DUSA Options History — September 2012

In September 2012, DUSA traded between $5.37 and $6.99. ATM implied volatility averaged 64.7%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 17.6% (HV 20d: 47.1%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 2.84.

Notable Days

2012-09-18: Highest Volume — 36 contracts
2012-09-12: Largest IV spike — 43.4% change
2012-09-12: Highest IV Rank — 35.9%
2012-09-05: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.11	$5.37	$6.99	$5.48	$6.79
Max Pain	$6.67	$5.00	$7.50	$5.00	$7.50
ATM IV	64.7%	48.8%	84.9%	70.0%	56.4%
Expected Move	18.3%	14.0%	23.0%	20.1%	16.2%
HV 20d	47.1%	35.1%	57.3%	40.5%	56.9%
HV 60d	43.5%	39.7%	48.0%	40.1%	48.0%
IV Rank	20.4%	8.0%	35.9%	24.4%	13.9%
IV Percentile	32.8%	2.8%	76.1%	48.6%	12.4%
Term Structure	-0.1%	-19.2%	35.4%	-5.4%	35.4%
VWIV	52.9%	38.0%	62.6%	62.6%	38.0%
Skew 25d	18.4%	17.0%	20.0%	17.0%	18.6%
Skew 10d	24.1%	21.5%	28.1%	21.5%	24.9%
Call IV 25d	44.2%	42.0%	46.5%	46.5%	44.0%
Put IV 25d	62.5%	61.8%	63.5%	63.5%	62.6%
Bid-Ask Spread %	111.21	75.75	129.28	121.66	100.15
Gamma HHI	0.54	0.35	0.75	0.53	0.73
Net GEX	222	55	564	179	526
Net DEX	-12.4K	-27.7K	-3.7K	-5.2K	-27.4K
Net VEX	-94	-133	-66	-94	-130
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.84	0.00	17.00	17.00	2.50
Total Volume	7.632	0	36	0	14
Total OI	353.632	333	401	343	401

Daily Data (19 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
2012-09-04	$5.48	$5.00	70.0%	20.1%	40.5%	24.4%	0.0%	0.0%	-5.4%	179	-5.2K	-94	0.00	121.66	N/A	N/A	0	0	73	270
2012-09-05	$5.51	$5.00	80.1%	23.0%	40.1%	32.3%	0.0%	0.0%	-18.6%	55	-5.6K	-130	0.00	127.71	N/A	N/A	0	0	73	270
2012-09-06	$5.62	$5.00	80.1%	23.0%	35.1%	32.2%	0.0%	0.0%	-19.2%	182	-7.1K	-94	0.00	121.94	N/A	N/A	0	10	73	270
2012-09-07	$5.39	$0.00	78.4%	18.5%	38.7%	31.0%	0.0%	0.0%	-11.1%	209	-4.7K	-73	0.00	124.66	N/A	N/A	0	0	73	260
2012-09-10	$5.40	$0.00	62.8%	19.2%	38.6%	18.9%	0.0%	0.0%	-10.2%	203	-3.9K	-71	0.00	129.28	N/A	N/A	0	0	73	260
2012-09-11	$5.37	$0.00	59.2%	19.6%	37.9%	16.1%	0.0%	0.0%	0.4%	215	-3.9K	-75	0.00	108.66	N/A	N/A	0	0	73	260
2012-09-12	$5.38	$0.00	84.9%	18.6%	37.8%	35.9%	0.0%	0.0%	-10.3%	204	-3.7K	-66	0.00	124.55	N/A	N/A	0	0	73	260
2012-09-13	$5.75	$0.00	62.5%	17.9%	43.6%	18.7%	0.0%	0.0%	-0.5%	220	-8.3K	-74	0.00	118.80	N/A	N/A	0	0	73	260
2012-09-14	$5.79	$0.00	66.7%	19.1%	39.5%	21.9%	0.0%	0.0%	-10.2%	245	-10.1K	-80	0.00	119.96	N/A	N/A	0	20	73	260
2012-09-17	$5.80	$0.00	63.2%	18.1%	39.2%	19.2%	0.0%	0.0%	-10.0%	123	-8.4K	-95	0.00	118.53	N/A	N/A	0	0	73	270
2012-09-18	$6.49	$0.00	57.1%	16.4%	55.1%	14.5%	0.0%	0.0%	14.2%	187	-16.8K	-81	17.00	115.63	N/A	N/A	2	34	73	270
2012-09-19	$6.65	$0.00	59.4%	17.0%	55.1%	16.3%	0.0%	0.0%	-1.8%	131	-19.2K	-103	0.00	97.81	N/A	N/A	0	0	73	295
2012-09-20	$6.99	$0.00	55.7%	16.0%	55.9%	13.4%	62.6%	0.0%	3.9%	105	-24.5K	-90	0.00	99.77	N/A	N/A	1	0	73	295
2012-09-21	$6.89	$7.50	66.6%	19.1%	54.9%	21.8%	0.0%	0.0%	-5.5%	206	-23.9K	-100	0.20	101.52	N/A	N/A	10	2	74	295
2012-09-24	$6.67	$7.50	71.1%	20.4%	57.3%	25.3%	0.0%	17.0%	-7.5%	127	-9.5K	-87	0.00	75.75	N/A	N/A	0	0	58	297
2012-09-25	$6.75	$7.50	53.4%	15.3%	55.7%	11.6%	58.1%	17.4%	9.9%	124	-11.1K	-92	0.00	90.18	N/A	N/A	36	0	58	297
2012-09-26	$6.55	$7.50	48.8%	14.0%	56.5%	8.0%	0.0%	20.0%	31.5%	411	-14.6K	-123	0.00	123.83	N/A	N/A	10	0	93	297
2012-09-27	$6.85	$7.50	53.7%	15.4%	56.9%	11.8%	0.0%	18.8%	12.6%	564	-27.7K	-133	0.20	92.53	N/A	N/A	5	1	103	297
2012-09-28	$6.79	$7.50	56.4%	16.2%	56.9%	13.9%	38.0%	18.6%	35.4%	526	-27.4K	-130	2.50	100.15	N/A	N/A	4	10	103	298