ASHOKLEY Options

Date: 23Feb2017 Expiry date: 23Feb2017

Underlying Price: 90.55 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%

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Call Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
80.0 11.2 32.5314434268 70000.0 2.0 1.0 -0.02 0.0 0.0 0.32 10.57
82.5 8.5 53.0 28000.0 3.0 1.0 -0.02 1e-05 0.0 0.33 8.07
85.0 5.5 33.0 203000.0 5.0 0.999 -0.03 0.00171 0.018 0.34 5.57
87.5 3.75 71.0 126000.0 9.0 0.955 -0.11 0.05106 0.54 0.33 3.11
90.0 0.7 16.0 1358000.0 112.0 0.626 -0.37 0.20422 2.162 0.22 1.06
92.5 0.05 24.0 1512000.0 511.0 0.155 -0.22 0.12834 1.358 0.06 0.15
95.0 0.05 45.0 4676000.0 435.0 0.01 -0.03 0.01467 0.155 0.0 0.01
97.5 0.05 64.0 3948000.0 121.0 0.0 -0.0 0.00035 0.004 0.0 0.0
100.0 0.05 81.0 5222000.0 65.0 0.0 -0.0 0.0 0.0 0.0 0.0
102.5 0.05 98.0 1624000.0 28.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 32.5314434268 1995000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
70.0 0.05 32.5314434268 140000.0 6.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 32.5314434268 1197000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 79.0 434000.0 3.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
85.0 0.05 57.0 1456000.0 17.0 -0.001 -0.0 0.00171 0.018 -0.0 0.0
87.5 0.05 35.0 798000.0 38.0 -0.045 -0.09 0.05106 0.54 -0.02 0.03
90.0 0.1 13.5 1757000.0 308.0 -0.374 -0.34 0.20422 2.162 -0.14 0.49
92.5 1.8 32.5314434268 847000.0 234.0 -0.845 -0.2 0.12834 1.358 -0.31 2.07
95.0 4.3 33.0 644000.0 62.0 -0.99 0.0 0.01467 0.155 -0.37 4.43
97.5 6.2 32.5314434268 70000.0 2.0 -1.0 0.03 0.00035 0.004 -0.39 6.92
100.0 8.9 32.5314434268 119000.0 10.0 -1.0 0.03 0.0 0.0 -0.4 9.42
105.0 12.95 32.5314434268 42000.0 1.0 -1.0 0.03 0.0 0.0 -0.42 14.42
107.5 16.2 33.0 35000.0 1.0 -1.0 0.03 0.0 0.0 -0.43 16.92
110.0 19.2 33.0 28000.0 1.0 -1.0 0.03 0.0 0.0 -0.44 19.42

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