DUSA Options History — October 2012

In October 2012, DUSA traded between $6.21 and $7.00. ATM implied volatility averaged 59.2%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 11.8% (HV 20d: 47.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.18.

Notable Days

2012-10-16: Highest Volume — 25 contracts
2012-10-10: Largest IV spike — 36.9% change
2012-10-10: Highest IV Rank — 25.6%
2012-10-26: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.71	$6.21	$7.00	$6.92	$6.86
Max Pain	$5.48	$5.00	$7.50	$7.50	$5.00
ATM IV	59.2%	45.6%	71.5%	48.2%	45.6%
Expected Move	17.5%	13.1%	20.2%	13.8%	13.1%
HV 20d	47.4%	33.4%	57.0%	56.9%	47.4%
HV 60d	46.9%	44.8%	48.7%	48.1%	48.7%
IV Rank	16.1%	5.6%	25.6%	7.6%	5.6%
IV Percentile	25.8%	1.2%	61.0%	2.8%	1.2%
Term Structure	-1.7%	-71.7%	28.6%	22.3%	-7.0%
VWIV	72.1%	60.8%	88.5%	60.8%	88.5%
Skew 25d	4.3%	-15.6%	18.2%	12.3%	-13.3%
Skew 10d	12.2%	-6.5%	23.6%	1.7%	3.5%
Call IV 25d	55.7%	44.6%	63.8%	60.5%	62.1%
Put IV 25d	60.1%	44.3%	72.8%	72.8%	48.8%
Bid-Ask Spread %	75.45	19.80	173.27	88.52	173.27
Gamma HHI	0.75	0.58	0.96	0.79	0.96
Net GEX	642	287	1.0K	730	680
Net DEX	-18.1K	-30.9K	-341	-26.2K	-5.4K
Net VEX	-155	-192	-98	-117	-98
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.18	0.00	1.00	0.00	0.18
Total Volume	6.048	0	25	0	0
Total OI	436.381	415	464	415	437

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
2012-10-01	$6.92	$7.50	48.2%	13.8%	56.9%	7.6%	0.0%	12.3%	22.3%	730	-26.2K	-117	0.00	88.52	N/A	N/A	0	0	107	308
2012-10-02	$6.94	$7.50	51.7%	14.8%	56.8%	10.3%	0.0%	18.2%	28.6%	672	-26.3K	-146	0.00	120.22	N/A	N/A	0	0	107	308
2012-10-03	$6.92	$7.50	53.0%	15.2%	57.0%	11.3%	0.0%	17.5%	18.4%	734	-25.6K	-119	0.00	120.12	N/A	N/A	2	0	107	308
2012-10-04	$7.00	$7.50	50.9%	14.6%	57.0%	9.7%	0.0%	-1.6%	27.6%	714	-29.0K	-143	0.00	120.07	N/A	N/A	0	0	109	308
2012-10-05	$6.81	$5.00	52.9%	20.2%	55.4%	11.2%	0.0%	8.4%	-7.2%	623	-29.2K	-143	1.00	94.78	N/A	N/A	10	10	109	308
2012-10-08	$6.82	$5.00	51.3%	18.2%	55.4%	10.0%	60.8%	7.2%	-0.4%	696	-24.0K	-171	0.00	104.74	N/A	N/A	10	0	119	318
2012-10-09	$6.65	$5.00	52.2%	17.8%	56.7%	10.7%	71.6%	13.6%	-7.8%	539	-16.9K	-170	0.00	83.11	N/A	N/A	1	0	109	318
2012-10-10	$6.68	$5.00	71.5%	17.7%	56.6%	25.6%	0.0%	14.3%	-3.7%	522	-13.8K	-158	0.00	96.32	N/A	N/A	0	0	109	318
2012-10-11	$6.92	$5.00	61.6%	17.6%	53.5%	17.9%	61.7%	10.4%	4.4%	726	-20.4K	-151	0.00	47.52	N/A	N/A	14	0	109	318
2012-10-12	$6.96	$5.00	64.1%	18.4%	53.5%	19.9%	0.0%	10.6%	1.0%	955	-25.4K	-178	0.00	34.75	N/A	N/A	2	0	123	318
2012-10-15	$6.99	$5.00	63.9%	18.3%	53.5%	19.8%	0.0%	10.5%	0.9%	1.0K	-27.0K	-171	1.00	19.80	N/A	N/A	10	10	125	318
2012-10-16	$7.00	$5.00	67.0%	19.2%	37.2%	22.1%	67.2%	0.0%	-1.9%	923	-30.9K	-191	0.00	22.42	N/A	N/A	25	0	135	328
2012-10-17	$6.80	$5.00	70.5%	20.2%	38.1%	24.8%	0.0%	0.9%	-6.3%	719	-26.9K	-192	0.00	23.11	N/A	N/A	10	0	136	328
2012-10-18	$6.76	$5.00	67.4%	19.3%	33.4%	22.5%	0.0%	4.5%	-4.4%	773	-19.9K	-183	0.00	24.96	N/A	N/A	0	0	127	328
2012-10-19	$6.36	$5.00	67.5%	19.3%	39.4%	22.5%	76.4%	6.0%	-10.2%	483	-11.0K	-176	0.00	62.20	N/A	N/A	9	0	127	328
2012-10-22	$6.43	$5.00	68.8%	19.7%	38.2%	23.6%	78.1%	-14.2%	-14.5%	476	-8.7K	-169	0.00	31.55	N/A	N/A	1	0	121	328
2012-10-23	$6.21	$5.00	52.0%	0.0%	39.5%	10.5%	88.5%	0.0%	-71.7%	287	-3.7K	-173	0.18	170.77	N/A	N/A	11	2	121	328
2012-10-24	$6.24	$5.00	59.3%	17.0%	38.4%	16.1%	0.0%	-11.7%	-15.8%	289	-341	-134	0.00	61.23	N/A	N/A	0	0	111	326
2012-10-25	$6.40	$5.00	54.0%	15.5%	35.8%	12.1%	0.0%	-15.6%	12.6%	474	-2.1K	-124	0.00	60.87	N/A	N/A	0	0	111	326
2012-10-26	$6.30	$5.00	70.6%	20.2%	36.0%	24.9%	0.0%	-13.3%	-7.0%	461	-6.6K	-142	0.00	24.14	N/A	N/A	0	0	111	326
2012-10-31	$6.86	$5.00	45.6%	13.1%	47.4%	5.6%	0.0%	0.0%	0.0%	680	-5.4K	-98	0.00	173.27	N/A	N/A	0	0	111	326