DUSA Options History — August 2012 In August 2012, DUSA traded between $5.02 and $5.52. ATM implied volatility averaged 77.5%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded above realized volatility by 34.0% (HV 20d: 43.5%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.00.
Notable Days 2012-08-02 : Highest Volume — 17 contracts2012-08-02 : Largest IV spike — 92.4% change2012-08-15 : Highest IV Rank — 54.0%2012-08-27 : Largest Expected Move — 24.9%Monthly Statistics Metric Avg Min Max Open Close Price $5.30 $5.02 $5.52 $5.40 $5.35 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 77.5% 38.4% 108.2% 38.4% 68.0% Expected Move 20.7% 18.0% 24.9% 21.2% 19.5% HV 20d 43.5% 38.5% 49.2% 45.6% 39.5% HV 60d 40.6% 39.5% 43.5% 43.5% 39.9% IV Rank 30.2% 0.0% 54.0% 0.0% 22.9% IV Percentile 59.9% 0.0% 89.6% 0.0% 40.2% Term Structure -4.0% -16.4% 9.7% -4.1% 3.4% Bid-Ask Spread % 125.25 109.45 194.35 194.35 122.91 Gamma HHI 0.48 0.36 0.92 0.52 0.54 Net GEX 186 24 403 24 163 Net DEX -5.6K -19.3K -741 -2.3K -3.4K Net VEX -106 -136 -51 -51 -93 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.174 0 17 0 0 Total OI 362.087 343 386 361 343
Daily Data (23 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 2012-08-01 $5.40 $5.00 38.4% 0.0% 45.6% 0.0% 0.0% 0.0% 0.0% 24 -2.3K -51 0.00 194.35 N/A N/A 0 0 82 279 2012-08-02 $5.34 $5.00 73.9% 21.2% 45.6% 27.4% 0.0% 0.0% -4.1% 152 -3.4K -107 0.00 130.16 N/A N/A 17 0 82 279 2012-08-03 $5.40 $5.00 78.2% 22.4% 45.7% 30.8% 0.0% 0.0% -15.4% 260 -10.1K -122 0.00 135.40 N/A N/A 0 0 97 279 2012-08-06 $5.39 $5.00 80.7% 19.9% 45.7% 32.7% 0.0% 0.0% -3.5% 275 -10.8K -120 0.00 121.22 N/A N/A 0 0 97 279 2012-08-07 $5.32 $5.00 82.2% 20.7% 46.0% 33.9% 0.0% 0.0% -12.7% 267 -8.5K -114 0.00 118.94 N/A N/A 0 0 97 279 2012-08-08 $5.05 $5.00 80.8% 18.0% 48.8% 32.8% 0.0% 0.0% 3.7% 218 -4.1K -116 0.00 109.45 N/A N/A 0 0 97 279 2012-08-09 $5.13 $5.00 82.5% 21.9% 49.2% 34.1% 0.0% 0.0% -12.7% 261 -4.8K -113 0.00 116.17 N/A N/A 0 0 97 279 2012-08-10 $5.13 $5.00 91.7% 20.8% 48.3% 41.3% 0.0% 0.0% -11.7% 229 -3.8K -116 0.00 125.96 N/A N/A 0 0 97 279 2012-08-13 $5.03 $5.00 101.5% 21.2% 46.3% 48.8% 0.0% 0.0% -10.8% 252 -741 -102 0.00 120.09 N/A N/A 10 0 97 279 2012-08-14 $5.02 $5.00 101.6% 20.9% 41.1% 48.9% 0.0% 0.0% -14.4% 325 -3.5K -116 0.00 121.60 N/A N/A 0 0 107 279 2012-08-15 $5.13 $5.00 108.2% 20.8% 41.9% 54.0% 0.0% 0.0% -12.6% 352 -6.2K -114 0.00 118.85 N/A N/A 0 0 107 279 2012-08-16 $5.42 $5.00 71.3% 20.4% 47.6% 25.5% 0.0% 0.0% -16.4% 403 -15.4K -111 0.00 119.66 N/A N/A 0 0 107 279 2012-08-17 $5.51 $5.00 63.0% 18.1% 46.8% 19.1% 0.0% 0.0% -10.7% 59 -19.3K -136 0.00 121.09 N/A N/A 0 0 107 279 2012-08-20 $5.48 $5.00 72.5% 20.8% 41.4% 26.4% 0.0% 0.0% 5.8% 153 -5.2K -105 0.00 121.26 N/A N/A 0 0 73 270 2012-08-21 $5.44 $5.00 65.8% 18.9% 41.4% 21.2% 0.0% 0.0% 1.4% 50 -5.1K -112 0.00 121.26 N/A N/A 0 0 73 270 2012-08-22 $5.35 $5.00 74.4% 21.3% 41.7% 27.8% 0.0% 0.0% 0.2% 138 -3.9K -101 0.00 126.39 N/A N/A 0 0 73 270 2012-08-23 $5.21 $5.00 70.8% 20.3% 42.3% 25.0% 0.0% 0.0% 5.2% 60 -1.2K -106 0.00 126.72 N/A N/A 0 0 73 270 2012-08-24 $5.26 $5.00 64.7% 18.5% 38.5% 20.3% 0.0% 0.0% 9.7% 139 -2.6K -96 0.00 126.55 N/A N/A 0 0 73 270 2012-08-27 $5.52 $5.00 86.9% 24.9% 39.1% 37.5% 0.0% 0.0% -0.1% 104 -3.7K -95 0.00 116.91 N/A N/A 0 0 73 270 2012-08-28 $5.41 $5.00 79.6% 22.8% 39.2% 31.9% 0.0% 0.0% -0.7% 84 -3.9K -107 0.00 120.84 N/A N/A 0 0 73 270 2012-08-29 $5.32 $5.00 67.9% 19.5% 39.4% 22.8% 0.0% 0.0% 4.4% 161 -3.3K -96 0.00 123.15 N/A N/A 0 0 73 270 2012-08-30 $5.27 $5.00 77.5% 22.2% 39.3% 30.2% 0.0% 0.0% 4.0% 147 -2.7K -95 0.00 121.95 N/A N/A 0 0 73 270 2012-08-31 $5.35 $5.00 68.0% 19.5% 39.5% 22.9% 0.0% 0.0% 3.4% 163 -3.4K -93 0.00 122.91 N/A N/A 0 0 73 270
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