DUSA Options History — October 2011

In October 2011, DUSA traded between $3.42 and $4.64. ATM implied volatility averaged 85.0%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 37.6% (HV 20d: 47.5%). 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 14 of 21 days. Put/call ratio averaged 6.10.

Notable Days

2011-10-14: Highest Volume — 21 contracts
2011-10-13: Largest IV drop — 33.0% change
2011-10-07: Highest IV Rank — 62.2%
2011-10-04: Largest Expected Move — 37.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.04	$3.42	$4.64	$3.42	$4.50
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	85.0%	57.0%	133.5%	128.5%	65.6%
Expected Move	22.3%	16.3%	37.5%	36.8%	18.8%
HV 20d	47.5%	42.3%	56.0%	44.1%	47.2%
HV 60d	70.1%	61.1%	73.1%	72.2%	61.7%
IV Rank	29.9%	11.2%	62.2%	58.8%	17.0%
IV Percentile	35.2%	7.3%	80.2%	73.0%	21.0%
Term Structure	-1.1%	-56.6%	22.8%	-7.6%	7.3%
VWIV	70.3%	46.7%	82.5%	81.7%	82.5%
Bid-Ask Spread %	114.38	92.62	122.41	115.52	122.41
Gamma HHI	0.60	0.42	0.78	0.42	0.78
Net GEX	2.0K	1.1K	2.8K	1.3K	2.8K
Net DEX	-92.8K	-174.2K	-39.9K	-63.4K	-148.4K
Net VEX	-438	-549	-333	-514	-472
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	6.10	0.00	20.00	0.50	10.00
Total Volume	3.857	0	21	10	0
Total OI	1,278.857	1,267	1,292	1,287	1,272

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
2011-10-03	$3.42	$5.00	128.5%	36.8%	44.1%	58.8%	0.0%	0.0%	-7.6%	1.3K	-63.4K	-514	0.00	115.52	N/A	N/A	0	10	1,021	266
2011-10-04	$3.52	$5.00	130.9%	37.5%	43.4%	60.4%	0.0%	0.0%	-48.2%	1.1K	-42.0K	-421	0.00	118.69	N/A	N/A	0	0	1,021	266
2011-10-05	$3.61	$5.00	121.2%	34.8%	43.7%	54.0%	0.0%	0.0%	-56.6%	1.1K	-39.9K	-390	0.00	121.84	N/A	N/A	0	0	1,021	266
2011-10-06	$3.73	$5.00	113.2%	32.5%	43.7%	48.7%	0.0%	0.0%	-31.4%	1.3K	-50.6K	-418	0.00	115.19	N/A	N/A	0	0	1,021	266
2011-10-07	$3.71	$5.00	133.5%	23.8%	42.3%	62.2%	0.0%	0.0%	6.2%	1.3K	-51.1K	-396	0.00	114.00	N/A	N/A	0	0	1,021	266
2011-10-10	$3.76	$5.00	106.2%	17.7%	42.6%	44.0%	0.0%	0.0%	7.6%	1.4K	-54.5K	-352	0.00	98.57	N/A	N/A	0	0	1,021	266
2011-10-11	$3.98	$5.00	105.5%	22.5%	46.3%	43.5%	0.0%	0.0%	-2.9%	1.8K	-101.1K	-549	0.50	111.26	N/A	N/A	10	5	1,021	266
2011-10-12	$4.00	$5.00	106.3%	22.5%	45.9%	44.0%	0.0%	0.0%	22.8%	1.9K	-104.9K	-531	0.00	111.16	N/A	N/A	0	0	1,031	261
2011-10-13	$4.01	$5.00	71.2%	20.4%	45.5%	20.7%	0.0%	0.0%	16.8%	1.9K	-108.1K	-538	0.00	92.62	N/A	N/A	0	0	1,031	261
2011-10-14	$4.11	$5.00	69.8%	20.0%	46.2%	19.8%	81.7%	0.0%	14.6%	2.1K	-99.0K	-473	20.00	114.51	N/A	N/A	1	20	1,031	261
2011-10-17	$4.07	$5.00	62.6%	18.0%	43.9%	15.0%	0.0%	0.0%	7.9%	2.0K	-78.3K	-405	0.00	122.21	N/A	N/A	0	15	1,031	251
2011-10-18	$4.22	$5.00	70.4%	20.2%	45.4%	20.1%	0.0%	0.0%	18.8%	2.4K	-123.3K	-443	0.00	115.61	N/A	N/A	0	0	1,031	236
2011-10-19	$4.14	$5.00	57.3%	16.4%	45.0%	11.5%	0.0%	0.0%	16.3%	2.2K	-85.0K	-381	0.00	118.57	N/A	N/A	0	0	1,031	236
2011-10-20	$3.95	$5.00	57.0%	16.3%	48.3%	11.2%	0.0%	0.0%	12.1%	1.5K	-65.5K	-333	0.00	117.98	N/A	N/A	0	0	1,031	236
2011-10-21	$4.16	$5.00	65.2%	18.7%	51.1%	16.7%	0.0%	0.0%	-1.7%	2.3K	-91.7K	-425	0.00	117.60	N/A	N/A	0	0	1,031	236
2011-10-24	$4.29	$5.00	62.0%	17.8%	51.9%	14.6%	0.0%	0.0%	3.1%	2.8K	-101.1K	-377	0.00	118.46	N/A	N/A	0	0	1,031	236
2011-10-25	$4.16	$5.00	61.1%	17.5%	53.6%	14.0%	0.0%	0.0%	1.6%	2.2K	-85.5K	-345	0.00	116.92	N/A	N/A	0	0	1,031	236
2011-10-26	$4.37	$5.00	69.4%	19.9%	55.1%	19.5%	46.7%	0.0%	1.0%	2.6K	-139.4K	-467	0.00	115.72	N/A	N/A	5	0	1,031	236
2011-10-27	$4.55	$5.00	64.3%	18.4%	56.0%	16.1%	0.0%	0.0%	-18.6%	2.8K	-140.8K	-484	0.00	102.60	N/A	N/A	4	0	1,036	236
2011-10-28	$4.64	$5.00	64.7%	18.6%	55.5%	16.4%	82.5%	0.0%	7.7%	2.8K	-174.2K	-494	10.00	120.58	N/A	N/A	1	10	1,040	236
2011-10-31	$4.50	$5.00	65.6%	18.8%	47.2%	17.0%	0.0%	0.0%	7.3%	2.8K	-148.4K	-472	0.00	122.41	N/A	N/A	0	0	1,041	231