DUSA Options History — December 2011 In December 2011, DUSA traded between $3.70 and $4.65. ATM implied volatility averaged 90.6%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded above realized volatility by 45.8% (HV 20d: 44.8%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.00.
Notable Days 2011-12-16 : Highest Volume — 100 contracts2011-12-15 : Largest IV drop — 63.0% change2011-12-14 : Highest IV Rank — 84.9%2011-12-01 : Largest Expected Move — 39.1%Monthly Statistics Metric Avg Min Max Open Close Price $4.16 $3.70 $4.65 $3.70 $4.38 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 90.6% 51.5% 167.7% 136.5% 62.6% Expected Move 18.7% 14.8% 39.1% 39.1% 17.9% HV 20d 44.8% 32.5% 69.7% 69.6% 36.6% HV 60d 59.8% 58.9% 61.2% 60.6% 59.0% IV Rank 33.6% 7.6% 84.9% 64.1% 15.0% IV Percentile 40.7% 1.6% 96.0% 83.1% 17.3% Term Structure -3.7% -58.8% 20.1% -58.8% -8.6% VWIV 50.7% 44.3% 57.2% 44.3% 57.2% Bid-Ask Spread % 119.37 101.34 127.64 117.70 119.34 Gamma HHI 0.57 0.46 0.86 0.48 0.54 Net GEX -221 -625 47 45 -232 Net DEX -83.0K -110.6K -52.2K -52.2K -103.1K Net VEX -167 -256 -108 -256 -149 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 7.333 0 100 10 0 Total OI 564.143 508 599 599 532
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 2011-12-01 $3.70 $5.00 136.5% 39.1% 69.6% 64.1% 0.0% 0.0% -58.8% 45 -52.2K -256 0.00 117.70 N/A N/A 0 10 323 276 2011-12-02 $3.77 $5.00 96.5% 27.7% 69.7% 37.5% 0.0% 0.0% -20.7% -49 -58.6K -188 0.00 101.34 N/A N/A 0 0 323 266 2011-12-05 $3.85 $0.00 111.2% 18.3% 69.3% 47.3% 0.0% 0.0% -16.2% -136 -63.5K -161 0.00 125.51 N/A N/A 0 0 323 266 2011-12-06 $3.92 $0.00 103.5% 16.7% 69.5% 42.2% 0.0% 0.0% -16.0% -135 -63.7K -221 0.00 115.00 N/A N/A 2 0 323 266 2011-12-07 $3.96 $0.00 104.8% 16.3% 67.8% 43.0% 0.0% 0.0% 14.2% 47 -69.3K -160 0.00 115.42 N/A N/A 18 0 323 266 2011-12-08 $3.95 $0.00 115.6% 15.7% 65.6% 50.2% 0.0% 0.0% -11.4% -295 -69.7K -142 0.00 115.45 N/A N/A 0 0 332 266 2011-12-09 $4.08 $0.00 116.0% 17.8% 37.9% 50.5% 0.0% 0.0% -12.9% -363 -73.8K -167 0.00 124.01 N/A N/A 0 0 332 266 2011-12-12 $4.06 $0.00 131.4% 16.3% 38.0% 60.8% 0.0% 0.0% 10.4% -235 -73.1K -195 0.00 122.72 N/A N/A 0 0 332 266 2011-12-13 $4.05 $0.00 162.6% 18.6% 34.9% 81.5% 0.0% 0.0% 3.6% -211 -72.6K -193 0.00 127.64 N/A N/A 0 0 332 266 2011-12-14 $4.06 $0.00 167.7% 18.1% 33.2% 84.9% 0.0% 0.0% -13.9% -184 -71.8K -209 0.00 115.99 N/A N/A 0 0 332 266 2011-12-15 $4.10 $0.00 62.0% 17.8% 32.7% 14.6% 0.0% 0.0% 4.7% -262 -75.4K -180 0.00 117.77 N/A N/A 0 0 332 266 2011-12-16 $4.18 $0.00 58.8% 16.9% 32.5% 12.5% 0.0% 0.0% 11.8% -290 -79.6K -171 0.00 117.24 N/A N/A 0 100 332 266 2011-12-19 $4.05 $0.00 59.5% 17.1% 35.3% 12.9% 0.0% 0.0% -8.5% -302 -85.0K -108 0.00 115.23 N/A N/A 0 0 332 176 2011-12-20 $4.26 $0.00 60.4% 17.3% 37.0% 13.5% 44.3% 0.0% -0.3% -441 -93.5K -117 0.00 124.03 N/A N/A 13 0 332 176 2011-12-21 $4.37 $5.00 67.7% 19.4% 37.2% 18.4% 0.0% 0.0% -9.8% -128 -100.1K -164 0.00 122.12 N/A N/A 0 0 345 176 2011-12-22 $4.50 $5.00 67.0% 19.2% 34.6% 17.9% 0.0% 0.0% -5.5% -137 -106.0K -176 0.00 120.32 N/A N/A 0 0 345 176 2011-12-23 $4.65 $5.00 51.5% 14.8% 32.8% 7.6% 0.0% 0.0% 17.9% -625 -110.6K -115 0.00 126.78 N/A N/A 10 0 345 176 2011-12-27 $4.50 $5.00 59.9% 17.2% 35.3% 13.2% 57.2% 0.0% 12.5% -203 -108.5K -128 0.00 127.11 N/A N/A 1 0 355 176 2011-12-28 $4.39 $5.00 54.2% 15.5% 37.5% 9.4% 0.0% 0.0% 20.1% -198 -104.7K -164 0.00 118.12 N/A N/A 0 0 356 176 2011-12-29 $4.48 $5.00 53.6% 15.4% 34.8% 9.0% 0.0% 0.0% 9.7% -303 -108.3K -144 0.00 118.00 N/A N/A 0 0 356 176 2011-12-30 $4.38 $5.00 62.6% 17.9% 36.6% 15.0% 0.0% 0.0% -8.6% -232 -103.1K -149 0.00 119.34 N/A N/A 0 0 356 176
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