DUSA Options History — December 2012 In December 2012, DUSA traded between $7.97 and $8.00. ATM implied volatility averaged 15.1%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 20.5% (HV 20d: 35.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 0 of 14 trading days. Term structure was in contango for 4 of 14 days. Put/call ratio averaged 0.00.
Notable Days 2012-12-14 : Highest Volume — 5 contracts2012-12-14 : Largest IV spike — 64.7% change2012-12-19 : Highest IV Rank — 8.9%2012-12-07 : Largest Expected Move — 17.0%Monthly Statistics Metric Avg Min Max Open Close Price $7.98 $7.97 $8.00 $7.97 $8.00 Max Pain $7.50 $7.50 $7.50 $7.50 $7.50 ATM IV 15.1% 10.5% 18.9% 13.4% 12.0% Expected Move 6.2% 2.9% 17.0% 3.8% 3.4% HV 20d 35.5% 3.1% 118.0% 118.0% 3.2% HV 60d 79.3% 75.8% 81.8% 81.8% 75.8% IV Rank 4.0% 0.6% 8.9% 2.4% 2.3% IV Percentile 5.6% 1.2% 9.2% 4.0% 3.2% Term Structure -22.3% -102.8% 47.3% 10.1% -29.0% Skew 25d -8.2% -22.4% -2.5% -22.4% -5.0% Skew 10d 4.0% -35.9% 14.9% -35.9% 9.3% Call IV 25d 17.9% 11.8% 40.5% 40.5% 12.1% Put IV 25d 9.6% 7.1% 18.1% 18.1% 7.1% Bid-Ask Spread % 92.09 18.14 153.22 152.70 118.22 Gamma HHI 0.96 0.73 1.00 0.73 1.00 Net GEX -1.8K -3.3K -45 -45 -3.0K Net DEX -94.7K -111.0K -80.3K -80.3K -107.6K Net VEX -312 -385 -224 -385 -258 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 0.5 0 5 0 0 Total OI 418.786 418 420 419 420
Daily Data (14 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 2012-12-03 $7.97 $7.50 13.4% 3.8% 118.0% 2.4% 0.0% 0.0% 10.1% -45 -80.3K -385 0.00 152.70 N/A N/A 0 0 167 252 2012-12-04 $7.99 $7.50 12.4% 3.6% 117.5% 1.8% 0.0% 0.0% 47.3% -1.7K -89.8K -341 0.00 61.30 N/A N/A 0 0 167 252 2012-12-05 $7.98 $7.50 13.6% 3.9% 117.4% 2.5% 0.0% 0.0% 19.4% -177 -82.2K -370 0.00 118.74 N/A N/A 0 0 167 252 2012-12-06 $7.97 $7.50 14.6% 4.2% 113.1% 3.2% 0.0% -22.4% 3.9% -3.2K -106.1K -262 0.00 18.14 N/A N/A 0 0 167 252 2012-12-07 $7.97 $0.00 15.0% 17.0% 3.1% 3.5% 0.0% 0.0% -102.8% -526 -80.7K -377 0.00 149.44 N/A N/A 0 0 167 252 2012-12-10 $7.99 $0.00 15.2% 15.7% 3.2% 3.6% 0.0% 0.0% -94.5% -1.2K -87.3K -334 0.00 126.54 N/A N/A 0 0 167 252 2012-12-11 $7.99 $0.00 15.9% 8.9% 3.1% 4.0% 0.0% -2.5% -46.7% -3.2K -106.6K -256 0.00 96.31 N/A N/A 0 0 167 252 2012-12-12 $7.97 $0.00 18.4% 2.9% 3.3% 5.6% 0.0% 0.0% -27.3% -93 -81.2K -372 0.00 153.22 N/A N/A 0 0 167 252 2012-12-13 $7.98 $0.00 10.5% 3.0% 3.2% 0.6% 0.0% 0.0% -28.3% -213 -83.0K -359 0.00 152.53 N/A N/A 0 0 167 252 2012-12-14 $7.99 $0.00 17.4% 5.0% 3.2% 4.9% 0.0% -6.8% -18.9% -3.3K -108.7K -246 0.00 37.46 N/A N/A 5 0 167 251 2012-12-17 $7.99 $0.00 15.1% 4.3% 3.1% 3.5% 0.0% -6.6% -13.8% -3.3K -111.0K -224 0.00 29.77 N/A N/A 0 0 167 251 2012-12-18 $7.98 $0.00 18.6% 5.3% 3.1% 8.6% 0.0% -7.1% -19.7% -3.2K -106.8K -257 0.00 37.46 N/A N/A 0 0 167 251 2012-12-19 $7.98 $0.00 18.9% 5.4% 3.1% 8.9% 0.0% -7.3% -11.7% -2.6K -93.7K -333 0.00 37.46 N/A N/A 0 2 167 251 2012-12-20 $8.00 $0.00 12.0% 3.4% 3.2% 2.3% 0.0% -5.0% -29.0% -3.0K -107.6K -258 0.00 118.22 N/A N/A 0 0 167 253
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