NCNO Options History — July 2024

In July 2024, NCNO traded between $30.53 and $33.70. ATM implied volatility averaged 28.0%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 4.4% (HV 20d: 23.6%). 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 22 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2024-07-22: Highest Volume — 2,836 contracts
  • 2024-07-02: Largest IV drop — 18.0% change
  • 2024-07-25: Highest IV Rank — 16.7%
  • 2024-07-25: Largest Expected Move — 9.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.12$30.53$33.70$31.19$32.89
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV28.0%22.0%33.0%26.9%28.8%
Expected Move8.2%6.3%9.5%7.7%8.3%
HV 20d23.6%15.6%33.4%17.3%33.4%
HV 60d23.0%20.7%25.1%24.4%24.5%
IV Rank8.8%0.0%16.7%1.0%10.3%
IV Percentile5.5%0.0%19.0%1.2%6.7%
Term Structure6.5%2.4%10.2%2.4%8.5%
VWIV29.0%21.5%38.8%26.9%38.8%
Skew 25d1.6%-1.9%6.0%3.2%-0.4%
Skew 10d2.6%-5.4%10.2%7.2%3.3%
Call IV 25d27.8%18.6%30.9%23.6%30.9%
Put IV 25d29.4%23.4%34.5%26.8%30.5%
Bid-Ask Spread %63.8539.3681.2466.8579.03
Gamma HHI0.550.420.740.430.70
Net GEX1.0M655.0K1.4M956.6K1.0M
Net DEX-13.9M-21.2M-9.6M-9.8M-10.5M
Net VEX-46.2K-64.9K-34.6K-42.0K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.007.150.000.01
Total Volume510.864192,8362961,290
Total OI19,575.40915,98422,88018,66118,435

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-07-01$31.19$30.0026.9%7.7%17.3%1.0%26.9%3.2%2.4%956.6K-9.8M-42.0K0.0066.85N/AN/A295115,6583,003
2024-07-02$31.49$30.0022.0%6.3%17.0%0.0%21.5%4.8%6.5%988.0K-12.4M-40.5K0.0841.17N/AN/A5174216,3882,977
2024-07-03$31.47$30.0024.8%7.1%16.9%4.2%24.4%2.3%5.6%1.1M-13.9M-44.8K0.0874.80N/AN/A2081616,8902,985
2024-07-05$31.35$30.0023.0%8.1%15.6%1.4%28.0%0.1%6.3%1.1M-13.7M-40.9K1.8339.36N/AN/A183317,0982,970
2024-07-08$31.43$30.0024.8%8.3%15.6%4.2%27.6%0.8%6.1%1.1M-14.1M-38.5K0.0049.96N/AN/A261017,1032,989
2024-07-09$31.15$30.0026.1%8.5%15.8%6.2%29.7%0.8%4.4%1.2M-13.0M-38.3K4.4842.88N/AN/A2511217,3392,949
2024-07-10$30.53$30.0027.2%7.8%17.5%7.8%27.5%-1.9%6.8%1.4M-9.6M-34.6K0.0044.80N/AN/A19017,3392,999
2024-07-11$31.69$30.0026.6%7.6%21.8%7.0%26.9%0.0%8.0%943.5K-14.8M-34.6K0.0058.06N/AN/A204017,3333,007
2024-07-12$31.52$30.0028.0%8.0%20.4%9.0%28.6%-0.6%5.7%851.2K-15.4M-35.5K0.0079.84N/AN/A297117,5603,007
2024-07-15$31.38$30.0028.8%8.3%20.2%10.3%29.2%-0.9%4.3%931.2K-14.9M-35.7K7.1551.44N/AN/A139317,7073,009
2024-07-16$32.38$30.0030.9%8.9%23.0%13.5%28.2%1.2%3.0%720.4K-18.5M-41.1K0.0281.24N/AN/A334617,7113,069
2024-07-17$33.00$30.0028.6%8.2%23.0%10.0%29.1%1.6%3.8%1.2M-21.2M-44.3K0.0072.44N/AN/A946317,7613,082
2024-07-18$32.69$30.0027.6%7.9%23.3%8.5%28.2%2.7%5.0%655.0K-19.2M-40.4K0.0075.34N/AN/A2,234317,7833,083
2024-07-19$32.02$30.0030.0%8.6%24.3%12.1%29.6%-0.7%6.7%728.2K-19.4M-46.6K0.0075.83N/AN/A60019,7983,082
2024-07-22$33.25$30.0030.1%8.6%27.4%12.2%30.6%2.9%8.4%894.6K-11.5M-52.6K0.0079.59N/AN/A2,830613,0192,965
2024-07-23$33.20$30.0028.2%8.1%27.5%9.4%30.7%3.7%10.2%1.1M-14.1M-63.6K0.0671.28N/AN/A3822115,3732,967
2024-07-24$32.21$30.0032.4%9.3%29.8%15.8%31.6%0.8%6.3%938.3K-10.3M-57.5K0.2245.24N/AN/A2655815,5453,013
2024-07-25$32.30$30.0033.0%9.5%29.7%16.7%30.9%2.3%10.1%941.5K-10.3M-56.7K4.3665.01N/AN/A146115,4513,071
2024-07-26$33.70$30.0027.5%7.9%32.9%8.4%28.4%6.0%9.0%1.2M-15.7M-64.9K0.0374.29N/AN/A4241415,4053,046
2024-07-29$33.23$30.0030.1%8.6%33.2%12.3%30.9%1.6%7.3%1.1M-12.7M-58.5K0.2479.06N/AN/A25615,2843,054
2024-07-30$32.67$30.0030.4%8.7%33.4%12.8%31.2%5.0%7.8%997.5K-10.5M-53.1K2.5257.10N/AN/A297315,2963,056
2024-07-31$32.89$30.0028.8%8.3%33.4%10.3%38.8%-0.4%8.5%1.0M-10.5M-52.5K0.0179.03N/AN/A1,2781215,3103,125