7%768.1K-9.0M-66.7K0.0287.71N/AN/A2,4675717,4604,772