DUSA Options History — May 2011

In May 2011, DUSA traded between $4.53 and $6.59. ATM implied volatility averaged 68.4%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded below realized volatility by 174.8% (HV 20d: 243.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2011-05-05: Highest Volume — 473 contracts
2011-05-11: Largest IV drop — 29.4% change
2011-05-09: Highest IV Rank — 32.2%
2011-05-18: Largest Expected Move — 23.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.71	$4.53	$6.59	$4.81	$6.59
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	68.4%	49.6%	86.8%	78.3%	51.7%
Expected Move	19.3%	14.2%	23.6%	22.5%	14.8%
HV 20d	243.2%	88.1%	381.8%	377.6%	88.1%
HV 60d	232.5%	230.1%	233.7%	230.1%	233.2%
IV Rank	20.1%	7.8%	32.2%	26.6%	9.2%
IV Percentile	23.0%	12.9%	34.0%	28.0%	15.0%
Term Structure	5.1%	-27.1%	29.7%	-4.9%	29.7%
VWIV	65.2%	37.9%	82.7%	73.2%	37.9%
Skew 25d	18.8%	2.9%	39.7%	30.1%	11.2%
Skew 10d	30.6%	2.1%	66.6%	57.1%	2.1%
Call IV 25d	75.3%	46.1%	132.3%	93.9%	46.1%
Put IV 25d	94.0%	56.9%	155.7%	124.0%	57.2%
Bid-Ask Spread %	102.32	83.19	138.27	138.27	91.59
Gamma HHI	0.67	0.51	0.86	0.85	0.85
Net GEX	1.3K	148	2.4K	148	2.0K
Net DEX	-79.8K	-122.0K	-3.4K	-3.4K	-122.0K
Net VEX	-296	-518	-11	-11	-501
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	9.50	0.20	0.19
Total Volume	49.333	0	473	24	56
Total OI	291.667	17	428	17	428

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
2011-05-02	$4.81	$5.00	78.3%	22.5%	377.6%	26.6%	73.2%	30.1%	-4.9%	148	-3.4K	-11	0.20	138.27	N/A	N/A	20	4	17	0
2011-05-03	$4.82	$5.00	71.2%	20.4%	377.5%	22.0%	0.0%	20.8%	-0.2%	166	-11.4K	-22	0.00	117.15	N/A	N/A	0	0	37	3
2011-05-04	$4.53	$5.00	63.0%	18.1%	378.7%	16.6%	0.0%	15.1%	9.0%	151	-9.6K	-21	0.00	105.59	N/A	N/A	0	0	37	3
2011-05-05	$5.35	$5.00	68.7%	19.7%	381.8%	20.3%	63.3%	0.0%	5.1%	165	-15.4K	-22	0.03	91.38	N/A	N/A	458	15	37	3
2011-05-06	$5.69	$5.00	70.0%	20.0%	380.6%	21.2%	69.2%	13.7%	0.2%	274	-43.2K	-33	0.00	103.26	N/A	N/A	17	0	89	18
2011-05-09	$5.80	$5.00	86.8%	21.3%	379.5%	32.2%	74.6%	0.0%	-17.7%	222	-48.8K	-34	0.01	104.14	N/A	N/A	67	1	96	18
2011-05-10	$5.95	$5.00	85.3%	20.2%	373.3%	31.2%	69.4%	12.0%	13.0%	872	-61.8K	-147	0.01	103.89	N/A	N/A	182	2	161	19
2011-05-11	$5.88	$5.00	60.2%	18.2%	373.4%	14.7%	60.3%	2.9%	25.3%	1.5K	-102.4K	-397	0.00	94.22	N/A	N/A	37	0	321	19
2011-05-12	$5.99	$5.00	69.7%	20.0%	372.6%	21.0%	81.7%	5.2%	-3.3%	1.8K	-113.5K	-414	0.00	108.66	N/A	N/A	18	0	357	19
2011-05-13	$5.99	$5.00	82.2%	23.6%	372.9%	29.1%	0.0%	30.7%	-15.6%	1.9K	-119.1K	-429	0.00	98.86	N/A	N/A	4	0	371	19
2011-05-16	$5.31	$5.00	69.5%	19.9%	377.3%	20.8%	70.6%	0.0%	-5.0%	2.4K	-94.8K	-391	0.34	108.72	N/A	N/A	29	10	375	19
2011-05-17	$5.62	$5.00	79.1%	22.7%	102.6%	27.1%	0.0%	21.2%	-27.1%	1.6K	-106.1K	-357	0.00	103.50	N/A	N/A	4	0	388	29
2011-05-18	$5.40	$5.00	82.5%	23.6%	103.5%	29.3%	82.7%	34.2%	-5.3%	2.2K	-96.5K	-422	0.45	85.34	N/A	N/A	11	5	383	29
2011-05-19	$5.51	$5.00	65.5%	18.8%	102.7%	18.2%	0.0%	16.2%	19.3%	1.5K	-108.0K	-369	0.91	83.19	N/A	N/A	11	10	384	34
2011-05-20	$5.70	$5.00	67.8%	19.4%	103.6%	19.7%	0.0%	24.9%	9.9%	1.2K	-113.5K	-380	9.50	92.11	N/A	N/A	2	19	375	44
2011-05-23	$5.77	$5.00	72.4%	20.8%	103.4%	22.7%	0.0%	23.4%	10.5%	1.3K	-83.7K	-369	0.00	96.16	N/A	N/A	2	0	336	51
2011-05-24	$6.00	$5.00	57.6%	16.5%	89.5%	13.0%	60.2%	3.9%	-8.9%	1.5K	-90.3K	-425	0.00	110.71	N/A	N/A	7	0	337	51
2011-05-25	$6.33	$5.00	49.6%	14.2%	90.9%	7.8%	0.0%	14.0%	28.5%	1.6K	-109.6K	-469	0.19	110.86	N/A	N/A	27	5	339	51
2011-05-26	$6.45	$5.00	52.4%	15.0%	89.8%	9.6%	38.9%	39.7%	27.1%	1.9K	-114.4K	-518	0.00	100.42	N/A	N/A	9	0	360	56
2011-05-27	$6.41	$5.00	53.0%	15.2%	88.7%	10.0%	0.0%	11.2%	18.2%	1.8K	-108.8K	-479	0.00	100.63	N/A	N/A	4	0	356	56
2011-05-31	$6.59	$5.00	51.7%	14.8%	88.1%	9.2%	37.9%	0.0%	29.7%	2.0K	-122.0K	-501	0.19	91.59	N/A	N/A	47	9	372	56