DUSA Options History — November 2011

In November 2011, DUSA traded between $3.26 and $4.38. ATM implied volatility averaged 97.9%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 22.0% (HV 20d: 75.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.01.

Notable Days

2011-11-10: Highest Volume — 412 contracts
2011-11-25: Largest IV spike — 37.1% change
2011-11-25: Highest IV Rank — 69.2%
2011-11-25: Largest Expected Move — 41.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$3.71	$3.26	$4.38	$4.06	$3.69
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	97.9%	69.8%	144.2%	73.2%	120.7%
Expected Move	26.3%	16.1%	41.3%	21.0%	34.6%
HV 20d	75.8%	62.3%	86.0%	62.3%	73.3%
HV 60d	62.1%	60.3%	64.7%	62.5%	60.8%
IV Rank	38.4%	19.8%	69.2%	22.0%	53.6%
IV Percentile	52.9%	26.6%	88.7%	30.6%	70.6%
Term Structure	-18.0%	-45.0%	18.5%	1.3%	-45.0%
VWIV	73.6%	47.8%	109.7%	109.7%	63.2%
Bid-Ask Spread %	117.38	114.02	131.65	116.10	117.38
Gamma HHI	0.62	0.44	0.95	0.72	0.50
Net GEX	785	-54	2.6K	2.0K	158
Net DEX	-56.4K	-138.6K	-9.6K	-104.4K	-51.7K
Net VEX	-255	-456	-15	-441	-228
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.01	0.00	0.04	0.00	0.00
Total Volume	34.095	0	412	10	160
Total OI	977.095	509	1,282	1,272	529

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
2011-11-01	$4.06	$5.00	73.2%	21.0%	62.3%	22.0%	0.0%	0.0%	1.3%	2.0K	-104.4K	-441	0.00	116.10	N/A	N/A	0	10	1,041	231
2011-11-02	$4.30	$5.00	73.3%	21.0%	64.6%	22.1%	0.0%	0.0%	-16.8%	2.4K	-122.3K	-455	0.00	114.81	N/A	N/A	0	0	1,041	241
2011-11-03	$4.38	$5.00	69.8%	20.0%	64.1%	19.8%	0.0%	0.0%	-12.7%	2.6K	-128.8K	-456	0.00	115.96	N/A	N/A	0	0	1,041	241
2011-11-04	$4.21	$5.00	72.1%	16.2%	66.1%	21.3%	109.7%	0.0%	14.4%	2.3K	-109.0K	-418	0.00	115.84	N/A	N/A	4	0	1,041	241
2011-11-07	$4.13	$5.00	91.7%	16.5%	66.7%	34.3%	0.0%	0.0%	5.9%	0	-49.1K	-278	0.00	115.90	N/A	N/A	0	0	1,037	241
2011-11-08	$4.30	$5.00	86.8%	19.7%	65.2%	31.0%	0.0%	0.0%	18.5%	2.4K	-120.0K	-415	0.00	116.61	N/A	N/A	0	0	1,037	241
2011-11-09	$4.09	$5.00	117.3%	16.1%	68.0%	51.4%	0.0%	0.0%	17.0%	2.1K	-138.6K	-431	0.04	116.61	N/A	N/A	23	1	1,037	241
2011-11-10	$3.53	$5.00	94.8%	27.2%	86.0%	36.4%	47.8%	0.0%	-30.3%	227	-30.5K	-183	0.02	114.27	N/A	N/A	402	10	1,037	242
2011-11-11	$3.52	$5.00	92.5%	26.5%	85.2%	34.8%	63.2%	0.0%	-21.1%	173	-21.8K	-238	0.00	118.04	N/A	N/A	0	30	838	252
2011-11-14	$3.40	$5.00	94.3%	27.0%	85.7%	36.1%	0.0%	0.0%	-26.8%	288	-16.7K	-180	0.00	117.23	N/A	N/A	0	41	838	271
2011-11-15	$3.53	$5.00	93.2%	26.7%	85.8%	35.3%	0.0%	0.0%	-15.8%	172	-11.7K	-243	0.00	116.87	N/A	N/A	0	0	838	281
2011-11-16	$3.50	$5.00	96.3%	27.6%	85.7%	37.4%	0.0%	0.0%	-13.2%	207	-12.0K	-242	0.00	114.02	N/A	N/A	0	14	838	281
2011-11-17	$3.48	$5.00	99.0%	28.4%	84.5%	39.2%	0.0%	0.0%	-17.9%	335	-10.2K	-214	0.00	117.20	N/A	N/A	0	0	838	281
2011-11-18	$3.46	$5.00	97.2%	27.9%	81.7%	38.0%	0.0%	0.0%	-29.0%	359	-9.6K	-218	0.00	119.07	N/A	N/A	1	0	838	281
2011-11-21	$3.40	$5.00	106.2%	30.5%	80.3%	44.0%	0.0%	0.0%	-40.2%	337	-30.2K	-219	0.00	118.63	N/A	N/A	0	0	313	196
2011-11-22	$3.41	$5.00	102.8%	29.5%	80.2%	41.7%	0.0%	0.0%	-31.4%	346	-30.7K	-214	0.00	116.83	N/A	N/A	0	0	313	196
2011-11-23	$3.32	$5.00	105.1%	30.1%	77.2%	43.3%	0.0%	0.0%	-34.7%	326	-30.2K	-217	0.00	117.82	N/A	N/A	10	0	313	196
2011-11-25	$3.26	$5.00	144.2%	41.3%	74.5%	69.2%	0.0%	0.0%	0.0%	-54	-51.2K	-22	0.00	131.65	N/A	N/A	0	0	323	196
2011-11-28	$3.42	$5.00	111.4%	31.9%	77.0%	47.4%	0.0%	0.0%	-37.4%	-47	-52.2K	-15	0.00	117.82	N/A	N/A	0	0	323	196
2011-11-29	$3.51	$5.00	113.5%	32.5%	78.1%	48.8%	0.0%	0.0%	-44.3%	5	-54.1K	-18	0.00	116.39	N/A	N/A	0	10	323	196
2011-11-30	$3.69	$5.00	120.7%	34.6%	73.3%	53.6%	0.0%	0.0%	-45.0%	158	-51.7K	-228	0.00	117.38	N/A	N/A	0	160	323	206