DUSA Options History — April 2011

In April 2011, DUSA traded between $4.89 and $6.05. ATM implied volatility averaged 74.1%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 305.9% (HV 20d: 380.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 5 of 9 trading days. Term structure was in contango for 2 of 9 days. Put/call ratio averaged 0.00.

Notable Days

2011-04-21: Highest Volume — 14 contracts
2011-04-21: Largest IV spike — 107.7% change
2011-04-25: Highest IV Rank — 32.9%
2011-04-25: Largest Expected Move — 25.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.55	$4.89	$6.05	$5.85	$4.89
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	74.1%	40.1%	87.9%	74.9%	56.8%
Expected Move	21.2%	11.5%	25.2%	21.5%	16.3%
HV 20d	380.0%	377.6%	384.4%	380.6%	377.6%
HV 60d	230.7%	229.4%	231.8%	231.5%	230.1%
IV Rank	23.8%	1.6%	32.9%	24.4%	12.5%
IV Percentile	24.7%	3.0%	31.7%	23.7%	17.0%
Term Structure	-5.1%	-16.6%	37.5%	4.3%	37.5%
VWIV	77.5%	70.0%	84.9%	70.0%	84.9%
Skew 25d	13.6%	-1.9%	30.6%	-1.9%	30.6%
Skew 10d	47.4%	34.5%	55.7%	43.2%	54.2%
Call IV 25d	75.5%	63.0%	89.5%	65.6%	89.5%
Put IV 25d	89.1%	63.7%	120.1%	63.7%	120.1%
Bid-Ask Spread %	132.06	108.99	200.00	126.74	144.80
Gamma HHI	0.82	0.76	0.87	0.76	0.87
Net GEX	74	0	188	0	188
Net DEX	-2.5K	-6.3K	0	0	-3.6K
Net VEX	-6	-13	0	0	-11
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	2	0	14	0	1
Total OI	8.778	0	17	0	17

Daily Data (9 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI
2011-04-18	$5.85	$0.00	74.9%	21.5%	380.6%	24.4%	0.0%	0.0%	4.3%	0	0	0	126.74	N/A	N/A	0	0
2011-04-19	$5.82	$0.00	76.6%	22.0%	379.9%	25.5%	0.0%	-1.9%	-11.4%	0	0	0	126.82	N/A	N/A	0	0
2011-04-20	$6.05	$0.00	40.1%	11.5%	378.6%	1.6%	0.0%	0.0%	0.0%	0	0	0	200.00	N/A	N/A	0	0
2011-04-21	$6.05	$0.00	83.3%	23.9%	378.6%	29.9%	70.0%	3.9%	-13.2%	0	0	0	124.34	N/A	N/A	14	0
2011-04-25	$5.91	$5.00	87.9%	25.2%	378.4%	32.9%	0.0%	0.4%	-16.6%	100	-6.3K	-10	110.65	N/A	N/A	0	14
2011-04-26	$5.12	$5.00	84.8%	24.3%	384.4%	30.9%	84.9%	0.0%	-12.8%	108	-3.8K	-10	108.99	N/A	N/A	3	14
2011-04-27	$5.19	$5.00	83.3%	23.9%	384.0%	29.9%	0.0%	20.8%	-13.6%	131	-4.8K	-13	117.16	N/A	N/A	0	17
2011-04-28	$5.04	$5.00	78.8%	22.6%	377.9%	27.0%	0.0%	27.9%	-15.3%	139	-4.3K	-12	129.05	N/A	N/A	0	17
2011-04-29	$4.89	$5.00	56.8%	16.3%	377.6%	12.5%	0.0%	30.6%	37.5%	188	-3.6K	-11	144.80	N/A	N/A	1	17