DUSA Options History — July 2011

In July 2011, DUSA traded between $5.02 and $6.51. ATM implied volatility averaged 77.5%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 13.4% (HV 20d: 64.1%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.12.

Notable Days

2011-07-18: Highest Volume — 139 contracts
2011-07-14: Largest IV drop — 40.8% change
2011-07-13: Highest IV Rank — 53.9%
2011-07-20: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.63	$5.02	$6.51	$6.37	$5.09
Max Pain	$2.75	$2.50	$7.50	$7.50	$2.50
ATM IV	77.5%	55.0%	120.0%	55.0%	82.9%
Expected Move	20.4%	14.5%	23.9%	15.8%	23.8%
HV 20d	64.1%	49.4%	71.8%	52.1%	65.3%
HV 60d	133.3%	70.9%	223.2%	223.2%	70.9%
IV Rank	26.0%	11.3%	53.9%	11.3%	29.6%
IV Percentile	34.2%	18.5%	67.3%	18.5%	39.1%
Term Structure	4.0%	-9.8%	22.5%	17.7%	-2.6%
VWIV	71.3%	53.2%	84.2%	53.2%	82.7%
Bid-Ask Spread %	79.81	49.19	102.64	59.81	84.09
Gamma HHI	0.59	0.46	0.75	0.75	0.59
Net GEX	2.6K	1.6K	4.2K	2.2K	4.1K
Net DEX	-125.9K	-212.7K	-66.2K	-104.0K	-177.4K
Net VEX	-498	-591	-400	-513	-518
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.12	0.00	1.67	0.00	0.00
Total Volume	26.85	0	139	20	17
Total OI	667.9	516	885	522	885

Daily Data (20 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
2011-07-01	$6.37	$7.50	55.0%	15.8%	52.1%	11.3%	0.0%	0.0%	17.7%	2.2K	-104.0K	-513	0.00	59.81	N/A	N/A	0	20	450	72
2011-07-05	$6.51	$2.50	61.6%	18.5%	49.4%	15.6%	53.2%	0.0%	5.0%	2.1K	-108.1K	-547	0.00	76.90	N/A	N/A	41	0	450	92
2011-07-06	$6.47	$2.50	60.2%	19.8%	49.4%	14.7%	0.0%	0.0%	0.8%	2.2K	-132.1K	-591	0.00	73.69	N/A	N/A	0	0	486	92
2011-07-07	$5.70	$2.50	65.6%	19.5%	65.2%	18.3%	65.5%	0.0%	4.7%	2.1K	-80.6K	-470	0.00	81.62	N/A	N/A	31	0	486	92
2011-07-08	$5.91	$2.50	72.1%	17.1%	65.7%	22.5%	0.0%	0.0%	20.8%	2.1K	-71.5K	-411	0.00	75.18	N/A	N/A	0	0	468	92
2011-07-11	$6.05	$2.50	99.9%	14.5%	66.0%	40.7%	0.0%	0.0%	22.5%	2.1K	-78.6K	-452	0.00	94.70	N/A	N/A	1	0	468	92
2011-07-12	$5.81	$2.50	96.1%	19.1%	67.4%	38.3%	0.0%	0.0%	-9.7%	1.9K	-83.8K	-471	0.00	92.39	N/A	N/A	0	0	468	92
2011-07-13	$5.70	$2.50	120.0%	19.7%	67.4%	53.9%	0.0%	0.0%	7.0%	1.9K	-80.6K	-452	0.00	83.50	N/A	N/A	10	0	468	87
2011-07-14	$5.61	$2.50	71.0%	20.3%	64.2%	21.8%	71.4%	0.0%	2.3%	1.8K	-76.6K	-446	0.00	85.16	N/A	N/A	6	0	477	87
2011-07-15	$5.54	$2.50	74.2%	21.3%	63.8%	23.9%	0.0%	0.0%	0.1%	1.7K	-76.8K	-446	0.00	59.97	N/A	N/A	0	0	478	87
2011-07-18	$5.21	$2.50	67.1%	19.2%	65.9%	19.3%	67.4%	0.0%	7.1%	1.6K	-66.2K	-400	0.00	85.91	N/A	N/A	139	0	446	70
2011-07-19	$5.62	$2.50	62.2%	17.8%	71.8%	16.0%	54.1%	0.0%	14.6%	2.1K	-135.0K	-450	1.67	60.74	N/A	N/A	6	10	563	70
2011-07-20	$5.51	$2.50	83.3%	23.9%	69.5%	29.9%	84.2%	0.0%	-9.8%	1.9K	-138.3K	-498	0.00	75.98	N/A	N/A	78	0	569	80
2011-07-21	$5.53	$2.50	79.7%	22.8%	68.2%	27.5%	79.9%	0.0%	-1.8%	2.6K	-163.9K	-533	0.00	49.19	N/A	N/A	129	0	641	80
2011-07-22	$5.47	$2.50	82.0%	23.5%	66.9%	29.0%	83.3%	0.0%	-5.7%	3.4K	-212.7K	-587	0.00	77.24	N/A	N/A	45	0	757	80
2011-07-25	$5.30	$2.50	82.3%	23.6%	67.6%	29.2%	82.7%	0.0%	4.4%	4.0K	-207.3K	-584	0.00	102.64	N/A	N/A	1	0	802	80
2011-07-26	$5.12	$2.50	81.9%	23.5%	65.3%	29.0%	0.0%	0.0%	-1.7%	3.9K	-184.1K	-538	0.00	98.39	N/A	N/A	2	0	802	80
2011-07-27	$5.02	$2.50	75.5%	21.7%	65.4%	24.8%	0.0%	0.0%	1.3%	4.2K	-170.2K	-533	0.00	97.06	N/A	N/A	1	0	804	80
2011-07-28	$5.05	$2.50	76.8%	22.0%	65.6%	25.6%	0.0%	0.0%	3.5%	4.2K	-170.9K	-523	0.00	81.97	N/A	N/A	0	0	805	80
2011-07-29	$5.09	$2.50	82.9%	23.8%	65.3%	29.6%	0.0%	0.0%	-2.6%	4.1K	-177.4K	-518	0.00	84.09	N/A	N/A	17	0	805	80