DUSA Options History — July 2012

In July 2012, DUSA traded between $5.20 and $6.14. ATM implied volatility averaged 69.9%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded above realized volatility by 32.9% (HV 20d: 37.1%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2012-07-17: Highest Volume — 18 contracts
2012-07-06: Largest IV drop — 36.3% change
2012-07-05: Highest IV Rank — 43.6%
2012-07-05: Largest Expected Move — 27.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.57	$5.20	$6.14	$5.26	$5.47
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	69.9%	54.1%	96.0%	66.2%	75.8%
Expected Move	19.2%	15.5%	27.5%	19.0%	21.7%
HV 20d	37.1%	32.9%	45.6%	35.4%	45.6%
HV 60d	42.2%	40.2%	44.0%	43.9%	44.0%
IV Rank	23.1%	10.7%	43.6%	20.1%	27.7%
IV Percentile	45.2%	6.4%	79.3%	37.1%	66.9%
Term Structure	-2.3%	-26.5%	27.8%	7.8%	-16.2%
VWIV	61.4%	50.0%	68.2%	50.0%	65.4%
Bid-Ask Spread %	127.56	117.56	170.54	125.74	128.57
Gamma HHI	0.48	0.38	0.63	0.50	0.39
Net GEX	106	27	183	27	183
Net DEX	-5.0K	-12.4K	858	858	-8.4K
Net VEX	-128	-150	-106	-138	-120
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.00	0.00	0.00
Total Volume	2.286	0	18	0	0
Total OI	346.762	336	361	339	361

Daily Data (21 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
2012-07-02	$5.26	$0.00	66.2%	19.0%	35.4%	20.1%	0.0%	0.0%	7.8%	27	858	-138	0.00	125.74	N/A	N/A	0	0	69	270
2012-07-03	$5.20	$0.00	71.6%	20.5%	35.7%	24.4%	0.0%	0.0%	-2.2%	28	154	-135	0.00	126.02	N/A	N/A	0	0	69	270
2012-07-05	$5.27	$0.00	96.0%	27.5%	35.8%	43.6%	0.0%	0.0%	-26.5%	71	-1.9K	-122	0.00	161.68	N/A	N/A	0	0	69	270
2012-07-06	$5.32	$5.00	61.1%	17.4%	35.9%	16.1%	0.0%	0.0%	7.2%	31	353	-146	0.00	120.28	N/A	N/A	0	0	69	270
2012-07-09	$5.31	$5.00	78.9%	20.3%	35.6%	30.2%	0.0%	0.0%	-13.5%	83	-537	-119	0.00	120.77	N/A	N/A	0	0	69	270
2012-07-10	$5.31	$5.00	82.4%	16.9%	35.5%	32.9%	0.0%	0.0%	2.7%	102	-569	-118	0.00	127.21	N/A	N/A	0	0	69	270
2012-07-11	$5.42	$5.00	83.9%	16.3%	34.8%	34.1%	0.0%	0.0%	5.8%	108	-997	-119	0.00	124.57	N/A	N/A	0	0	69	270
2012-07-12	$5.45	$5.00	60.3%	17.3%	33.2%	15.6%	0.0%	0.0%	16.0%	67	-793	-136	0.00	117.56	N/A	N/A	0	0	69	270
2012-07-13	$5.57	$5.00	54.1%	15.5%	33.8%	10.7%	0.0%	0.0%	27.8%	115	-4.2K	-136	0.00	121.41	N/A	N/A	0	0	69	270
2012-07-16	$5.77	$5.00	57.3%	16.4%	32.9%	13.2%	50.0%	0.0%	20.0%	123	-5.6K	-124	0.00	119.17	N/A	N/A	3	0	69	270
2012-07-17	$6.07	$5.00	62.8%	18.0%	35.3%	17.5%	68.2%	0.0%	-8.0%	152	-6.7K	-106	1.00	118.53	N/A	N/A	9	9	66	270
2012-07-18	$6.14	$5.00	69.1%	19.8%	34.5%	22.4%	61.9%	0.0%	-17.9%	87	-8.7K	-137	0.00	119.23	N/A	N/A	12	0	68	279
2012-07-19	$6.05	$5.00	67.7%	19.4%	35.6%	21.4%	65.4%	0.0%	-13.0%	127	-12.4K	-143	0.00	120.86	N/A	N/A	10	0	77	279
2012-07-20	$5.84	$5.00	71.1%	20.4%	39.1%	24.0%	0.0%	0.0%	-2.5%	82	-9.2K	-150	0.00	126.02	N/A	N/A	0	0	77	279
2012-07-23	$5.49	$5.00	67.5%	19.3%	40.7%	21.1%	0.0%	0.0%	3.1%	141	-6.6K	-124	0.00	126.97	N/A	N/A	0	0	77	279
2012-07-24	$5.53	$5.00	58.5%	16.8%	38.5%	14.1%	0.0%	0.0%	13.7%	132	-7.1K	-127	0.00	125.69	N/A	N/A	0	0	77	279
2012-07-25	$5.53	$5.00	69.5%	19.9%	38.3%	22.8%	0.0%	0.0%	-8.7%	140	-6.8K	-125	0.00	126.97	N/A	N/A	0	0	77	279
2012-07-26	$5.60	$5.00	69.7%	20.0%	37.5%	22.9%	0.0%	0.0%	-12.7%	140	-8.0K	-122	0.00	124.77	N/A	N/A	0	0	77	279
2012-07-27	$5.86	$5.00	70.7%	20.3%	40.2%	23.7%	0.0%	0.0%	-13.7%	123	-10.2K	-116	0.00	170.54	N/A	N/A	0	0	77	279
2012-07-30	$5.57	$5.00	74.6%	21.4%	45.0%	26.7%	0.0%	0.0%	-17.0%	154	-7.9K	-118	0.00	126.22	N/A	N/A	5	0	77	279
2012-07-31	$5.47	$5.00	75.8%	21.7%	45.6%	27.7%	0.0%	0.0%	-16.2%	183	-8.4K	-120	0.00	128.57	N/A	N/A	0	0	82	279