NCNO Options History — October 2024

In October 2024, NCNO traded between $29.99 and $38.44. ATM implied volatility averaged 29.6%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 1.8% (HV 20d: 27.8%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.84.

Notable Days

  • 2024-10-09: Highest Volume — 6,225 contracts
  • 2024-10-31: Largest IV spike — 21.5% change
  • 2024-10-31: Highest IV Rank — 24.8%
  • 2024-10-31: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.95$29.99$38.44$31.30$37.22
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.6%27.1%35.9%30.5%35.9%
Expected Move8.5%7.9%10.3%8.8%10.3%
HV 20d27.8%22.7%31.0%22.8%31.0%
HV 60d40.6%39.1%42.1%40.7%39.7%
IV Rank13.5%9.0%24.8%15.1%24.8%
IV Percentile21.5%12.7%57.1%19.8%57.1%
Term Structure6.7%-1.7%9.3%-1.7%5.2%
VWIV29.7%22.4%35.2%30.5%35.2%
Skew 25d1.2%-7.1%8.7%8.7%2.0%
Skew 10d1.5%-11.6%15.3%14.9%-4.6%
Call IV 25d28.9%20.7%32.8%21.8%32.8%
Put IV 25d30.1%24.5%34.8%30.5%34.8%
Bid-Ask Spread %52.4524.6170.1462.5170.14
Gamma HHI0.520.380.810.660.39
Net GEX1.3M322.7K3.7M563.6K1.2M
Net DEX-30.3M-56.0M-4.3M-6.4M-36.6M
Net VEX-78.8K-100.3K-44.9K-48.9K-89.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.006.002.240.11
Total Volume759.391146,22581153
Total OI22,134.82617,52427,39917,52422,591

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-10-01$31.30$30.0030.5%8.8%22.8%15.1%30.5%8.7%-1.7%563.6K-6.4M-48.9K2.2462.51N/AN/A255614,4373,087
2024-10-02$31.04$30.0028.5%8.2%22.7%11.5%28.5%8.1%0.2%455.8K-5.4M-46.9K6.0052.69N/AN/A21214,4563,107
2024-10-03$30.93$30.0027.5%8.0%22.7%9.7%0.0%1.7%6.8%400.9K-4.9M-44.9K0.0162.12N/AN/A2,6043114,4583,103
2024-10-04$30.84$30.0027.1%7.9%22.8%9.0%27.4%-1.7%6.8%407.4K-6.7M-52.6K0.0241.38N/AN/A110215,2973,132
2024-10-07$29.99$30.0028.1%8.1%24.9%10.8%28.3%-1.4%6.9%322.7K-4.3M-48.2K2.7550.82N/AN/A41115,3993,132
2024-10-08$31.09$30.0029.7%8.1%24.5%13.6%28.2%-1.1%6.5%414.2K-7.3M-50.7K0.6048.32N/AN/A1066415,4003,132
2024-10-09$31.95$30.0030.0%8.6%25.7%14.3%31.0%0.8%5.2%632.1K-10.1M-54.9K0.0960.40N/AN/A5,72550015,4193,179
2024-10-10$33.47$30.0028.1%8.1%29.4%10.9%28.2%5.5%7.8%1.7M-22.5M-85.1K0.0163.46N/AN/A440320,7033,682
2024-10-11$34.50$30.0028.8%8.3%30.6%12.1%29.2%1.8%7.3%2.8M-30.2M-91.1K0.0844.39N/AN/A2,78022420,9703,688
2024-10-14$34.97$30.0028.0%8.0%30.6%10.6%27.9%2.4%8.6%3.4M-38.6M-100.3K0.1162.42N/AN/A1431623,2103,761
2024-10-15$34.97$30.0029.4%8.4%30.2%13.1%30.5%-7.1%7.4%3.7M-38.2M-98.6K0.0541.24N/AN/A2921423,2683,775
2024-10-16$36.00$30.0029.4%8.4%31.0%13.1%29.4%-2.7%7.6%2.3M-52.6M-94.7K0.0061.30N/AN/A537223,4063,784
2024-10-17$36.23$30.0029.3%8.4%30.5%13.0%28.7%-1.1%8.2%1.6M-54.7M-93.2K1.6657.35N/AN/A569323,4963,785
2024-10-18$36.47$30.0029.7%8.5%30.1%13.6%29.4%0.0%7.7%1.2M-56.0M-92.1K0.1728.13N/AN/A4066823,5063,893
2024-10-21$37.23$30.0031.3%9.0%29.4%16.6%31.5%0.7%6.9%1.2M-38.0M-92.0K0.7424.61N/AN/A53039217,5033,613
2024-10-22$37.14$30.0031.1%8.9%29.7%16.2%30.9%0.4%6.4%1.2M-37.5M-93.4K0.5639.95N/AN/A1267017,9034,010
2024-10-23$37.41$30.0031.2%8.9%28.4%16.3%31.0%1.8%8.3%1.2M-38.7M-92.7K0.1529.62N/AN/A3174817,8974,088
2024-10-24$38.16$30.0029.7%8.5%28.2%13.6%30.3%3.8%8.3%1.1M-41.3M-90.6K0.1748.61N/AN/A1031717,6044,088
2024-10-25$37.89$30.0029.4%8.4%28.8%13.1%29.8%1.8%8.4%1.2M-40.0M-89.0K0.1762.50N/AN/A4597617,6014,102
2024-10-28$38.25$30.0028.8%8.3%28.8%12.1%33.6%3.4%9.3%1.2M-41.8M-89.0K0.1667.54N/AN/A861417,9284,175
2024-10-29$38.44$30.0029.4%8.4%28.3%13.2%22.4%-0.6%7.8%1.2M-42.9M-87.5K2.3863.92N/AN/A7217117,9124,182
2024-10-30$38.36$30.0029.6%8.5%27.8%13.5%31.4%0.9%8.7%1.2M-42.4M-86.6K1.1162.92N/AN/A24026617,9124,327
2024-10-31$37.22$30.0035.9%10.3%31.0%24.8%35.2%2.0%5.2%1.2M-36.6M-89.4K0.1170.14N/AN/A1381518,0564,535