DUSA Options History — August 2007 In August 2007, DUSA traded between $1.90 and $2.43. ATM implied volatility averaged 126.6%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 36.9%. IV traded above realized volatility by 54.0% (HV 20d: 72.5%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 0 of 23 days.
Notable Days 2007-08-08 : Highest Volume — 10 contracts2007-08-16 : Largest IV spike — 101.2% change2007-08-06 : Highest IV Rank — 100.0%2007-08-06 : Largest Expected Move — 54.2%Monthly Statistics Metric Avg Min Max Open Close Price $2.10 $1.90 $2.43 $2.43 $2.16 Max Pain $3.37 $2.50 $5.00 $5.00 $2.50 ATM IV 126.6% 57.5% 189.1% 163.9% 131.1% Expected Move 36.9% 16.5% 54.2% 47.0% 37.6% HV 20d 72.5% 61.3% 79.8% 61.3% 69.5% HV 60d 89.7% 65.7% 133.0% 131.0% 68.1% IV Rank 59.5% 13.1% 100.0% 88.9% 61.7% IV Percentile 71.0% 21.9% 100.0% 97.9% 80.2% Term Structure -76.8% -91.6% -65.5% -69.0% -91.6% Bid-Ask Spread % 127.25 106.94 152.43 152.43 108.30 Gamma HHI 0.74 0.51 1.00 1.00 0.83 Net GEX 61 -272 175 -272 165 Net DEX 5.8K -1.6K 15.2K 8.8K -807 Net VEX -44 -97 -1 -33 -59 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.609 0 10 0 0 Total OI 398.783 390 412 402 390
Daily Data (23 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 2007-08-01 $2.43 $5.00 163.9% 47.0% 61.3% 88.9% 0.0% 0.0% -69.0% -272 8.8K -33 0.00 152.43 N/A N/A 0 0 329 73 2007-08-02 $2.33 $5.00 170.2% 48.8% 62.3% 93.4% 0.0% 0.0% -71.1% 174 -1.6K -97 0.00 144.59 N/A N/A 0 0 329 73 2007-08-03 $2.35 $5.00 175.1% 50.2% 62.3% 96.8% 0.0% 0.0% -65.5% 175 -1.3K -89 0.00 144.66 N/A N/A 0 0 329 73 2007-08-06 $2.32 $5.00 189.1% 54.2% 62.3% 100.0% 0.0% 0.0% -87.1% 162 -646 -85 0.00 144.59 N/A N/A 0 0 329 73 2007-08-07 $2.35 $5.00 188.7% 54.1% 62.3% 99.7% 0.0% 0.0% -91.6% 146 685 -77 0.00 145.04 N/A N/A 0 0 329 73 2007-08-08 $2.07 $5.00 106.9% 0.0% 75.1% 45.7% 0.0% 0.0% 0.0% 74 8.4K -37 0.00 137.02 N/A N/A 0 10 329 73 2007-08-09 $2.03 $5.00 104.6% 0.0% 74.3% 44.2% 0.0% 0.0% 0.0% 34 10.4K -36 0.00 134.11 N/A N/A 0 2 329 83 2007-08-10 $2.02 $5.00 123.1% 0.0% 74.3% 56.4% 0.0% 0.0% 0.0% 118 5.2K -59 0.00 134.11 N/A N/A 0 0 329 79 2007-08-13 $2.13 $2.50 106.0% 30.4% 77.8% 45.1% 0.0% 0.0% 0.0% 61 8.6K -43 0.00 125.34 N/A N/A 0 0 329 79 2007-08-14 $2.00 $2.50 108.7% 31.2% 79.8% 46.9% 0.0% 0.0% 0.0% 23 10.1K -29 0.00 123.94 N/A N/A 0 0 329 79 2007-08-15 $2.00 $2.50 57.5% 16.5% 79.5% 13.1% 0.0% 0.0% 0.0% -17 13.4K -15 0.00 115.49 N/A N/A 0 0 329 79 2007-08-16 $1.97 $2.50 115.7% 33.2% 79.5% 51.6% 0.0% 0.0% 0.0% -7 15.2K -4 0.00 123.07 N/A N/A 0 0 329 79 2007-08-17 $1.97 $2.50 111.6% 32.0% 78.9% 48.8% 0.0% 0.0% 0.0% 19 10.2K -28 0.00 123.02 N/A N/A 0 0 329 79 2007-08-20 $1.91 $2.50 115.0% 33.0% 79.0% 51.1% 0.0% 0.0% 0.0% 23 6.7K -27 0.00 122.78 N/A N/A 0 0 329 61 2007-08-21 $1.95 $2.50 111.4% 31.9% 75.3% 48.7% 0.0% 0.0% 0.0% 19 6.7K -27 0.00 124.03 N/A N/A 0 0 329 61 2007-08-22 $1.97 $2.50 112.1% 32.1% 74.4% 49.1% 0.0% 0.0% 0.0% 26 6.6K -29 0.00 124.03 N/A N/A 0 0 329 61 2007-08-23 $1.90 $2.50 121.2% 34.8% 74.4% 55.2% 0.0% 0.0% 0.0% -2 11.5K -1 0.00 122.61 N/A N/A 0 0 329 61 2007-08-24 $1.92 $2.50 118.9% 34.1% 74.8% 53.7% 0.0% 0.0% 0.0% 21 6.7K -25 0.00 122.78 N/A N/A 0 0 329 61 2007-08-27 $2.05 $2.50 130.9% 37.5% 79.8% 61.6% 0.0% 0.0% 0.0% 136 676 -56 0.00 121.54 N/A N/A 0 0 329 61 2007-08-28 $2.18 $2.50 126.3% 36.2% 72.9% 58.5% 0.0% 0.0% 0.0% 164 -572 -61 0.00 112.44 N/A N/A 0 2 329 61 2007-08-29 $2.13 $2.50 99.4% 28.5% 69.4% 40.8% 0.0% 0.0% 0.0% -5 7.8K -23 0.00 106.94 N/A N/A 0 0 329 61 2007-08-30 $2.20 $2.50 123.6% 35.4% 69.4% 56.7% 0.0% 0.0% 0.0% 158 -110 -62 0.00 113.96 N/A N/A 0 0 329 61 2007-08-31 $2.16 $2.50 131.1% 37.6% 69.5% 61.7% 0.0% 0.0% 0.0% 165 -807 -59 0.00 108.30 N/A N/A 0 0 329 61
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