It's a text-book example of a glacial U-shaped valley, formed in the last Ice Age as a glacial slowly scoured out this valley on the western approaches to Mickle Fell. It provides a fantastic visual spectacle - even on a relatively poor day such as this - but despite the awe-inspiring view is much less busy than nearby destinations in the Lake District. 

The rocky escarpment encircling the upper edge of the valley is made up of exposed crags formed from Whin Sill, a stratum of dolerite which forms features in many parts of the north of England. This lines the 'Cup'. The 'Nick' in the name is the gap at the head of the valley, where a small stream spills over the edge - sometimes forming a waterfall - and runs down to become High Cupgill Beck.

See also my panorama from the head of the valley.