NCNO Options History — August 2024

In August 2024, NCNO traded between $30.02 and $34.96. ATM implied volatility averaged 37.3%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 0.3% (HV 20d: 37.7%). 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 4 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2024-08-28: Highest Volume — 4,904 contracts
  • 2024-08-13: Largest IV spike — 63.8% change
  • 2024-08-13: Highest IV Rank — 46.5%
  • 2024-08-27: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.67$30.02$34.96$32.22$30.05
Max Pain$30.45$30.00$35.00$35.00$30.00
ATM IV37.3%22.8%52.6%31.6%24.1%
Expected Move11.4%6.9%14.0%9.0%6.9%
HV 20d37.7%29.3%58.3%34.3%57.9%
HV 60d28.1%24.7%39.7%24.7%39.6%
IV Rank23.3%1.2%46.5%14.5%3.8%
IV Percentile45.3%0.4%92.1%13.9%1.2%
Term Structure-3.9%-11.5%11.4%11.4%0.4%
VWIV39.5%24.2%49.2%32.9%24.2%
Skew 25d3.2%-8.5%9.9%-0.6%2.6%
Skew 10d9.4%-13.3%33.7%1.2%3.7%
Call IV 25d38.5%20.9%48.3%32.3%20.9%
Put IV 25d41.7%23.5%53.2%31.7%23.5%
Bid-Ask Spread %66.2642.0487.9573.6942.04
Gamma HHI0.610.450.880.740.45
Net GEX932.2K281.8K4.3M801.1K497.0K
Net DEX-11.8M-28.3M-159.5K-6.0M-3.6M
Net VEX-57.2K-104.9K-36.1K-46.8K-50.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.006.000.051.22
Total Volume1,171.773144,90464824
Total OI18,454.45513,48023,70717,85423,589

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-08-01$32.22$35.0031.6%9.0%34.3%14.5%32.9%-0.6%11.4%801.1K-6.0M-46.8K0.0573.69N/AN/A61314,7273,127
2024-08-02$31.52$35.0031.4%9.0%35.3%14.2%30.6%7.3%10.3%605.9K-4.0M-41.1K0.2677.75N/AN/A872314,7663,129
2024-08-05$30.62$30.0040.7%12.8%36.7%28.5%43.2%9.9%-8.0%449.8K-2.2M-36.6K0.0187.95N/AN/A118114,7133,118
2024-08-06$31.11$30.0033.2%12.6%37.1%17.0%45.2%3.6%-5.2%488.0K-5.3M-36.1K0.2369.52N/AN/A531214,7372,301
2024-08-07$31.52$30.0033.8%12.7%36.6%17.9%42.5%5.2%-4.9%552.7K-6.3M-38.7K0.0067.12N/AN/A25014,7692,344
2024-08-08$32.11$30.0038.6%12.7%34.7%25.2%44.2%5.5%-5.2%737.5K-7.6M-41.0K0.2766.40N/AN/A26714,7782,344
2024-08-09$32.08$30.0022.8%12.6%34.7%1.2%40.5%5.5%-4.1%451.6K-7.1M-38.2K6.0063.73N/AN/A21214,7922,351
2024-08-12$31.57$30.0032.1%12.5%35.1%15.3%42.0%6.8%-5.9%425.9K-6.1M-36.1K0.0058.09N/AN/A84014,7912,363
2024-08-13$32.24$30.0052.6%12.4%34.1%46.5%41.0%8.6%-5.5%625.5K-7.0M-36.5K0.0473.17N/AN/A1,9677314,8512,364
2024-08-14$33.20$30.0040.0%11.5%35.1%27.4%42.2%3.7%-6.5%1.1M-12.8M-50.2K0.0570.75N/AN/A1,8358816,4692,417
2024-08-15$34.62$30.0041.8%12.0%37.8%30.1%41.3%4.4%0.3%4.3M-19.5M-61.5K0.0471.56N/AN/A6812917,9952,454
2024-08-16$34.19$30.0041.0%11.8%37.2%28.9%40.8%3.6%-4.2%784.9K-16.2M-59.0K0.1671.04N/AN/A86513818,2262,477
2024-08-19$34.27$30.0041.4%11.9%34.9%29.4%41.6%4.5%-6.9%830.9K-16.2M-63.6K0.0570.77N/AN/A6433512,1361,344
2024-08-20$34.36$30.0040.9%11.7%34.9%28.6%39.7%3.3%-5.8%912.5K-17.3M-69.6K0.2570.59N/AN/A95224012,9721,379
2024-08-21$34.31$30.0041.8%12.0%32.9%30.1%41.8%3.2%-7.0%929.4K-18.1M-72.3K0.1169.88N/AN/A6637613,2041,423
2024-08-22$34.20$30.0043.5%12.5%32.9%32.6%43.5%1.7%-7.9%961.5K-18.3M-74.2K0.1370.75N/AN/A3,58247013,6751,499
2024-08-23$34.96$30.0043.3%12.4%30.4%32.3%42.8%4.0%-7.8%1.3M-26.8M-97.0K0.0561.27N/AN/A1,6558417,0731,927
2024-08-26$34.73$30.0045.6%13.1%30.0%35.8%47.6%2.4%-10.1%1.5M-28.3M-101.6K2.6461.18N/AN/A36897118,5592,010
2024-08-27$34.52$30.0049.0%14.0%29.3%41.0%49.2%1.6%-11.5%1.4M-26.7M-104.9K0.7548.80N/AN/A1,8061,35318,7152,886
2024-08-28$30.02$30.0026.5%7.6%58.3%6.8%27.0%-8.5%-0.2%281.8K-159.5K-50.2K0.3946.23N/AN/A3,5281,37619,6424,065
2024-08-29$30.36$30.0025.4%7.3%58.3%5.1%25.8%-7.4%-0.3%594.5K-4.7M-54.0K0.3665.43N/AN/A71025320,3963,101
2024-08-30$30.05$30.0024.1%6.9%57.9%3.8%24.2%2.6%0.4%497.0K-3.6M-50.1K1.2242.04N/AN/A37245220,4193,170