DUSA Options History — March 2012

In March 2012, DUSA traded between $4.65 and $6.48. ATM implied volatility averaged 68.7%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 9.6% (HV 20d: 78.3%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.84.

Notable Days

2012-03-07: Highest Volume — 85 contracts
2012-03-05: Largest IV spike — 40.2% change
2012-03-13: Highest IV Rank — 49.1%
2012-03-13: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.93	$4.65	$6.48	$4.83	$6.26
Max Pain	$6.97	$2.50	$7.50	$2.50	$7.50
ATM IV	68.7%	40.6%	113.8%	64.7%	59.7%
Expected Move	18.0%	11.6%	22.5%	18.6%	17.1%
HV 20d	78.3%	31.1%	86.6%	31.7%	84.3%
HV 60d	54.2%	34.8%	58.3%	34.8%	55.5%
IV Rank	19.0%	0.3%	49.1%	16.4%	13.0%
IV Percentile	33.0%	0.4%	83.5%	28.6%	19.4%
Term Structure	9.2%	-8.5%	32.5%	-1.6%	15.1%
VWIV	54.0%	31.3%	71.5%	71.5%	31.3%
Bid-Ask Spread %	101.79	78.02	114.90	98.40	114.76
Gamma HHI	0.60	0.50	0.92	0.88	0.55
Net GEX	109	-171	394	322	210
Net DEX	-23.8K	-48.5K	-8.0K	-31.6K	-31.2K
Net VEX	-119	-143	-94	-99	-137
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.84	0.00	10.00	0.00	10.00
Total Volume	8.5	0	85	1	0
Total OI	215.5	148	273	163	273

Daily Data (22 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
2012-03-01	$4.83	$2.50	64.7%	18.6%	31.7%	16.4%	71.5%	0.0%	-1.6%	322	-31.6K	-99	0.00	98.40	N/A	N/A	1	0	114	49
2012-03-02	$4.70	$2.50	51.9%	14.9%	32.9%	7.9%	0.0%	0.0%	8.8%	323	-30.0K	-98	0.00	80.54	N/A	N/A	0	0	115	49
2012-03-05	$4.65	$0.00	72.8%	20.2%	31.1%	21.8%	0.0%	0.0%	-1.4%	324	-28.4K	-94	0.00	96.65	N/A	N/A	0	0	115	49
2012-03-06	$5.80	$0.00	63.0%	20.5%	85.7%	15.3%	0.0%	0.0%	1.0%	394	-48.5K	-94	0.00	95.28	N/A	N/A	26	0	115	49
2012-03-07	$6.05	$0.00	84.3%	21.3%	86.6%	29.4%	71.0%	0.0%	-1.3%	377	-42.6K	-98	8.44	78.02	N/A	N/A	9	76	99	49
2012-03-08	$6.20	$7.50	89.6%	18.8%	86.3%	33.0%	0.0%	0.0%	18.5%	-129	-15.1K	-143	0.00	93.73	N/A	N/A	2	0	103	116
2012-03-09	$6.06	$7.50	88.7%	21.9%	85.5%	32.3%	0.0%	0.0%	-0.4%	-113	-13.3K	-142	0.00	92.16	N/A	N/A	0	6	104	116
2012-03-12	$5.84	$7.50	96.9%	22.4%	85.8%	37.8%	0.0%	0.0%	-4.6%	24	-9.7K	-131	0.00	96.89	N/A	N/A	0	0	104	114
2012-03-13	$5.86	$7.50	113.8%	22.5%	85.9%	49.1%	0.0%	0.0%	-3.5%	19	-9.1K	-130	0.00	98.81	N/A	N/A	0	0	104	114
2012-03-14	$5.79	$7.50	113.0%	22.1%	86.2%	48.5%	0.0%	0.0%	-7.1%	59	-8.0K	-125	0.00	96.93	N/A	N/A	0	0	104	114
2012-03-15	$5.87	$7.50	75.9%	21.8%	84.6%	23.8%	0.0%	0.0%	24.9%	43	-8.9K	-124	0.00	104.01	N/A	N/A	0	0	104	114
2012-03-16	$5.81	$7.50	75.7%	21.7%	84.9%	23.7%	0.0%	0.0%	-4.8%	35	-9.4K	-124	0.00	104.01	N/A	N/A	0	0	104	114
2012-03-19	$6.05	$7.50	55.7%	16.0%	85.5%	10.4%	0.0%	0.0%	-6.3%	24	-11.0K	-109	0.00	114.90	N/A	N/A	0	0	100	110
2012-03-20	$6.07	$7.50	53.8%	15.4%	85.5%	9.1%	0.0%	0.0%	13.2%	50	-10.6K	-107	0.00	110.04	N/A	N/A	0	0	100	110
2012-03-21	$6.31	$7.50	47.0%	13.5%	85.9%	4.6%	0.0%	0.0%	27.3%	-171	-15.0K	-109	0.00	113.93	N/A	N/A	20	0	100	110
2012-03-22	$6.43	$7.50	56.8%	16.3%	85.8%	11.1%	0.0%	0.0%	27.2%	-23	-33.7K	-124	0.00	108.59	N/A	N/A	16	0	120	110
2012-03-23	$6.48	$7.50	52.9%	15.2%	85.6%	8.5%	57.5%	0.0%	31.2%	-25	-36.6K	-139	0.00	110.92	N/A	N/A	2	0	133	110
2012-03-26	$6.47	$7.50	45.6%	13.1%	85.7%	3.7%	38.7%	0.0%	23.5%	28	-35.3K	-111	0.00	112.11	N/A	N/A	7	0	135	110
2012-03-27	$6.40	$7.50	40.6%	11.6%	85.7%	0.3%	31.3%	0.0%	32.5%	118	-34.1K	-116	0.00	95.30	N/A	N/A	11	0	142	110
2012-03-28	$6.30	$7.50	51.4%	14.7%	85.2%	7.5%	0.0%	0.0%	17.8%	257	-32.9K	-124	10.00	111.82	N/A	N/A	1	10	153	110
2012-03-29	$6.25	$7.50	57.0%	16.4%	85.5%	11.3%	0.0%	0.0%	-8.5%	250	-28.4K	-141	0.00	111.50	N/A	N/A	0	0	153	120
2012-03-30	$6.26	$7.50	59.7%	17.1%	84.3%	13.0%	0.0%	0.0%	15.1%	210	-31.2K	-137	0.00	114.76	N/A	N/A	0	0	153	120