DUSA Options History — February 2012

In February 2012, DUSA traded between $4.65 and $5.09. ATM implied volatility averaged 66.5%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 19.3%. IV traded above realized volatility by 34.9% (HV 20d: 31.6%). Max pain ranged from $2.50 to $2.50. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2012-02-03: Highest Volume — 42 contracts
2012-02-09: Largest IV spike — 21.0% change
2012-02-09: Highest IV Rank — 27.5%
2012-02-09: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.86	$4.65	$5.09	$4.82	$4.82
Max Pain	$2.50	$2.50	$2.50	$2.50	$2.50
ATM IV	66.5%	58.3%	81.4%	63.3%	58.3%
Expected Move	19.3%	16.7%	23.3%	18.2%	16.7%
HV 20d	31.6%	29.6%	32.8%	32.0%	31.7%
HV 60d	39.7%	34.4%	50.4%	50.4%	34.9%
IV Rank	17.6%	12.1%	27.5%	15.4%	12.1%
IV Percentile	30.6%	12.9%	53.2%	22.6%	12.9%
Term Structure	7.6%	-5.2%	28.7%	12.9%	5.7%
VWIV	125.2%	84.2%	181.0%	110.3%	84.2%
Bid-Ask Spread %	111.79	84.74	138.09	118.24	108.16
Gamma HHI	0.90	0.63	0.98	0.96	0.81
Net GEX	-692	-1.9K	313	-1.1K	198
Net DEX	-93.1K	-148.8K	-26.9K	-112.1K	-26.9K
Net VEX	-97	-118	-73	-118	-84
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.00	4.00	0.00	0.00
Total Volume	6.65	0	42	1	20
Total OI	441.25	144	609	558	144

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
2012-02-01	$4.82	$2.50	63.3%	18.2%	32.0%	15.4%	0.0%	0.0%	12.9%	-1.1K	-112.1K	-118	0.00	118.24	N/A	N/A	1	0	351	207
2012-02-02	$4.86	$2.50	60.6%	17.4%	32.0%	13.6%	0.0%	0.0%	12.4%	-1.2K	-113.3K	-116	0.00	108.60	N/A	N/A	0	1	351	207
2012-02-03	$5.00	$0.00	68.1%	20.0%	32.8%	18.6%	110.3%	0.0%	3.8%	-1.2K	-121.7K	-116	0.00	97.17	N/A	N/A	42	0	351	208
2012-02-06	$5.05	$2.50	59.9%	20.5%	32.8%	13.2%	0.0%	0.0%	0.6%	-1.5K	-145.6K	-110	0.00	96.47	N/A	N/A	1	0	391	208
2012-02-07	$5.09	$2.50	64.3%	19.6%	32.8%	16.1%	0.0%	0.0%	3.0%	-1.5K	-148.8K	-109	0.00	102.98	N/A	N/A	7	0	392	208
2012-02-08	$5.02	$2.50	67.2%	19.4%	30.6%	18.1%	0.0%	0.0%	7.6%	-1.3K	-146.3K	-113	0.00	100.95	N/A	N/A	0	0	397	208
2012-02-09	$4.84	$2.50	81.4%	23.3%	30.2%	27.5%	0.0%	0.0%	-5.2%	-1.7K	-131.4K	-110	0.30	103.36	N/A	N/A	10	3	397	208
2012-02-10	$4.69	$2.50	69.2%	19.8%	31.0%	19.4%	0.0%	0.0%	9.3%	-1.4K	-117.0K	-107	0.00	104.77	N/A	N/A	0	0	393	211
2012-02-13	$4.74	$2.50	69.2%	19.8%	30.6%	19.4%	0.0%	0.0%	10.0%	-1.6K	-120.0K	-100	0.00	103.44	N/A	N/A	11	0	393	211
2012-02-14	$4.82	$2.50	69.1%	19.8%	29.6%	19.3%	0.0%	0.0%	6.1%	-1.9K	-125.1K	-99	0.00	105.70	N/A	N/A	4	0	394	211
2012-02-15	$4.65	$2.50	61.5%	17.6%	31.9%	14.2%	0.0%	0.0%	14.8%	-1.3K	-117.5K	-95	0.00	130.06	N/A	N/A	0	0	398	211
2012-02-16	$4.73	$2.50	64.8%	18.6%	31.7%	16.4%	0.0%	0.0%	28.7%	92	-107.2K	-85	0.00	130.12	N/A	N/A	0	0	398	211
2012-02-17	$4.74	$2.50	68.2%	19.5%	31.6%	18.7%	0.0%	0.0%	16.9%	158	-108.2K	-83	0.00	134.84	N/A	N/A	0	0	398	211
2012-02-21	$4.75	$2.50	70.9%	20.3%	31.6%	20.5%	0.0%	0.0%	0.3%	209	-33.5K	-73	0.00	138.09	N/A	N/A	4	0	109	45
2012-02-22	$4.85	$2.50	76.4%	21.9%	31.7%	24.2%	181.0%	0.0%	-3.9%	308	-35.6K	-84	0.00	136.28	N/A	N/A	2	0	112	45
2012-02-23	$4.84	$2.50	64.3%	18.4%	30.9%	16.1%	0.0%	0.0%	8.8%	313	-36.6K	-85	0.00	108.69	N/A	N/A	0	0	114	45
2012-02-24	$4.98	$2.50	63.4%	18.2%	32.2%	15.5%	84.2%	0.0%	8.5%	198	-39.8K	-84	4.00	112.26	N/A	N/A	1	4	114	45
2012-02-27	$5.00	$2.50	66.0%	18.9%	31.9%	17.3%	0.0%	0.0%	6.0%	196	-38.7K	-87	0.00	110.89	N/A	N/A	0	0	115	49
2012-02-28	$4.94	$2.50	64.8%	18.6%	32.4%	16.4%	0.0%	0.0%	6.4%	202	-37.7K	-86	0.00	84.74	N/A	N/A	22	0	115	49
2012-02-29	$4.82	$2.50	58.3%	16.7%	31.7%	12.1%	0.0%	0.0%	5.7%	198	-26.9K	-84	0.00	108.16	N/A	N/A	20	0	95	49