DUSA Options History — January 2007 In January 2007, DUSA traded between $4.02 and $4.47. ATM implied volatility averaged 47.1%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 9.6% (HV 20d: 37.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2007-01-24 : Highest Volume — 50 contracts2007-01-11 : Largest IV drop — 39.1% change2007-01-03 : Largest Expected Move — 14.7%Monthly Statistics Metric Avg Min Max Open Close Price $4.24 $4.02 $4.47 $4.29 $4.31 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 47.1% 38.1% 69.5% 51.2% 42.0% Expected Move 12.2% 10.9% 14.7% 14.7% 12.1% HV 20d 37.5% 35.6% 38.7% 36.8% 37.6% Term Structure 13.6% -8.5% 19.9% 4.1% 14.9% VWIV 41.3% 41.3% 41.3% 41.3% 41.3% Bid-Ask Spread % 15.79 11.05 50.60 14.63 14.12 Gamma HHI 0.92 0.51 1.00 0.51 1.00 Net GEX 132 -187 759 -70 516 Net DEX 23.1K -4.7K 42.5K 34.3K -295 Net VEX -59 -138 -18 -84 -86 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 7.85 0 50 0 21 Total OI 376.45 168 511 484 224
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-01-03 $4.29 $5.00 51.2% 14.7% 0.0% 0.0% 0.0% 0.0% 4.1% -70 34.3K -84 0.00 14.63 N/A N/A 0 0 346 138 2007-01-04 $4.25 $5.00 46.7% 13.4% 0.0% 0.0% 0.0% 0.0% -8.5% 759 19.2K -138 0.00 12.45 N/A N/A 0 0 346 138 2007-01-05 $4.17 $0.00 53.7% 11.5% 0.0% 0.0% 0.0% 0.0% 15.8% -187 41.8K -30 0.00 50.60 N/A N/A 0 0 346 138 2007-01-08 $4.11 $0.00 61.9% 11.5% 0.0% 0.0% 0.0% 0.0% 17.6% -155 41.8K -24 0.00 15.24 N/A N/A 2 0 346 138 2007-01-09 $4.02 $0.00 64.2% 11.8% 0.0% 0.0% 0.0% 0.0% 13.9% -113 41.5K -19 0.00 13.07 N/A N/A 0 0 346 138 2007-01-10 $4.14 $0.00 69.5% 11.0% 0.0% 0.0% 0.0% 0.0% 15.7% -136 42.5K -19 0.00 11.05 N/A N/A 2 0 346 138 2007-01-11 $4.14 $0.00 42.4% 12.1% 0.0% 0.0% 0.0% 0.0% 15.4% -120 42.3K -21 0.00 15.24 N/A N/A 0 0 348 138 2007-01-12 $4.11 $0.00 40.5% 11.6% 0.0% 0.0% 0.0% 0.0% 15.2% -107 42.2K -18 0.00 13.75 N/A N/A 25 0 348 138 2007-01-16 $4.19 $0.00 40.8% 11.7% 0.0% 0.0% 0.0% 0.0% 18.1% -52 40.6K -35 0.00 12.79 N/A N/A 0 0 371 138 2007-01-17 $4.05 $0.00 43.5% 12.5% 0.0% 0.0% 0.0% 0.0% 8.7% -11 41.1K -20 0.00 13.10 N/A N/A 7 0 371 138 2007-01-18 $4.20 $0.00 42.4% 12.2% 0.0% 0.0% 41.3% 0.0% 13.0% -18 41.5K -31 0.00 13.47 N/A N/A 19 0 373 138 2007-01-19 $4.37 $5.00 48.5% 13.9% 0.0% 0.0% 0.0% 0.0% 19.9% -17 41.1K -47 0.00 11.49 N/A N/A 15 0 372 138 2007-01-22 $4.38 $5.00 40.6% 11.6% 0.0% 0.0% 0.0% 0.0% 18.4% 85 1.4K -69 0.00 14.61 N/A N/A 0 0 115 53 2007-01-23 $4.36 $5.00 41.0% 11.7% 0.0% 0.0% 0.0% 0.0% 14.6% 80 1.4K -65 0.00 15.07 N/A N/A 10 0 115 53 2007-01-24 $4.47 $5.00 38.1% 10.9% 0.0% 0.0% 0.0% 0.0% 17.3% 200 -1.1K -85 0.00 16.21 N/A N/A 50 0 125 53 2007-01-25 $4.38 $5.00 39.9% 11.4% 36.8% 0.0% 0.0% 0.0% 13.3% 522 -4.5K -116 0.00 15.52 N/A N/A 1 0 166 53 2007-01-26 $4.41 $5.00 41.6% 11.9% 35.6% 0.0% 0.0% 0.0% 17.0% 537 -4.7K -111 0.00 15.52 N/A N/A 0 0 166 53 2007-01-29 $4.22 $5.00 45.8% 13.1% 38.7% 0.0% 0.0% 0.0% 13.2% 445 835 -80 0.00 13.86 N/A N/A 0 0 166 53 2007-01-30 $4.32 $5.00 46.7% 13.4% 38.7% 0.0% 0.0% 0.0% 14.5% 487 -564 -91 0.00 13.93 N/A N/A 5 0 166 53 2007-01-31 $4.31 $5.00 42.0% 12.1% 37.6% 0.0% 0.0% 0.0% 14.9% 516 -295 -86 0.00 14.12 N/A N/A 21 0 171 53
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