NCNO Options History — November 2024

In November 2024, NCNO traded between $36.92 and $42.65. ATM implied volatility averaged 41.4%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 8.3% (HV 20d: 33.1%). 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 1 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2024-11-29: Highest Volume — 5,528 contracts
  • 2024-11-13: Largest IV spike — 43.2% change
  • 2024-11-29: Highest IV Rank — 58.3%
  • 2024-11-29: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.79$36.92$42.65$37.39$42.05
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV41.4%26.0%54.7%34.1%54.7%
Expected Move12.9%9.8%15.7%9.8%15.7%
HV 20d33.1%27.3%35.3%30.8%32.9%
HV 60d37.5%29.0%41.9%39.5%29.2%
IV Rank34.6%7.0%58.3%21.4%58.3%
IV Percentile68.6%8.7%98.4%47.2%98.4%
Term Structure-8.1%-12.3%6.4%6.4%-12.3%
VWIV44.2%33.3%54.7%33.3%54.7%
Skew 25d3.2%1.9%4.7%2.2%2.5%
Skew 10d4.3%-6.8%14.4%-6.8%4.1%
Call IV 25d43.0%31.7%53.9%31.7%53.9%
Put IV 25d46.2%33.9%56.3%33.9%56.3%
Bid-Ask Spread %42.7923.2263.0860.8256.37
Gamma HHI0.330.260.450.390.26
Net GEX1.1M965.5K1.7M1.2M1.1M
Net DEX-49.1M-62.7M-35.0M-37.4M-43.5M
Net VEX-76.2K-90.0K-69.6K-90.0K-72.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.005.790.290.00
Total Volume665.95355,528445,528
Total OI22,016.9519,57224,20622,65921,650

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-11-01$37.39$30.0034.1%9.8%30.8%21.4%33.3%2.2%6.4%1.2M-37.4M-90.0K0.2960.82N/AN/A341018,1104,549
2024-11-04$36.92$30.0035.2%12.1%28.7%23.4%42.6%3.4%-7.5%1.1M-35.0M-86.6K1.8153.03N/AN/A162918,0924,556
2024-11-05$37.66$30.0034.3%11.3%27.3%21.9%40.7%4.0%-7.7%1.2M-38.4M-86.0K0.7345.77N/AN/A19414118,0904,570
2024-11-06$40.25$30.0028.1%11.2%33.5%10.9%39.0%4.0%-7.8%1.2M-51.7M-77.9K0.8463.08N/AN/A12210318,1504,625
2024-11-07$41.86$30.0026.0%11.8%32.6%7.0%38.9%3.6%-8.4%1.1M-58.8M-71.5K0.1145.91N/AN/A5786418,1514,666
2024-11-08$42.51$30.0028.1%11.6%31.9%10.8%40.4%2.8%-9.2%965.5K-61.9M-69.6K0.0623.22N/AN/A1,3488218,3364,722
2024-11-11$42.65$30.0034.6%11.7%32.0%22.4%41.3%2.8%-9.6%1.0M-62.7M-72.7K0.5145.24N/AN/A753819,0944,732
2024-11-12$42.50$30.0030.8%12.7%32.1%15.7%42.3%3.8%-9.8%1.0M-62.0M-73.7K0.3133.08N/AN/A591819,1054,764
2024-11-13$41.86$30.0044.1%12.7%32.4%39.4%43.6%2.1%-10.1%1.0M-59.6M-74.1K0.3623.74N/AN/A28410219,1454,772
2024-11-14$40.75$30.0044.2%12.7%34.7%39.6%41.4%3.8%-6.6%1.2M-54.5M-78.6K0.0144.45N/AN/A1,116919,3144,892
2024-11-15$40.25$30.0044.2%12.7%35.3%39.6%44.0%3.2%-7.5%1.7M-52.6M-79.5K0.8862.87N/AN/A857519,2654,899
2024-11-18$40.19$30.0046.0%13.2%34.8%42.7%46.3%2.2%-8.1%1.1M-41.0M-77.9K0.0325.54N/AN/A34116,5083,233
2024-11-19$40.15$30.0046.6%13.4%34.8%43.9%45.8%3.2%-8.0%1.1M-41.0M-76.9K0.0227.50N/AN/A328816,5233,239
2024-11-20$40.28$30.0047.6%13.6%34.8%45.6%47.5%2.8%-8.9%1.1M-41.2M-76.4K5.7928.03N/AN/A148116,3803,244
2024-11-21$40.66$30.0047.6%13.7%34.3%45.7%45.9%1.9%-8.2%1.1M-43.4M-73.1K0.1523.46N/AN/A2253416,3793,193
2024-11-22$41.57$30.0048.8%14.0%34.7%47.8%46.0%4.7%-8.8%1.1M-46.9M-71.7K0.0240.64N/AN/A1,4512316,5903,181
2024-11-25$42.04$30.0050.7%14.5%34.8%51.2%49.1%4.3%-8.5%1.1M-50.1M-72.7K0.7448.49N/AN/A32624217,8493,184
2024-11-26$42.38$30.0051.2%14.7%34.8%52.1%50.1%2.8%-11.4%1.1M-51.1M-72.0K0.6357.77N/AN/A1096917,8783,399
2024-11-27$41.83$30.0051.7%14.8%35.3%52.9%50.1%3.0%-11.0%1.1M-49.1M-70.1K2.3446.84N/AN/A7918517,8613,449
2024-11-29$42.05$30.0054.7%15.7%32.9%58.3%54.7%2.5%-12.3%1.1M-43.5M-72.3K0.0056.37N/AN/A5,5022618,0453,605