NCNO Options History — June 2024

In June 2024, NCNO traded between $29.62 and $31.66. ATM implied volatility averaged 30.8%, placing in the 2.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 12.1% (HV 20d: 18.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.21.

Notable Days

2024-06-12: Highest Volume — 996 contracts
2024-06-10: Largest IV spike — 10.0% change
2024-06-11: Highest IV Rank — 6.3%
2024-06-05: Largest Expected Move — 9.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.89	$29.62	$31.66	$30.19	$31.62
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	30.8%	26.3%	33.8%	33.5%	26.3%
Expected Move	8.7%	7.5%	9.7%	9.6%	7.5%
HV 20d	18.7%	16.6%	21.3%	21.3%	17.1%
HV 60d	40.0%	24.9%	45.1%	45.1%	25.0%
IV Rank	2.2%	0.0%	6.3%	5.7%	0.0%
IV Percentile	3.3%	0.0%	12.7%	9.5%	0.0%
Term Structure	0.5%	-3.3%	3.8%	-1.0%	3.8%
VWIV	30.7%	26.5%	34.7%	33.5%	29.7%
Skew 25d	0.8%	-3.8%	7.3%	7.3%	-2.2%
Skew 10d	2.0%	-6.7%	11.0%	10.5%	-1.0%
Call IV 25d	29.9%	19.5%	33.4%	25.3%	28.8%
Put IV 25d	30.6%	26.3%	35.1%	32.6%	26.6%
Bid-Ask Spread %	64.04	35.77	93.38	64.80	42.30
Gamma HHI	0.43	0.41	0.46	0.43	0.42
Net GEX	994.3K	872.0K	1.1M	944.4K	1.0M
Net DEX	-13.5M	-21.4M	-7.1M	-10.8M	-12.1M
Net VEX	-58.9K	-70.0K	-46.5K	-70.0K	-47.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	0.00	17.00	0.54	0.02
Total Volume	238.526	1	996	129	151
Total OI	23,118.158	18,178	25,168	24,560	18,749

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2024-06-03	$30.19	$30.00	33.5%	9.6%	21.3%	5.7%	33.5%	7.3%	-1.0%	944.4K	-10.8M	-70.0K	0.54	64.80	N/A	N/A	84	45	19,751	4,809
2024-06-04	$30.11	$30.00	32.7%	9.4%	20.3%	4.4%	0.0%	4.8%	-0.4%	932.7K	-10.0M	-69.6K	0.00	47.31	N/A	N/A	8	0	19,775	4,845
2024-06-05	$29.62	$30.00	33.7%	9.7%	19.8%	6.0%	33.6%	3.7%	-3.3%	872.0K	-7.1M	-64.1K	0.41	67.13	N/A	N/A	184	75	19,777	4,817
2024-06-06	$29.70	$30.00	32.3%	8.7%	19.5%	3.6%	34.7%	1.4%	1.5%	896.3K	-7.5M	-63.4K	0.00	59.91	N/A	N/A	3	0	19,759	4,864
2024-06-07	$30.05	$30.00	30.3%	8.8%	20.1%	0.3%	30.6%	1.9%	0.9%	962.3K	-9.1M	-63.0K	0.00	70.91	N/A	N/A	1	0	19,760	4,864
2024-06-10	$30.18	$30.00	33.4%	9.0%	19.9%	5.5%	31.9%	-3.8%	0.4%	990.6K	-10.1M	-60.8K	17.00	93.38	N/A	N/A	3	51	19,760	4,864
2024-06-11	$30.42	$30.00	33.8%	8.9%	19.8%	6.3%	33.0%	-3.3%	0.9%	1.0M	-11.7M	-61.6K	0.00	73.05	N/A	N/A	906	1	19,760	4,915
2024-06-12	$31.14	$30.00	30.9%	8.8%	21.0%	1.2%	30.0%	3.4%	0.6%	1.1M	-16.9M	-64.0K	0.30	73.92	N/A	N/A	764	232	19,732	4,914
2024-06-13	$31.39	$30.00	30.9%	8.9%	17.2%	1.2%	0.0%	-2.1%	-1.2%	1.1M	-18.8M	-68.0K	3.05	65.69	N/A	N/A	21	64	19,813	5,061
2024-06-14	$31.66	$30.00	31.4%	9.0%	17.5%	2.1%	31.1%	-0.3%	-0.2%	1.1M	-20.6M	-67.7K	0.01	65.33	N/A	N/A	122	1	19,813	5,003
2024-06-17	$31.20	$30.00	31.2%	9.0%	18.2%	1.9%	29.5%	1.3%	1.2%	1.1M	-18.1M	-59.0K	0.00	66.21	N/A	N/A	229	0	19,826	5,003
2024-06-18	$31.45	$30.00	31.1%	8.9%	18.3%	1.6%	32.2%	-1.1%	0.3%	997.7K	-21.4M	-59.3K	0.01	60.99	N/A	N/A	133	1	20,031	5,003
2024-06-20	$31.14	$30.00	31.0%	8.9%	18.6%	1.5%	32.3%	-1.6%	-0.7%	1.0M	-19.4M	-53.7K	0.18	86.32	N/A	N/A	60	11	20,127	5,004
2024-06-21	$31.44	$30.00	30.8%	8.8%	19.0%	1.1%	29.4%	1.6%	-1.9%	932.9K	-20.8M	-52.7K	0.00	84.97	N/A	N/A	229	0	20,154	5,014
2024-06-24	$31.60	$30.00	30.4%	8.7%	17.5%	0.4%	29.8%	0.6%	0.7%	968.6K	-11.1M	-51.0K	0.02	60.03	N/A	N/A	44	1	15,336	2,842
2024-06-25	$31.49	$30.00	27.8%	8.0%	17.0%	0.0%	27.8%	-1.1%	1.7%	952.2K	-10.4M	-49.4K	0.01	52.33	N/A	N/A	311	2	15,349	2,843
2024-06-26	$31.41	$30.00	26.7%	7.6%	17.0%	0.0%	26.7%	-2.8%	3.2%	973.6K	-10.7M	-46.6K	1.49	35.77	N/A	N/A	168	250	15,652	2,843
2024-06-27	$31.16	$30.00	26.6%	7.6%	16.6%	0.0%	26.5%	7.1%	2.8%	962.8K	-10.0M	-46.5K	0.05	46.50	N/A	N/A	359	18	15,815	2,998
2024-06-28	$31.62	$30.00	26.3%	7.5%	17.1%	0.0%	29.7%	-2.2%	3.8%	1.0M	-12.1M	-47.8K	0.02	42.30	N/A	N/A	148	3	15,747	3,002