DUSA Options History — August 2011

In August 2011, DUSA traded between $3.99 and $5.28. ATM implied volatility averaged 74.0%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 20.1% (HV 20d: 94.1%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 3.19.

Notable Days

2011-08-02: Highest Volume — 594 contracts
2011-08-09: Largest IV spike — 71.3% change
2011-08-10: Highest IV Rank — 58.8%
2011-08-09: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.33	$3.99	$5.28	$5.28	$4.36
Max Pain	$7.93	$2.50	$10.00	$2.50	$7.50
ATM IV	74.0%	54.9%	127.5%	85.5%	63.9%
Expected Move	20.3%	15.7%	27.4%	24.5%	18.3%
HV 20d	94.1%	66.3%	107.6%	66.3%	79.7%
HV 60d	74.9%	62.6%	77.9%	62.6%	77.4%
IV Rank	22.9%	9.8%	58.8%	31.3%	15.8%
IV Percentile	24.7%	6.5%	70.6%	41.1%	14.1%
Term Structure	4.0%	-22.4%	15.9%	-6.6%	-7.5%
VWIV	79.6%	55.3%	97.5%	85.7%	83.1%
Bid-Ask Spread %	99.54	44.31	116.49	54.31	113.49
Gamma HHI	0.45	0.33	0.64	0.59	0.52
Net GEX	1.8K	313	4.5K	4.5K	2.3K
Net DEX	-79.0K	-201.2K	59.2K	-201.2K	-143.3K
Net VEX	-712	-1.0K	-404	-522	-739
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.19	0.00	26.00	0.00	0.00
Total Volume	67.043	0	594	20	7
Total OI	1,482.087	902	2,003	902	1,269

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
2011-08-01	$5.28	$2.50	85.5%	24.5%	66.3%	31.3%	85.7%	0.0%	-6.6%	4.5K	-201.2K	-522	0.00	54.31	N/A	N/A	20	0	822	80
2011-08-02	$4.32	$2.50	77.0%	22.1%	93.8%	25.7%	67.5%	0.0%	-10.1%	3.4K	-112.9K	-404	2.16	54.92	N/A	N/A	188	406	842	80
2011-08-03	$4.43	$5.00	87.2%	25.0%	95.0%	32.4%	97.5%	0.0%	-22.4%	903	-66.0K	-702	1.00	44.31	N/A	N/A	20	20	1,026	481
2011-08-04	$4.34	$5.00	65.4%	18.8%	86.1%	18.2%	0.0%	0.0%	10.2%	818	-22.6K	-643	0.00	72.04	N/A	N/A	0	0	1,030	501
2011-08-05	$4.40	$7.50	61.3%	20.2%	84.8%	15.4%	0.0%	0.0%	2.0%	851	-28.5K	-623	26.00	91.33	N/A	N/A	1	26	1,030	501
2011-08-08	$4.02	$7.50	72.7%	18.9%	87.5%	22.9%	55.3%	0.0%	8.6%	632	18.3K	-516	0.00	82.80	N/A	N/A	0	145	1,031	517
2011-08-09	$4.22	$10.00	124.6%	27.4%	90.5%	56.9%	0.0%	0.0%	15.3%	457	-1.1K	-740	0.00	116.25	N/A	N/A	0	0	1,031	651
2011-08-10	$4.03	$10.00	127.5%	23.7%	91.1%	58.8%	0.0%	0.0%	8.3%	398	56.1K	-619	0.00	115.85	N/A	N/A	0	0	1,031	651
2011-08-11	$4.16	$10.00	93.0%	26.7%	92.8%	35.2%	0.0%	0.0%	10.4%	313	59.2K	-589	3.75	116.49	N/A	N/A	8	30	1,031	651
2011-08-12	$4.10	$10.00	75.5%	21.6%	92.8%	23.5%	0.0%	0.0%	9.5%	344	42.7K	-582	0.12	115.44	N/A	N/A	50	6	1,039	606
2011-08-15	$4.48	$10.00	73.0%	20.9%	98.0%	21.9%	88.6%	0.0%	8.6%	836	-3.8K	-624	0.31	112.34	N/A	N/A	400	123	1,029	605
2011-08-16	$4.67	$10.00	73.6%	21.1%	94.8%	22.3%	0.0%	0.0%	0.3%	3.4K	-134.8K	-1.0K	0.00	107.25	N/A	N/A	0	0	1,428	575
2011-08-17	$4.22	$10.00	55.8%	16.0%	100.3%	10.4%	0.0%	0.0%	11.0%	2.2K	-52.7K	-849	0.00	114.49	N/A	N/A	1	0	1,428	575
2011-08-18	$4.20	$10.00	59.3%	17.0%	100.1%	12.8%	0.0%	0.0%	9.6%	2.1K	-102.0K	-803	0.00	110.61	N/A	N/A	0	10	1,429	390
2011-08-19	$4.14	$10.00	59.3%	17.0%	100.1%	12.8%	0.0%	0.0%	8.4%	2.0K	-105.7K	-833	0.00	110.61	N/A	N/A	1	0	1,429	400
2011-08-22	$3.99	$10.00	54.9%	15.7%	100.3%	9.8%	0.0%	0.0%	-10.7%	1.9K	-115.7K	-750	5.00	107.45	N/A	N/A	2	10	1,015	270
2011-08-23	$4.31	$7.50	69.5%	19.9%	105.0%	19.5%	0.0%	0.0%	14.2%	2.1K	-142.4K	-818	0.00	98.60	N/A	N/A	8	0	1,013	256
2011-08-24	$4.27	$7.50	64.3%	18.4%	104.9%	16.1%	0.0%	0.0%	9.0%	2.1K	-147.5K	-823	0.00	98.71	N/A	N/A	0	0	1,013	256
2011-08-25	$4.16	$7.50	63.6%	18.2%	105.0%	15.7%	0.0%	0.0%	-14.0%	2.0K	-138.6K	-774	0.00	112.15	N/A	N/A	0	0	1,013	256
2011-08-26	$4.41	$7.50	68.2%	19.5%	107.6%	18.7%	83.1%	0.0%	12.1%	2.3K	-143.5K	-768	0.00	111.82	N/A	N/A	0	60	1,013	256
2011-08-29	$4.55	$7.50	59.9%	17.2%	107.3%	13.2%	0.0%	0.0%	15.9%	2.4K	-173.4K	-856	0.00	114.72	N/A	N/A	0	0	1,013	256
2011-08-30	$4.47	$7.50	67.1%	19.2%	79.7%	17.9%	0.0%	0.0%	10.1%	2.4K	-157.2K	-807	0.00	113.39	N/A	N/A	0	0	1,013	256
2011-08-31	$4.36	$7.50	63.9%	18.3%	79.7%	15.8%	0.0%	0.0%	-7.5%	2.3K	-143.3K	-739	0.00	113.49	N/A	N/A	7	0	1,013	256