DUSA Options History — April 2007

In April 2007, DUSA traded between $3.20 and $3.63. ATM implied volatility averaged 114.2%. The 30-day expected move averaged 29.8%. IV traded above realized volatility by 70.2% (HV 20d: 44.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.00.

Notable Days

  • 2007-04-18: Highest Volume — 50 contracts
  • 2007-04-09: Largest IV spike — 50.9% change
  • 2007-04-30: Largest Expected Move — 40.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.44$3.20$3.63$3.46$3.63
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV114.2%95.7%167.9%95.7%141.9%
Expected Move29.8%25.8%40.7%27.4%40.7%
HV 20d44.0%35.6%56.6%54.7%50.9%
HV 60d49.3%48.0%52.1%48.6%52.1%
Term Structure-41.1%-73.6%-24.2%-24.7%-73.6%
Bid-Ask Spread %110.9093.84117.1594.24113.44
Gamma HHI0.930.890.950.900.89
Net GEX410251655266655
Net DEX-8.0K-24.0K-2.4K-2.8K-10.0K
Net VEX-95-187-48-54-160
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume8.4050010
Total OI320.65265423324305

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$3.46$5.0095.7%27.4%54.7%0.0%0.0%0.0%-24.7%266-2.8K-540.0094.24N/AN/A0027945
2007-04-03$3.59$5.00106.5%30.5%56.6%0.0%0.0%0.0%-38.8%370-4.5K-650.0093.84N/AN/A0027945
2007-04-04$3.60$5.00101.1%29.0%41.4%0.0%0.0%0.0%-25.2%356-4.0K-590.0094.12N/AN/A0027945
2007-04-05$3.42$5.00101.0%28.9%45.4%0.0%0.0%0.0%-28.5%251-2.4K-480.0094.33N/AN/A0027945
2007-04-09$3.36$0.00152.4%26.1%42.7%0.0%0.0%0.0%-30.1%316-4.0K-630.00113.56N/AN/A0027945
2007-04-10$3.38$0.00157.4%26.2%42.6%0.0%0.0%0.0%-29.9%324-4.2K-650.00116.00N/AN/A0027945
2007-04-11$3.35$0.00167.9%25.8%42.5%0.0%0.0%0.0%-24.2%314-4.0K-620.00115.30N/AN/A0027945
2007-04-12$3.46$0.0098.1%28.1%44.3%0.0%0.0%0.0%-44.1%360-4.6K-640.00115.62N/AN/A0027945
2007-04-13$3.51$0.00101.0%29.0%44.7%0.0%0.0%0.0%-45.8%394-5.6K-720.00114.07N/AN/A0027945
2007-04-16$3.50$0.0097.4%27.9%44.4%0.0%0.0%0.0%-49.9%339-4.3K-650.00114.80N/AN/A0027945
2007-04-17$3.59$0.00102.9%29.5%39.8%0.0%0.0%0.0%-44.6%439-6.1K-680.00115.12N/AN/A30027945
2007-04-18$3.45$0.00103.3%29.6%42.6%0.0%0.0%0.0%-52.0%397-9.3K-950.00114.52N/AN/A50030845
2007-04-19$3.40$0.00103.2%29.6%43.0%0.0%0.0%0.0%-52.7%470-14.7K-1360.00114.95N/AN/A20035845
2007-04-20$3.39$0.00105.5%30.2%43.0%0.0%0.0%0.0%-54.9%542-7.6K-990.00115.93N/AN/A0037845
2007-04-23$3.36$0.00108.3%31.1%43.0%0.0%0.0%0.0%-41.7%588-24.0K-1870.00116.77N/AN/A10025510
2007-04-24$3.37$0.00109.9%31.5%38.3%0.0%0.0%0.0%-42.8%501-17.5K-1440.00116.18N/AN/A01025510
2007-04-25$3.35$0.00113.3%32.5%35.6%0.0%0.0%0.0%-45.4%470-15.1K-1520.00115.87N/AN/A8025520
2007-04-26$3.20$0.0098.7%28.3%38.5%0.0%0.0%0.0%-24.2%377-8.3K-1100.00117.15N/AN/A01025520
2007-04-27$3.43$0.00118.7%34.0%46.9%0.0%0.0%0.0%-48.3%472-6.5K-1280.00112.29N/AN/A02025530
2007-04-30$3.63$0.00141.9%40.7%50.9%0.0%0.0%0.0%-73.6%655-10.0K-1600.00113.44N/AN/A10025550