DUSA Options History — September 2011

In September 2011, DUSA traded between $3.65 and $4.22. ATM implied volatility averaged 98.2%, placing in the 38.7% IV rank vs the trailing year. The 30-day expected move averaged 23.7%. IV traded above realized volatility by 37.7% (HV 20d: 60.6%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2011-09-06: Highest Volume — 56 contracts
2011-09-21: Largest IV spike — 57.8% change
2011-09-14: Highest IV Rank — 83.7%
2011-09-22: Largest Expected Move — 34.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.87	$3.65	$4.22	$4.22	$3.70
Max Pain	$5.38	$5.00	$7.50	$7.50	$5.00
ATM IV	98.2%	63.3%	165.9%	66.1%	111.0%
Expected Move	23.7%	15.9%	34.4%	18.9%	31.8%
HV 20d	60.6%	41.2%	83.2%	80.2%	41.6%
HV 60d	76.5%	71.3%	78.4%	76.8%	71.3%
IV Rank	38.7%	15.4%	83.7%	17.3%	47.2%
IV Percentile	47.8%	13.7%	95.6%	16.9%	58.5%
Term Structure	-14.7%	-43.4%	22.1%	-19.3%	-32.1%
VWIV	75.3%	68.1%	87.3%	87.3%	70.6%
Bid-Ask Spread %	114.71	110.62	119.80	112.45	116.61
Gamma HHI	0.54	0.41	0.68	0.57	0.57
Net GEX	1.6K	1.3K	2.2K	2.2K	1.4K
Net DEX	-78.8K	-123.9K	-50.6K	-123.9K	-53.4K
Net VEX	-548	-724	-391	-685	-448
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	5.00	0.00	0.00
Total Volume	6	0	56	3	0
Total OI	1,293.905	1,276	1,335	1,276	1,287

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
2011-09-01	$4.22	$7.50	66.1%	18.9%	80.2%	17.3%	0.0%	0.0%	-19.3%	2.2K	-123.9K	-685	0.00	112.45	N/A	N/A	3	0	1,020	256
2011-09-02	$3.95	$7.50	64.8%	18.6%	83.2%	16.4%	0.0%	0.0%	-22.4%	1.9K	-119.1K	-707	0.00	110.62	N/A	N/A	0	0	1,023	256
2011-09-06	$4.09	$0.00	88.4%	20.5%	77.9%	32.1%	87.3%	0.0%	13.9%	1.9K	-110.1K	-658	0.00	113.95	N/A	N/A	0	56	1,023	256
2011-09-07	$4.18	$7.50	76.3%	18.6%	76.3%	24.1%	0.0%	0.0%	22.1%	2.0K	-107.5K	-724	0.00	113.23	N/A	N/A	10	0	1,023	312
2011-09-08	$4.00	$5.00	82.5%	15.9%	76.2%	28.2%	0.0%	0.0%	-5.9%	1.8K	-76.9K	-558	0.00	114.50	N/A	N/A	0	0	1,023	276
2011-09-09	$3.87	$5.00	98.6%	16.2%	76.0%	38.9%	0.0%	0.0%	10.9%	1.8K	-98.6K	-644	0.00	112.79	N/A	N/A	0	0	1,023	276
2011-09-12	$3.88	$5.00	125.5%	18.4%	75.9%	56.8%	0.0%	0.0%	-10.7%	1.5K	-61.3K	-482	0.00	114.69	N/A	N/A	0	0	1,023	276
2011-09-13	$3.99	$5.00	140.3%	17.6%	69.0%	66.7%	0.0%	0.0%	11.8%	1.8K	-94.0K	-609	0.00	112.79	N/A	N/A	0	0	1,023	276
2011-09-14	$3.92	$5.00	165.9%	21.9%	66.8%	83.7%	0.0%	0.0%	-11.2%	1.7K	-79.3K	-568	0.00	111.65	N/A	N/A	0	0	1,023	276
2011-09-15	$3.99	$5.00	84.0%	24.1%	57.6%	29.2%	0.0%	0.0%	-7.1%	1.8K	-103.7K	-652	0.00	113.21	N/A	N/A	0	0	1,023	276
2011-09-16	$3.96	$5.00	80.1%	23.0%	57.6%	26.6%	0.0%	0.0%	-11.8%	1.8K	-100.4K	-659	0.00	114.82	N/A	N/A	0	0	1,023	276
2011-09-19	$3.81	$5.00	63.3%	18.1%	58.9%	15.4%	0.0%	0.0%	-6.6%	1.5K	-61.3K	-478	0.00	116.27	N/A	N/A	0	0	1,021	266
2011-09-20	$3.81	$5.00	64.3%	18.4%	57.6%	16.1%	68.1%	0.0%	-11.6%	1.5K	-60.6K	-470	5.00	116.61	N/A	N/A	5	25	1,021	266
2011-09-21	$3.72	$5.00	101.4%	29.1%	49.8%	40.8%	0.0%	0.0%	-24.9%	1.3K	-52.4K	-443	0.00	116.61	N/A	N/A	0	0	1,021	286
2011-09-22	$3.67	$5.00	119.9%	34.4%	49.8%	53.1%	70.6%	0.0%	-43.4%	1.3K	-55.2K	-487	0.00	118.41	N/A	N/A	0	25	1,021	286
2011-09-23	$3.66	$5.00	108.7%	31.2%	49.4%	45.7%	0.0%	0.0%	-40.2%	1.3K	-53.9K	-420	0.00	113.79	N/A	N/A	0	0	1,021	266
2011-09-26	$3.68	$5.00	103.4%	29.7%	43.4%	42.1%	0.0%	0.0%	-33.9%	1.3K	-52.1K	-457	0.00	119.80	N/A	N/A	2	0	1,021	266
2011-09-27	$3.71	$5.00	103.5%	29.7%	41.2%	42.2%	0.0%	0.0%	-26.8%	1.6K	-84.3K	-527	0.00	114.30	N/A	N/A	0	0	1,021	266
2011-09-28	$3.65	$5.00	109.7%	31.5%	41.2%	46.3%	0.0%	0.0%	-31.8%	1.3K	-50.6K	-432	0.00	115.24	N/A	N/A	0	0	1,021	266
2011-09-29	$3.74	$5.00	105.5%	30.3%	42.6%	43.5%	0.0%	0.0%	-27.6%	1.4K	-56.1K	-391	0.00	116.61	N/A	N/A	0	0	1,021	266
2011-09-30	$3.70	$5.00	111.0%	31.8%	41.6%	47.2%	0.0%	0.0%	-32.1%	1.4K	-53.4K	-448	0.00	116.61	N/A	N/A	0	0	1,021	266