DUSA Options History — March 2007 In March 2007, DUSA traded between $3.35 and $3.96. ATM implied volatility averaged 95.4%. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 36.2% (HV 20d: 59.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2007-03-20 : Highest Volume — 25 contracts2007-03-13 : Largest IV spike — 148.0% change2007-03-02 : Largest Expected Move — 31.5%Monthly Statistics Metric Avg Min Max Open Close Price $3.57 $3.35 $3.96 $3.96 $3.58 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 95.4% 64.3% 179.7% 64.3% 90.8% Expected Move 21.7% 14.5% 31.5% 18.4% 26.0% HV 20d 59.2% 44.0% 63.7% 44.0% 55.5% HV 60d 49.2% 47.9% 51.2% 51.2% 48.2% Term Structure -16.6% -35.2% 18.9% -34.5% -19.7% Bid-Ask Spread % 98.04 93.36 107.32 106.43 93.90 Gamma HHI 0.89 0.79 0.97 0.97 0.92 Net GEX 456 239 627 627 352 Net DEX -7.0K -11.7K 622 -11.4K -4.4K Net VEX -92 -141 -37 -141 -66 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 1.818 0 25 0 0 Total OI 307.864 294 324 302 324
Daily Data (22 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 2007-03-01 $3.96 $0.00 64.3% 18.4% 44.0% 0.0% 0.0% 0.0% -34.5% 627 -11.4K -141 0.00 106.43 N/A N/A 0 0 249 53 2007-03-02 $3.65 $0.00 109.9% 31.5% 51.7% 0.0% 0.0% 0.0% -35.2% 530 -7.2K -119 0.00 107.32 N/A N/A 0 0 249 53 2007-03-05 $3.79 $5.00 93.6% 14.5% 54.1% 0.0% 0.0% 0.0% 3.6% 563 -10.4K -136 0.00 106.81 N/A N/A 0 10 249 53 2007-03-06 $3.78 $5.00 97.2% 14.5% 53.4% 0.0% 0.0% 0.0% 4.9% 571 -10.3K -136 0.00 107.25 N/A N/A 0 0 249 63 2007-03-07 $3.40 $5.00 121.0% 16.2% 63.0% 0.0% 0.0% 0.0% 18.9% 344 622 -77 0.00 105.94 N/A N/A 0 0 249 63 2007-03-08 $3.45 $5.00 150.3% 19.3% 59.8% 0.0% 0.0% 0.0% -7.6% 432 -6.5K -87 0.00 107.30 N/A N/A 0 0 249 45 2007-03-09 $3.60 $5.00 158.5% 20.7% 61.6% 0.0% 0.0% 0.0% -8.5% 515 -9.5K -102 0.00 107.00 N/A N/A 0 0 249 45 2007-03-12 $3.64 $5.00 72.5% 20.8% 61.5% 0.0% 0.0% 0.0% -22.6% 537 -11.4K -109 0.00 93.36 N/A N/A 0 0 249 45 2007-03-13 $3.60 $5.00 179.7% 20.5% 61.4% 0.0% 0.0% 0.0% -21.9% 515 -9.9K -100 0.00 93.59 N/A N/A 0 0 249 45 2007-03-14 $3.62 $5.00 75.7% 21.7% 61.5% 0.0% 0.0% 0.0% -25.8% 539 -10.7K -110 0.00 93.94 N/A N/A 0 0 249 45 2007-03-15 $3.60 $5.00 73.3% 21.0% 60.4% 0.0% 0.0% 0.0% -23.4% 517 -10.0K -98 0.00 93.75 N/A N/A 0 0 249 45 2007-03-16 $3.55 $5.00 77.6% 22.2% 59.7% 0.0% 0.0% 0.0% -12.1% 492 -8.5K -96 0.00 93.97 N/A N/A 0 0 249 45 2007-03-19 $3.35 $5.00 69.7% 20.0% 62.1% 0.0% 0.0% 0.0% -10.8% 342 -3.4K -63 0.00 94.46 N/A N/A 5 0 249 45 2007-03-20 $3.37 $5.00 69.5% 19.9% 61.4% 0.0% 0.0% 0.0% -10.2% 239 -514 -37 0.00 94.46 N/A N/A 25 0 254 45 2007-03-21 $3.38 $5.00 75.0% 21.5% 61.6% 0.0% 0.0% 0.0% -20.6% 325 -2.9K -60 0.00 93.62 N/A N/A 0 0 279 45 2007-03-22 $3.38 $5.00 76.3% 21.9% 61.5% 0.0% 0.0% 0.0% -21.3% 326 -2.7K -57 0.00 94.24 N/A N/A 0 0 279 45 2007-03-23 $3.35 $5.00 79.5% 22.8% 57.9% 0.0% 0.0% 0.0% -23.4% 445 -6.2K -88 0.00 94.24 N/A N/A 0 0 279 45 2007-03-26 $3.53 $5.00 87.5% 25.1% 61.7% 0.0% 0.0% 0.0% -26.5% 566 -11.7K -117 0.00 93.51 N/A N/A 0 0 279 45 2007-03-27 $3.66 $5.00 90.2% 25.9% 63.7% 0.0% 0.0% 0.0% -27.0% 411 -5.5K -75 0.00 93.94 N/A N/A 0 0 279 45 2007-03-28 $3.65 $5.00 93.0% 26.7% 63.1% 0.0% 0.0% 0.0% -20.8% 414 -5.4K -75 0.00 93.86 N/A N/A 0 0 279 45 2007-03-29 $3.66 $5.00 94.1% 27.0% 62.1% 0.0% 0.0% 0.0% -21.3% 419 -5.5K -74 0.00 94.08 N/A N/A 0 0 279 45 2007-03-30 $3.58 $5.00 90.8% 26.0% 55.5% 0.0% 0.0% 0.0% -19.7% 352 -4.4K -66 0.00 93.90 N/A N/A 0 0 279 45
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