NCNO Options History — September 2024

In September 2024, NCNO traded between $28.93 and $31.49. ATM implied volatility averaged 25.1%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded below realized volatility by 25.1% (HV 20d: 50.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2024-09-03: Highest Volume — 2,342 contracts
  • 2024-09-30: Largest IV spike — 18.7% change
  • 2024-09-30: Highest IV Rank — 10.9%
  • 2024-09-30: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.09$28.93$31.49$29.81$31.49
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV25.1%23.0%28.2%25.1%28.2%
Expected Move7.2%6.6%8.1%7.2%8.1%
HV 20d50.2%22.9%57.2%57.1%22.9%
HV 60d40.1%39.4%40.7%39.7%40.7%
IV Rank5.5%1.7%10.9%5.4%10.9%
IV Percentile3.8%1.2%15.1%2.4%15.1%
Term Structure1.1%0.1%2.4%0.1%0.1%
VWIV24.8%16.7%28.2%24.9%28.2%
Skew 25d6.5%-0.1%16.3%-0.1%7.8%
Skew 10d11.5%-0.1%26.7%-0.1%14.5%
Call IV 25d21.8%17.4%27.5%24.7%20.0%
Put IV 25d28.3%23.8%36.6%24.6%27.8%
Bid-Ask Spread %66.1044.9182.6756.7546.17
Gamma HHI0.450.370.650.410.65
Net GEX422.3K275.1K581.6K435.3K581.6K
Net DEX-3.4M-7.2M952.5K-2.7M-7.0M
Net VEX-47.0K-53.8K-42.5K-47.8K-50.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.004.640.110.01
Total Volume352.7172,3422,342551
Total OI21,989.117,13424,28623,94817,328

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$29.81$30.0025.1%7.2%57.1%5.4%24.9%-0.1%0.1%435.3K-2.7M-47.8K0.1156.75N/AN/A2,11722520,5563,392
2024-09-04$30.21$30.0025.9%7.4%57.0%6.9%25.8%1.5%0.1%514.5K-4.3M-53.8K0.1057.36N/AN/A961020,1743,547
2024-09-05$30.16$30.0025.3%7.4%56.8%5.7%26.6%0.3%0.8%504.9K-4.0M-51.8K0.2678.64N/AN/A2125520,2283,549
2024-09-06$30.17$30.0024.6%7.2%56.2%4.6%25.1%2.3%1.6%496.4K-4.0M-51.2K0.6278.62N/AN/A845220,2413,588
2024-09-09$29.94$30.0026.4%7.3%56.3%7.7%25.5%0.3%1.4%454.3K-3.1M-49.0K3.6067.08N/AN/A10939220,2883,626
2024-09-10$28.93$30.0027.5%7.4%57.2%9.7%25.7%14.2%0.5%275.1K952.5K-42.5K0.8178.87N/AN/A796420,3023,984
2024-09-11$29.31$30.0026.1%7.5%56.8%7.2%26.1%5.4%0.8%350.1K-1.1M-44.8K0.2577.79N/AN/A1794420,3483,682
2024-09-12$29.16$30.0025.7%7.4%55.3%6.5%25.6%7.8%1.0%324.8K-407.7K-43.4K0.1078.84N/AN/A3053020,3963,674
2024-09-13$29.42$30.0026.0%7.4%52.7%7.0%26.0%5.9%1.4%385.0K-1.5M-45.8K0.0158.95N/AN/A1,2331420,5903,671
2024-09-16$29.74$30.0026.0%7.5%53.1%7.1%25.4%7.7%1.0%456.1K-2.9M-47.4K0.2158.48N/AN/A1042220,3403,682
2024-09-17$29.49$30.0025.9%7.4%53.0%6.8%25.9%6.0%1.4%408.3K-1.6M-44.8K3.7558.26N/AN/A207520,3853,683
2024-09-18$29.92$30.0024.3%7.0%53.4%4.0%24.2%16.3%1.3%493.5K-3.3M-45.9K0.5682.67N/AN/A613420,3763,684
2024-09-19$30.65$30.0024.0%6.9%54.5%3.5%24.0%12.0%1.3%484.9K-7.2M-47.5K1.2378.49N/AN/A11614320,3593,708
2024-09-20$30.51$30.0023.0%6.6%54.5%1.7%16.7%8.4%1.6%397.9K-6.6M-46.5K0.6278.47N/AN/A16510320,3253,771
2024-09-23$30.16$30.0024.4%7.0%53.5%4.2%24.4%8.0%0.7%338.8K-3.0M-44.2K4.6459.47N/AN/A2511614,1912,943
2024-09-24$30.57$30.0023.5%6.7%54.1%2.6%23.5%7.7%1.6%368.9K-3.9M-45.6K1.1044.91N/AN/A586414,2083,046
2024-09-25$30.15$30.0023.7%6.8%54.1%3.0%0.0%7.2%1.0%312.1K-2.9M-43.4K0.0659.08N/AN/A16114,2193,078
2024-09-26$30.90$30.0023.2%6.7%23.2%2.1%23.2%6.3%2.1%411.1K-4.9M-46.1K0.0658.47N/AN/A51314,2293,079
2024-09-27$31.13$30.0023.7%6.8%23.0%3.0%0.0%4.7%2.4%453.0K-5.6M-47.9K0.0064.67N/AN/A26014,2323,080
2024-09-30$31.49$30.0028.2%8.1%22.9%10.9%28.2%7.8%0.1%581.6K-7.0M-50.3K0.0146.17N/AN/A545614,2473,081