NCNO Options History — December 2024

In December 2024, NCNO traded between $33.57 and $42.42. ATM implied volatility averaged 34.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 12.8% (HV 20d: 47.4%). Max pain ranged from $30.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.67.

Notable Days

  • 2024-12-05: Highest Volume — 10,252 contracts
  • 2024-12-05: Largest IV drop — 53.8% change
  • 2024-12-02: Highest IV Rank — 100.0%
  • 2024-12-04: Largest Expected Move — 21.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.42$33.57$42.42$41.74$33.57
Max Pain$37.62$30.00$45.00$30.00$35.00
ATM IV34.6%25.1%74.7%60.8%28.2%
Expected Move9.9%7.9%21.4%17.4%8.1%
HV 20d47.4%33.0%51.4%33.2%50.6%
HV 60d38.4%28.4%41.1%29.3%41.0%
IV Rank26.4%5.9%100.0%100.0%11.8%
IV Percentile36.0%6.3%100.0%100.0%20.6%
Term Structure-3.6%-28.8%0.5%-17.7%0.2%
VWIV34.6%26.2%72.6%60.8%28.5%
Skew 25d0.4%-9.0%13.7%3.9%2.3%
Skew 10d0.9%-13.8%22.7%3.3%2.2%
Call IV 25d33.5%19.1%74.3%57.7%28.4%
Put IV 25d33.9%21.6%71.1%61.6%30.8%
Bid-Ask Spread %58.3941.1277.1455.1866.15
Gamma HHI0.490.290.910.290.35
Net GEX1.1M198.2K4.7M1.4M208.3K
Net DEX-17.3M-48.9M-3.7M-44.9M-4.2M
Net VEX-50.3K-87.0K-36.5K-77.2K-36.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.022.662.050.18
Total Volume1,401.0481910,2522,458390
Total OI26,256.57115,16232,65224,56215,445

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-12-02$41.74$30.0060.8%17.4%33.2%100.0%60.8%3.9%-17.7%1.4M-44.9M-77.2K2.0555.18N/AN/A8051,65320,9523,610
2024-12-03$41.33$35.0061.2%17.6%33.0%100.0%61.4%4.2%-19.0%1.2M-40.6M-82.9K0.2849.05N/AN/A77922221,2034,921
2024-12-04$42.42$35.0074.7%21.4%33.4%100.0%72.6%-3.2%-28.8%1.3M-48.9M-87.0K0.3553.14N/AN/A4,1951,48821,7074,760
2024-12-05$37.50$45.0034.5%9.2%51.1%23.8%32.3%0.6%-1.5%808.3K-18.9M-54.9K0.4351.56N/AN/A7,1603,09224,3455,893
2024-12-06$37.34$40.0025.1%8.5%48.5%5.9%28.9%0.4%-1.0%891.9K-19.6M-50.9K0.1873.64N/AN/A2,33041725,8215,543
2024-12-09$37.06$40.0033.0%8.7%47.9%20.7%34.1%-0.2%-1.6%919.7K-18.7M-51.7K0.3862.94N/AN/A44917025,9475,669
2024-12-10$36.06$40.0031.2%8.4%48.2%17.4%29.8%-1.3%-0.7%980.9K-14.4M-47.6K2.6668.02N/AN/A19852726,1555,738
2024-12-11$36.73$40.0030.2%8.7%49.1%15.4%30.3%0.2%-0.8%949.6K-18.9M-48.0K0.5160.07N/AN/A34217526,1965,208
2024-12-12$36.59$40.0030.5%8.8%49.1%16.1%31.5%-1.2%-1.5%974.0K-19.2M-48.7K0.5163.33N/AN/A44722926,5035,073
2024-12-13$35.59$40.0028.1%8.1%49.1%11.6%28.1%-2.0%-0.6%1.3M-15.4M-47.2K0.1155.57N/AN/A5866226,9944,979
2024-12-16$35.94$40.0029.7%8.5%49.4%14.6%31.5%-1.0%-1.1%1.3M-18.6M-46.9K0.0260.61N/AN/A9001427,2084,750
2024-12-17$35.36$40.0028.7%8.2%49.5%12.7%29.2%-1.0%-0.7%1.7M-16.1M-46.9K2.4357.13N/AN/A7718727,6744,759
2024-12-18$34.13$40.0031.3%9.0%50.5%17.6%32.6%-9.0%-1.2%1.3M-7.6M-43.1K0.8377.14N/AN/A20717227,6984,857
2024-12-19$34.60$40.0030.1%8.6%51.0%15.3%26.2%-8.3%-0.1%2.2M-9.8M-43.4K0.7354.81N/AN/A33624527,7264,881
2024-12-20$35.21$35.0028.9%8.3%51.4%13.1%29.4%4.7%0.3%4.7M-18.2M-42.6K0.1558.72N/AN/A4436827,6415,011
2024-12-23$35.13$35.0028.8%8.3%50.3%12.9%27.6%3.4%-0.3%313.6K-6.7M-41.7K0.4641.92N/AN/A1145312,8502,312
2024-12-24$35.27$35.0027.4%7.9%50.0%10.2%27.4%7.7%-0.1%325.7K-7.1M-41.4K0.0557.06N/AN/A99512,9372,312
2024-12-26$35.47$35.0027.8%8.0%49.9%10.8%27.8%13.7%-0.5%347.1K-7.6M-41.9K0.7354.22N/AN/A11812,9972,312
2024-12-27$34.27$35.0028.3%8.1%50.7%11.9%28.3%2.3%-0.3%261.5K-5.2M-39.3K0.3764.94N/AN/A43416013,0002,317
2024-12-30$33.59$35.0028.6%8.2%50.5%12.4%28.6%-6.8%0.5%198.2K-3.7M-37.2K0.5441.12N/AN/A1126113,0402,444
2024-12-31$33.57$35.0028.2%8.1%50.6%11.8%28.5%2.3%0.2%208.3K-4.2M-36.5K0.1866.15N/AN/A3306013,1392,306