DUSA Options History — November 2012

In November 2012, DUSA traded between $5.78 and $8.00. ATM implied volatility averaged 30.1%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 80.4% (HV 20d: 110.5%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.54.

Notable Days

2012-11-08: Highest Volume — 732 contracts
2012-11-16: Largest IV spike — 85.7% change
2012-11-02: Highest IV Rank — 33.2%
2012-11-02: Largest Expected Move — 23.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.53	$5.78	$8.00	$6.41	$7.97
Max Pain	$7.21	$5.00	$7.50	$5.00	$7.50
ATM IV	30.1%	9.6%	81.3%	67.1%	12.4%
Expected Move	7.1%	2.6%	23.3%	19.2%	3.6%
HV 20d	110.5%	53.1%	130.6%	53.1%	119.5%
HV 60d	75.2%	50.5%	83.7%	50.9%	81.8%
IV Rank	8.2%	0.0%	33.2%	22.2%	1.8%
IV Percentile	15.3%	0.0%	79.3%	43.4%	3.2%
Term Structure	13.2%	-41.3%	157.6%	69.9%	9.7%
VWIV	56.3%	9.3%	92.7%	67.1%	9.3%
Skew 25d	-2.2%	-10.9%	23.0%	5.4%	-4.0%
Skew 10d	12.7%	-14.4%	32.9%	2.1%	14.6%
Call IV 25d	30.3%	11.6%	85.1%	85.1%	11.6%
Put IV 25d	28.1%	5.5%	90.5%	90.5%	7.6%
Bid-Ask Spread %	59.48	13.07	151.76	151.76	21.78
Gamma HHI	0.92	0.53	1.00	0.73	1.00
Net GEX	-2.9K	-10.8K	534	-67	-3.1K
Net DEX	-77.4K	-137.3K	7.1K	648	-104.1K
Net VEX	-315	-534	-83	-90	-288
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.00	2.55	0.00	0.00
Total Volume	37.333	0	732	1	1
Total OI	611.238	418	1,093	437	418

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
2012-11-01	$6.41	$5.00	67.1%	19.2%	53.1%	22.2%	67.1%	5.4%	69.9%	-67	648	-90	0.00	151.76	N/A	N/A	1	0	111	326
2012-11-02	$6.15	$5.00	81.3%	23.3%	54.7%	33.2%	92.7%	7.7%	-41.3%	194	143	-118	0.00	48.43	N/A	N/A	1	0	111	326
2012-11-05	$6.03	$0.00	65.6%	17.0%	54.5%	21.0%	0.0%	4.5%	22.5%	-57	4.2K	-90	0.00	45.54	N/A	N/A	0	0	112	326
2012-11-06	$6.22	$0.00	75.4%	18.7%	55.6%	28.7%	0.0%	1.1%	17.6%	223	929	-101	0.00	44.40	N/A	N/A	0	0	112	326
2012-11-07	$5.78	$0.00	75.3%	20.7%	60.6%	28.6%	0.0%	23.0%	-0.0%	-307	7.1K	-89	0.00	54.18	N/A	N/A	0	0	112	326
2012-11-08	$7.95	$0.00	20.6%	2.7%	130.5%	0.0%	9.3%	-6.8%	2.6%	534	-79.6K	-83	2.55	13.07	N/A	N/A	206	526	112	326
2012-11-09	$7.96	$7.50	25.1%	2.6%	130.6%	3.1%	0.0%	-5.0%	4.6%	-7.6K	-132.8K	-534	0.13	81.24	N/A	N/A	30	4	251	842
2012-11-12	$7.95	$7.50	27.6%	2.8%	130.2%	4.8%	0.0%	0.0%	-1.4%	-4.0K	-120.9K	-523	0.00	117.82	N/A	N/A	5	0	241	842
2012-11-13	$7.96	$7.50	30.0%	2.8%	130.2%	6.4%	0.0%	0.0%	-1.1%	-5.3K	-137.3K	-422	0.00	88.37	N/A	N/A	0	0	236	842
2012-11-14	$7.95	$7.50	35.6%	2.9%	130.3%	10.2%	0.0%	-9.4%	-1.5%	-4.5K	-123.7K	-482	0.00	88.48	N/A	N/A	0	0	232	842
2012-11-15	$7.97	$7.50	9.6%	2.7%	130.3%	0.0%	0.0%	-5.4%	-0.9%	-9.7K	-113.4K	-376	0.00	30.67	N/A	N/A	0	10	213	842
2012-11-16	$7.96	$7.50	17.8%	5.1%	129.6%	5.2%	0.0%	-5.7%	-16.8%	-10.8K	-103.2K	-399	0.00	37.34	N/A	N/A	0	0	213	852
2012-11-19	$7.95	$7.50	10.7%	3.1%	129.6%	0.7%	0.0%	-5.6%	13.0%	-2.7K	-92.1K	-382	0.00	62.87	N/A	N/A	0	0	167	251
2012-11-20	$7.96	$7.50	10.6%	3.0%	127.0%	0.7%	0.0%	-5.8%	9.2%	-2.8K	-95.3K	-361	0.00	30.67	N/A	N/A	0	0	167	251
2012-11-21	$7.97	$7.50	10.4%	3.0%	127.1%	0.6%	0.0%	-10.9%	9.8%	-2.8K	-97.5K	-341	0.00	29.48	N/A	N/A	0	0	167	251
2012-11-23	$8.00	$7.50	12.2%	3.5%	126.0%	1.7%	0.0%	-8.7%	-17.3%	-2.5K	-84.8K	-428	0.00	18.86	N/A	N/A	0	0	167	251
2012-11-26	$7.99	$7.50	10.3%	3.0%	126.0%	0.5%	0.0%	-5.2%	11.7%	-2.8K	-102.2K	-318	0.00	19.57	N/A	N/A	0	0	167	251
2012-11-27	$7.97	$7.50	11.6%	3.3%	126.1%	1.3%	0.0%	-5.7%	9.8%	-2.8K	-98.4K	-333	0.00	21.90	N/A	N/A	0	0	167	251
2012-11-28	$7.99	$7.50	10.7%	3.1%	125.7%	0.7%	0.0%	0.0%	20.5%	147	-77.4K	-420	0.00	126.03	N/A	N/A	0	0	167	251
2012-11-29	$7.96	$7.50	12.5%	3.6%	122.8%	1.9%	0.0%	0.0%	157.6%	193	-75.8K	-436	0.00	116.57	N/A	N/A	0	0	167	251
2012-11-30	$7.97	$7.50	12.4%	3.6%	119.5%	1.8%	0.0%	-4.0%	9.7%	-3.1K	-104.1K	-288	0.00	21.78	N/A	N/A	0	1	167	251