DUSA Options History — June 2011 In June 2011, DUSA traded between $5.51 and $6.77. ATM implied volatility averaged 63.4%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 0.8% (HV 20d: 62.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.21.
Notable Days 2011-06-21 : Highest Volume — 55 contracts2011-06-03 : Largest IV spike — 80.5% change2011-06-03 : Highest IV Rank — 39.0%2011-06-06 : Largest Expected Move — 22.1%Monthly Statistics Metric Avg Min Max Open Close Price $6.03 $5.51 $6.77 $6.77 $6.22 Max Pain $7.16 $5.00 $7.50 $5.00 $7.50 ATM IV 63.4% 49.6% 97.3% 51.4% 66.2% Expected Move 17.5% 14.2% 22.1% 14.7% 19.0% HV 20d 62.6% 54.0% 88.0% 88.0% 54.0% HV 60d 227.6% 223.2% 230.8% 230.8% 223.2% IV Rank 16.9% 7.8% 39.0% 9.0% 18.6% IV Percentile 23.3% 12.3% 46.5% 14.9% 26.2% Term Structure 8.2% -16.8% 32.4% 32.4% -3.0% VWIV 57.3% 44.8% 69.7% 69.7% 54.5% Bid-Ask Spread % 77.07 53.63 103.25 103.06 82.36 Gamma HHI 0.64 0.53 0.82 0.81 0.67 Net GEX 2.0K 1.6K 2.3K 2.2K 2.1K Net DEX -102.6K -136.9K -67.8K -136.9K -113.7K Net VEX -470 -544 -348 -532 -499 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.21 0.00 0.83 0.63 0.41 Total Volume 16 0 55 26 52 Total OI 490.909 426 525 461 523
Daily Data (22 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 2011-06-01 $6.77 $5.00 51.4% 14.7% 88.0% 9.0% 69.7% 0.0% 32.4% 2.2K -136.9K -532 0.63 103.06 N/A N/A 16 10 396 65 2011-06-02 $6.51 $5.00 53.9% 15.5% 85.6% 10.6% 0.0% 0.0% 18.4% 2.0K -129.6K -544 0.00 103.25 N/A N/A 0 0 387 55 2011-06-03 $6.21 $5.00 97.3% 16.4% 68.4% 39.0% 56.7% 0.0% 24.2% 2.0K -104.5K -512 0.17 87.80 N/A N/A 30 5 387 55 2011-06-06 $5.93 $7.50 92.2% 22.1% 67.8% 35.7% 0.0% 0.0% 0.6% 2.0K -93.8K -489 0.14 90.69 N/A N/A 14 2 400 60 2011-06-07 $6.01 $7.50 77.8% 19.6% 67.6% 26.3% 62.1% 0.0% 26.9% 2.0K -96.6K -466 0.00 73.88 N/A N/A 22 0 408 61 2011-06-08 $6.30 $7.50 52.8% 18.8% 69.0% 9.9% 0.0% 0.0% -9.3% 2.3K -108.2K -482 0.00 59.80 N/A N/A 12 0 427 61 2011-06-09 $6.08 $7.50 70.5% 20.2% 70.2% 21.5% 0.0% 0.0% 12.1% 2.0K -112.7K -500 0.00 65.80 N/A N/A 20 0 424 61 2011-06-10 $5.99 $7.50 54.7% 15.7% 70.1% 11.1% 0.0% 0.0% 24.5% 2.0K -116.1K -497 0.00 61.87 N/A N/A 5 0 444 61 2011-06-13 $5.90 $7.50 52.5% 15.1% 70.3% 9.7% 0.0% 0.0% 18.4% 1.9K -111.2K -462 0.00 99.61 N/A N/A 0 0 449 61 2011-06-14 $5.99 $7.50 73.2% 21.0% 54.4% 23.3% 58.3% 0.0% 0.4% 2.0K -107.2K -456 0.83 59.02 N/A N/A 12 10 449 61 2011-06-15 $5.64 $7.50 75.4% 21.6% 55.8% 24.7% 0.0% 0.0% -0.3% 1.9K -98.0K -463 0.00 77.02 N/A N/A 0 0 454 71 2011-06-16 $5.51 $7.50 60.4% 17.3% 54.5% 14.9% 0.0% 0.0% 23.1% 1.6K -93.8K -446 0.00 58.18 N/A N/A 0 0 454 71 2011-06-17 $5.71 $7.50 57.6% 16.5% 55.5% 13.0% 0.0% 0.0% 18.1% 1.8K -89.0K -400 0.00 53.63 N/A N/A 14 0 454 71 2011-06-20 $5.72 $7.50 53.3% 15.3% 54.1% 10.2% 56.8% 0.0% 9.2% 1.7K -69.3K -447 0.00 95.49 N/A N/A 6 0 385 45 2011-06-21 $6.01 $7.50 51.8% 14.9% 56.8% 9.3% 0.0% 0.0% 2.3% 1.6K -67.8K -348 0.00 67.22 N/A N/A 55 0 381 45 2011-06-22 $5.77 $7.50 51.7% 14.8% 57.0% 9.2% 44.8% 0.0% 11.2% 1.9K -98.4K -424 0.60 98.24 N/A N/A 20 12 436 45 2011-06-23 $5.97 $7.50 49.6% 14.2% 54.8% 7.8% 0.0% 0.0% 0.6% 2.1K -93.4K -433 0.00 98.92 N/A N/A 0 10 453 57 2011-06-24 $5.93 $7.50 63.1% 18.1% 54.2% 16.7% 0.0% 0.0% -0.8% 1.9K -97.9K -479 0.00 86.56 N/A N/A 0 0 453 67 2011-06-27 $6.22 $7.50 60.7% 17.4% 57.3% 15.1% 0.0% 0.0% -16.8% 2.2K -103.7K -470 0.00 57.97 N/A N/A 0 0 453 67 2011-06-28 $6.17 $7.50 64.4% 18.5% 56.2% 17.5% 55.6% 0.0% -2.6% 2.1K -109.0K -497 0.15 57.18 N/A N/A 13 2 453 67 2011-06-29 $6.12 $7.50 64.9% 18.6% 55.1% 17.8% 54.5% 0.0% -8.8% 2.1K -105.8K -493 0.00 58.09 N/A N/A 0 10 456 67 2011-06-30 $6.22 $7.50 66.2% 19.0% 54.0% 18.6% 0.0% 0.0% -3.0% 2.1K -113.7K -499 0.41 82.36 N/A N/A 37 15 456 67
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