DUSA Options History — May 2012

In May 2012, DUSA traded between $5.01 and $6.40. ATM implied volatility averaged 65.8%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 18.8% (HV 20d: 47.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.21.

Notable Days

2012-05-02: Highest Volume — 63 contracts
2012-05-25: Largest IV drop — 100.0% change
2012-05-09: Highest IV Rank — 37.9%
2012-05-03: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.58	$5.01	$6.40	$5.82	$5.16
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	65.8%	47.4%	88.8%	55.1%	70.5%
Expected Move	18.1%	13.6%	21.4%	15.8%	20.2%
HV 20d	47.0%	40.6%	51.7%	44.5%	46.4%
HV 60d	60.0%	42.9%	62.4%	58.5%	42.9%
IV Rank	19.9%	5.4%	37.9%	11.5%	23.6%
IV Percentile	40.8%	1.6%	77.0%	13.1%	55.4%
Term Structure	1.9%	-28.7%	19.2%	9.5%	5.2%
VWIV	71.9%	61.7%	82.1%	61.7%	82.1%
Bid-Ask Spread %	109.09	70.34	184.76	95.13	123.28
Gamma HHI	0.46	0.33	0.70	0.37	0.40
Net GEX	444	-45	1.3K	336	-25
Net DEX	-33.3K	-74.8K	-1.7K	-57.2K	-1.7K
Net VEX	-166	-213	-117	-177	-174
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	1.67	0.00	0.00
Total Volume	5.909	0	63	0	0
Total OI	446.636	308	541	475	308

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
2012-05-01	$5.82	$5.00	55.1%	15.8%	44.5%	11.5%	0.0%	0.0%	9.5%	336	-57.2K	-177	0.00	95.13	N/A	N/A	0	0	160	315
2012-05-02	$6.06	$5.00	64.3%	18.4%	45.8%	18.6%	61.7%	0.0%	-14.4%	260	-64.4K	-137	0.00	93.63	N/A	N/A	63	0	160	315
2012-05-03	$6.19	$5.00	74.6%	21.4%	45.2%	26.7%	82.1%	0.0%	-28.7%	752	-68.4K	-184	1.67	70.34	N/A	N/A	6	10	206	315
2012-05-04	$6.10	$0.00	58.6%	14.3%	45.4%	14.2%	0.0%	0.0%	19.2%	389	-63.2K	-156	0.00	101.95	N/A	N/A	0	1	206	325
2012-05-07	$6.29	$0.00	59.0%	15.8%	46.0%	14.5%	0.0%	0.0%	3.0%	731	-68.5K	-181	0.00	102.17	N/A	N/A	6	0	206	324
2012-05-08	$6.40	$0.00	57.9%	15.6%	40.6%	13.6%	0.0%	0.0%	2.9%	961	-74.8K	-127	0.00	103.53	N/A	N/A	16	0	208	324
2012-05-09	$6.13	$0.00	88.8%	14.3%	43.4%	37.9%	0.0%	0.0%	15.7%	637	-63.5K	-178	0.00	110.72	N/A	N/A	0	0	207	324
2012-05-10	$5.80	$0.00	47.4%	13.6%	48.0%	5.4%	0.0%	0.0%	19.0%	361	-54.2K	-182	0.00	110.75	N/A	N/A	0	0	207	324
2012-05-11	$5.56	$0.00	68.1%	19.5%	49.5%	21.6%	0.0%	0.0%	0.4%	438	-45.5K	-183	0.00	105.43	N/A	N/A	12	0	207	324
2012-05-14	$5.37	$0.00	67.6%	19.4%	50.0%	21.3%	0.0%	0.0%	-0.8%	640	-38.5K	-190	0.00	106.94	N/A	N/A	0	0	217	324
2012-05-15	$5.29	$0.00	68.0%	19.5%	49.4%	21.6%	0.0%	0.0%	1.1%	699	-33.8K	-213	0.00	105.01	N/A	N/A	3	0	217	324
2012-05-16	$5.01	$0.00	66.7%	19.1%	50.8%	20.6%	0.0%	0.0%	-2.0%	1.0K	-14.3K	-200	0.00	101.54	N/A	N/A	0	0	217	324
2012-05-17	$5.12	$0.00	71.0%	20.4%	51.7%	24.0%	0.0%	0.0%	-0.8%	1.2K	-25.3K	-186	0.00	100.52	N/A	N/A	3	0	217	324
2012-05-18	$5.17	$0.00	68.7%	19.7%	46.3%	22.1%	0.0%	0.0%	10.2%	1.3K	-37.1K	-149	0.00	102.22	N/A	N/A	10	0	217	324
2012-05-21	$5.27	$0.00	70.6%	20.2%	45.9%	23.6%	0.0%	0.0%	-1.0%	-45	-2.2K	-149	0.00	75.65	N/A	N/A	0	0	62	246
2012-05-22	$5.35	$0.00	61.4%	17.6%	46.3%	16.4%	0.0%	0.0%	6.1%	5	-3.1K	-161	0.00	110.95	N/A	N/A	0	0	62	246
2012-05-23	$5.23	$0.00	61.7%	17.7%	46.4%	16.6%	0.0%	0.0%	9.3%	-38	-1.9K	-151	0.00	122.08	N/A	N/A	0	0	62	246
2012-05-24	$5.40	$0.00	63.2%	18.1%	47.8%	17.8%	0.0%	0.0%	4.6%	-33	-4.1K	-145	0.00	124.50	N/A	N/A	0	0	62	246
2012-05-25	$5.44	$0.00	0.0%	0.0%	47.7%	0.0%	0.0%	0.0%	0.0%	157	-4.3K	-117	0.00	184.76	N/A	N/A	0	0	62	246
2012-05-29	$5.31	$0.00	67.3%	19.3%	48.2%	21.0%	0.0%	0.0%	-2.3%	4	-2.8K	-155	0.00	123.69	N/A	N/A	0	0	62	246
2012-05-30	$5.34	$0.00	71.7%	20.5%	48.4%	24.5%	0.0%	0.0%	-16.0%	26	-3.5K	-158	0.00	125.17	N/A	N/A	0	0	62	246
2012-05-31	$5.16	$0.00	70.5%	20.2%	46.4%	23.6%	0.0%	0.0%	5.2%	-25	-1.7K	-174	0.00	123.28	N/A	N/A	0	0	62	246