DUSA Options History — January 2012 In January 2012, DUSA traded between $4.19 and $4.79. ATM implied volatility averaged 64.9%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 23.5% (HV 20d: 41.4%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-01-03 : Highest Volume — 20 contracts2012-01-17 : Largest IV spike — 37.6% change2012-01-19 : Highest IV Rank — 27.5%2012-01-19 : Largest Expected Move — 23.4%Monthly Statistics Metric Avg Min Max Open Close Price $4.52 $4.19 $4.79 $4.19 $4.79 Max Pain $2.88 $2.50 $5.00 $5.00 $2.50 ATM IV 64.9% 44.5% 81.5% 69.1% 64.1% Expected Move 18.5% 12.7% 23.4% 19.8% 18.4% HV 20d 41.4% 36.3% 46.5% 40.9% 36.9% HV 60d 57.5% 50.5% 59.8% 59.5% 50.5% IV Rank 16.5% 2.9% 27.5% 19.3% 16.0% IV Percentile 23.6% 0.4% 47.6% 28.6% 23.8% Term Structure 10.2% -17.2% 35.3% -17.2% 15.9% VWIV 86.6% 59.0% 104.9% 95.9% 104.9% Bid-Ask Spread % 107.63 89.43 115.48 114.81 113.31 Gamma HHI 0.83 0.49 0.96 0.49 0.94 Net GEX -595 -1.2K 134 134 -929 Net DEX -105.7K -119.7K -88.1K -91.3K -110.6K Net VEX -121 -192 -98 -192 -118 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 4.5 0 20 20 0 Total OI 562.1 532 578 532 558
Daily Data (20 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 2012-01-03 $4.19 $5.00 69.1% 19.8% 40.9% 19.3% 0.0% 0.0% -17.2% 134 -91.3K -192 0.00 114.81 N/A N/A 0 20 356 176 2012-01-04 $4.20 $5.00 63.6% 18.2% 40.4% 15.7% 0.0% 0.0% -10.8% -405 -88.1K -98 0.00 113.01 N/A N/A 6 0 356 196 2012-01-05 $4.24 $5.00 66.7% 19.1% 40.2% 17.7% 0.0% 0.0% -11.6% -416 -91.0K -105 0.00 113.01 N/A N/A 1 0 361 196 2012-01-06 $4.25 $2.50 69.2% 14.0% 40.1% 19.4% 0.0% 0.0% 35.3% -371 -92.4K -113 0.00 110.19 N/A N/A 0 0 362 196 2012-01-09 $4.28 $2.50 73.9% 18.3% 40.1% 22.5% 0.0% 0.0% 26.4% -262 -94.8K -128 0.00 110.60 N/A N/A 10 0 362 196 2012-01-10 $4.48 $2.50 69.2% 21.9% 41.6% 19.3% 0.0% 0.0% 3.2% -443 -109.1K -122 0.00 105.82 N/A N/A 0 0 372 196 2012-01-11 $4.69 $2.50 59.4% 22.3% 43.8% 12.8% 0.0% 0.0% -1.8% -360 -119.7K -136 0.00 100.28 N/A N/A 0 0 372 196 2012-01-12 $4.57 $2.50 77.2% 22.1% 45.3% 24.7% 0.0% 0.0% 1.3% -375 -113.7K -134 0.00 101.88 N/A N/A 0 1 372 196 2012-01-13 $4.51 $2.50 57.3% 16.4% 45.8% 11.4% 0.0% 0.0% 16.9% -539 -108.2K -118 0.00 97.23 N/A N/A 0 0 372 197 2012-01-17 $4.64 $2.50 78.9% 22.6% 46.5% 25.8% 0.0% 0.0% 2.6% -436 -116.1K -126 0.00 104.63 N/A N/A 0 0 372 197 2012-01-18 $4.72 $2.50 78.0% 22.4% 46.4% 25.2% 0.0% 0.0% 3.9% -498 -119.1K -117 0.00 103.26 N/A N/A 0 0 372 197 2012-01-19 $4.63 $2.50 81.5% 23.4% 45.3% 27.5% 0.0% 0.0% -0.3% -599 -114.8K -122 0.00 104.27 N/A N/A 0 0 372 197 2012-01-20 $4.67 $2.50 67.3% 19.3% 42.3% 18.1% 95.9% 0.0% 13.4% -802 -115.9K -114 0.00 89.43 N/A N/A 0 10 372 197 2012-01-23 $4.68 $2.50 44.5% 12.7% 41.5% 2.9% 0.0% 0.0% 32.5% -1.2K -112.0K -99 0.00 115.48 N/A N/A 11 0 361 197 2012-01-24 $4.61 $2.50 50.3% 14.4% 40.8% 6.8% 59.0% 0.0% 30.2% -862 -112.4K -112 0.00 113.00 N/A N/A 0 11 371 197 2012-01-25 $4.53 $2.50 55.9% 16.0% 39.6% 10.5% 104.9% 0.0% 12.9% -865 -104.6K -118 0.00 112.94 N/A N/A 20 0 371 207 2012-01-26 $4.55 $2.50 57.2% 16.4% 37.8% 11.4% 0.0% 0.0% 11.1% -893 -97.4K -118 0.00 114.15 N/A N/A 0 0 351 207 2012-01-27 $4.62 $2.50 57.4% 16.5% 36.9% 11.5% 0.0% 0.0% 30.6% -767 -103.1K -122 0.00 113.81 N/A N/A 0 0 351 207 2012-01-30 $4.63 $2.50 57.6% 16.5% 36.3% 11.7% 0.0% 0.0% 9.2% -1.0K -100.3K -115 0.00 101.47 N/A N/A 0 0 351 207 2012-01-31 $4.79 $2.50 64.1% 18.4% 36.9% 16.0% 0.0% 0.0% 15.9% -929 -110.6K -118 0.00 113.31 N/A N/A 0 0 351 207
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