DUSA Options History — July 2007 In July 2007, DUSA traded between $2.29 and $2.97. ATM implied volatility averaged 142.1%, placing in the 74.4% IV rank vs the trailing year. The 30-day expected move averaged 39.1%. IV traded above realized volatility by 81.3% (HV 20d: 60.8%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2007-07-06 : Highest Volume — 15 contracts2007-07-12 : Largest IV drop — 21.9% change2007-07-31 : Highest IV Rank — 91.6%2007-07-31 : Largest Expected Move — 48.1%Monthly Statistics Metric Avg Min Max Open Close Price $2.76 $2.29 $2.97 $2.91 $2.29 Max Pain $4.64 $2.50 $5.00 $2.50 $5.00 ATM IV 142.1% 128.0% 167.8% 129.7% 167.8% Expected Move 39.1% 32.0% 48.1% 37.2% 48.1% HV 20d 60.8% 44.1% 74.9% 74.4% 56.9% HV 60d 130.6% 128.7% 131.1% 131.0% 130.5% IV Rank 74.4% 63.6% 91.6% 72.6% 91.6% IV Percentile 91.9% 84.7% 98.6% 92.9% 98.6% Term Structure -29.4% -71.3% -7.5% -15.6% -71.3% Bid-Ask Spread % 131.37 118.05 145.20 118.05 144.59 Gamma HHI 0.65 0.51 0.76 0.71 0.64 Net GEX 319 121 521 521 121 Net DEX -11.7K -17.1K 2.8K -15.5K 2.8K Net VEX -156 -197 -73 -179 -73 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 1.857 0 15 0 0 Total OI 576.952 399 666 661 404
Daily Data (21 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 2007-07-02 $2.91 $2.50 129.7% 37.2% 74.4% 0.0% 0.0% 0.0% -15.6% 521 -15.5K -179 0.00 118.05 N/A N/A 0 0 555 106 2007-07-03 $2.97 $2.50 130.4% 37.4% 74.7% 0.0% 0.0% 0.0% -7.5% 505 -16.4K -190 0.00 118.26 N/A N/A 0 0 555 106 2007-07-05 $2.92 $2.50 140.8% 40.4% 74.7% 72.6% 0.0% 0.0% -23.3% 465 -17.1K -197 0.00 118.26 N/A N/A 0 0 555 106 2007-07-06 $2.95 $5.00 137.8% 35.0% 74.9% 70.5% 0.0% 0.0% -12.2% 449 -16.5K -192 0.00 127.34 N/A N/A 15 0 555 106 2007-07-09 $2.91 $5.00 149.4% 35.5% 74.2% 78.7% 0.0% 0.0% -13.8% 401 -15.0K -184 0.00 128.48 N/A N/A 10 0 560 106 2007-07-10 $2.82 $5.00 154.0% 36.9% 74.6% 81.9% 0.0% 0.0% -16.8% 344 -14.0K -182 0.00 129.75 N/A N/A 0 0 560 106 2007-07-11 $2.78 $5.00 163.8% 32.0% 74.5% 88.8% 0.0% 0.0% -21.1% 327 -13.7K -182 0.00 129.87 N/A N/A 1 0 560 106 2007-07-12 $2.82 $5.00 128.0% 36.7% 74.6% 63.6% 0.0% 0.0% -27.3% 343 -10.8K -156 0.00 129.87 N/A N/A 0 0 560 106 2007-07-13 $2.81 $5.00 130.1% 37.3% 59.7% 65.1% 0.0% 0.0% -21.1% 339 -13.7K -178 0.00 129.44 N/A N/A 0 0 560 106 2007-07-16 $2.71 $5.00 130.8% 37.5% 56.3% 65.6% 0.0% 0.0% -28.7% 178 -12.5K -155 0.00 133.35 N/A N/A 0 0 560 106 2007-07-17 $2.69 $5.00 133.5% 38.3% 56.4% 67.5% 0.0% 0.0% -28.3% 167 -13.6K -154 0.00 133.35 N/A N/A 0 0 560 106 2007-07-18 $2.72 $5.00 134.6% 38.6% 56.9% 68.2% 0.0% 0.0% -32.8% 254 -13.3K -153 0.00 133.35 N/A N/A 0 0 560 106 2007-07-19 $2.67 $5.00 138.5% 39.7% 50.0% 71.0% 0.0% 0.0% -28.0% 207 -13.8K -160 0.00 133.35 N/A N/A 6 0 560 106 2007-07-20 $2.71 $5.00 139.5% 40.0% 49.5% 71.7% 0.0% 0.0% -35.2% 310 -11.7K -151 0.00 133.35 N/A N/A 0 0 554 106 2007-07-23 $2.65 $5.00 144.5% 41.4% 44.7% 75.2% 0.0% 0.0% -29.7% 278 -10.2K -147 0.00 135.75 N/A N/A 0 2 324 75 2007-07-24 $2.81 $5.00 141.2% 40.5% 50.3% 72.9% 0.0% 0.0% -31.9% 329 -11.2K -146 0.00 133.68 N/A N/A 5 0 324 75 2007-07-25 $2.88 $5.00 141.4% 40.5% 51.3% 73.0% 0.0% 0.0% -50.6% 335 -8.0K -124 0.00 131.51 N/A N/A 0 0 329 75 2007-07-26 $2.78 $5.00 143.4% 41.1% 51.9% 74.4% 0.0% 0.0% -26.9% 303 -8.8K -139 0.00 136.07 N/A N/A 0 0 329 75 2007-07-27 $2.68 $5.00 150.6% 43.2% 52.3% 79.6% 0.0% 0.0% -46.1% 283 -7.2K -131 0.00 135.86 N/A N/A 0 0 329 75 2007-07-30 $2.58 $5.00 154.3% 44.2% 44.1% 82.1% 0.0% 0.0% -48.9% 238 -4.9K -112 0.00 145.20 N/A N/A 0 0 329 75 2007-07-31 $2.29 $5.00 167.8% 48.1% 56.9% 91.6% 0.0% 0.0% -71.3% 121 2.8K -73 0.00 144.59 N/A N/A 0 0 329 75
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