DUSA Options History — April 2012

In April 2012, DUSA traded between $5.50 and $6.34. ATM implied volatility averaged 61.1%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 19.5% (HV 20d: 41.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 15.88.

Notable Days

2012-04-11: Highest Volume — 252 contracts
2012-04-19: Largest IV drop — 24.0% change
2012-04-18: Highest IV Rank — 26.5%
2012-04-13: Largest Expected Move — 21.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.80	$5.50	$6.34	$6.34	$5.86
Max Pain	$5.50	$5.00	$7.50	$7.50	$5.00
ATM IV	61.1%	47.5%	74.4%	56.0%	55.4%
Expected Move	17.3%	13.6%	21.3%	16.1%	15.9%
HV 20d	41.7%	32.9%	83.8%	83.8%	44.9%
HV 60d	57.3%	55.5%	59.0%	55.5%	58.7%
IV Rank	14.7%	5.4%	26.5%	10.6%	11.7%
IV Percentile	27.4%	1.6%	59.2%	12.5%	13.1%
Term Structure	6.7%	-18.8%	33.0%	14.6%	9.5%
VWIV	73.5%	49.1%	115.6%	115.6%	49.1%
Bid-Ask Spread %	94.26	76.09	113.84	93.75	96.09
Gamma HHI	0.55	0.35	0.95	0.55	0.36
Net GEX	451	-96	760	207	332
Net DEX	-28.4K	-61.3K	-6.8K	-31.5K	-58.6K
Net VEX	-158	-234	-99	-134	-179
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	15.88	0.00	125.00	0.00	0.00
Total Volume	19.65	0	252	0	0
Total OI	419.6	269	551	273	475

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
2012-04-02	$6.34	$7.50	56.0%	16.1%	83.8%	10.6%	0.0%	0.0%	14.6%	207	-31.5K	-134	0.00	93.75	N/A	N/A	0	0	153	120
2012-04-03	$6.13	$7.50	66.2%	19.0%	36.2%	17.4%	0.0%	0.0%	-18.8%	323	-25.9K	-135	0.00	112.60	N/A	N/A	0	0	153	120
2012-04-04	$5.96	$7.50	57.9%	16.6%	34.6%	11.8%	0.0%	0.0%	-7.0%	491	-19.8K	-127	0.00	94.38	N/A	N/A	0	0	153	120
2012-04-05	$5.90	$7.50	68.9%	19.8%	33.4%	19.2%	0.0%	0.0%	-0.1%	513	-19.9K	-122	0.00	113.84	N/A	N/A	2	0	153	120
2012-04-09	$5.81	$5.00	71.6%	14.7%	32.9%	21.0%	115.6%	0.0%	33.0%	517	-15.6K	-123	0.00	99.31	N/A	N/A	10	0	153	120
2012-04-10	$5.50	$5.00	59.1%	18.4%	35.9%	12.7%	54.3%	0.0%	5.5%	758	-9.7K	-113	0.00	77.29	N/A	N/A	7	0	149	120
2012-04-11	$5.67	$5.00	72.0%	20.4%	37.8%	21.4%	0.0%	0.0%	1.4%	760	-12.5K	-118	125.00	77.66	N/A	N/A	2	250	156	120
2012-04-12	$5.74	$5.00	70.5%	20.2%	37.9%	20.4%	0.0%	0.0%	1.8%	579	-9.8K	-190	0.00	97.66	N/A	N/A	0	0	156	346
2012-04-13	$5.59	$5.00	74.4%	21.3%	38.5%	23.0%	0.0%	0.0%	0.4%	536	-7.0K	-204	0.00	77.66	N/A	N/A	5	0	156	346
2012-04-16	$5.73	$5.00	61.1%	17.5%	39.6%	14.0%	0.0%	0.0%	19.4%	-96	-22.2K	-117	0.00	76.09	N/A	N/A	20	0	156	346
2012-04-17	$5.85	$5.00	70.0%	20.1%	37.4%	20.0%	0.0%	0.0%	21.0%	600	-16.4K	-222	0.00	91.85	N/A	N/A	0	0	176	346
2012-04-18	$5.61	$5.00	74.0%	21.2%	40.0%	26.5%	75.2%	0.0%	-2.9%	682	-12.0K	-224	0.00	91.39	N/A	N/A	0	20	176	346
2012-04-19	$5.55	$5.00	56.2%	16.1%	36.7%	12.6%	49.1%	0.0%	-6.1%	458	-6.8K	-234	2.00	111.82	N/A	N/A	5	10	176	365
2012-04-20	$5.89	$5.00	48.9%	14.0%	42.7%	6.9%	0.0%	0.0%	25.8%	484	-26.8K	-110	0.00	93.36	N/A	N/A	0	60	176	375
2012-04-23	$5.69	$5.00	54.2%	15.5%	43.8%	10.7%	0.0%	0.0%	13.8%	387	-47.6K	-206	0.00	98.53	N/A	N/A	0	0	158	315
2012-04-24	$5.71	$5.00	52.3%	15.0%	43.9%	9.2%	0.0%	0.0%	13.4%	361	-51.2K	-165	0.00	96.82	N/A	N/A	0	0	158	315
2012-04-25	$5.78	$5.00	54.2%	15.5%	44.3%	10.7%	0.0%	0.0%	16.6%	346	-53.6K	-169	0.00	95.65	N/A	N/A	0	0	158	315
2012-04-26	$5.86	$5.00	47.5%	13.6%	44.6%	5.4%	0.0%	0.0%	1.1%	476	-61.3K	-99	0.00	95.00	N/A	N/A	0	0	158	315
2012-04-27	$5.92	$5.00	52.4%	15.0%	44.8%	9.3%	0.0%	0.0%	-7.3%	296	-59.1K	-178	0.00	94.38	N/A	N/A	2	0	158	315
2012-04-30	$5.86	$5.00	55.4%	15.9%	44.9%	11.7%	0.0%	0.0%	9.5%	332	-58.6K	-179	0.00	96.09	N/A	N/A	0	0	160	315