ASHOKLEY Options

Date: 24Sep2015 Expiry date: 24Sep2015

Underlying Price: 91.1 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
60.0 31.0 39.0 20000.0 3.0 1.0 -0.02 0.0 0.0 0.24 31.12
70.0 21.1 39.0 4000.0 5.0 1.0 -0.02 0.0 0.0 0.28 21.12
75.0 15.95 39.0 64000.0 11.0 1.0 -0.02 0.0 0.0 0.3 16.12
80.0 11.15 39.0 192000.0 48.0 1.0 -0.02 0.0 0.0 0.32 11.12
82.5 8.5 39.0 188000.0 22.0 1.0 -0.02 4e-05 0.0 0.33 8.62
85.0 6.05 39.0 460000.0 127.0 0.998 -0.03 0.00285 0.036 0.34 6.12
87.5 3.55 39.0 360000.0 138.0 0.954 -0.13 0.0436 0.553 0.33 3.67
90.0 1.0 38.5044151977 2616000.0 2266.0 0.7 -0.4 0.15737 1.996 0.25 1.55
92.5 0.05 18.5 3396000.0 3595.0 0.273 -0.37 0.15035 1.907 0.1 0.37
95.0 0.05 40.0 5160000.0 1032.0 0.044 -0.1 0.04223 0.536 0.02 0.04
97.5 0.05 59.0 1336000.0 9.0 0.003 -0.01 0.00384 0.049 0.0 0.0
100.0 0.05 77.0 5300000.0 9.0 0.0 -0.0 0.00012 0.002 0.0 0.0
110.0 0.05 38.5044151977 1528000.0 3.0 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 38.5044151977 788000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 38.5044151977 996000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.05 38.5044151977 228000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 38.5044151977 1568000.0 31.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 83.0 424000.0 6.0 -0.0 -0.0 4e-05 0.0 -0.0 0.0
85.0 0.05 62.0 2204000.0 86.0 -0.002 -0.01 0.00285 0.036 -0.0 0.0
87.5 0.05 40.0 1388000.0 386.0 -0.046 -0.11 0.0436 0.553 -0.02 0.04
90.0 0.05 16.0 2684000.0 1872.0 -0.3 -0.38 0.15737 1.996 -0.11 0.43
92.5 1.4 22.0 240000.0 119.0 -0.727 -0.35 0.15035 1.907 -0.27 1.74
95.0 3.85 39.0 96000.0 18.0 -0.956 -0.08 0.04223 0.536 -0.36 3.91
97.5 6.5 39.0 32000.0 1.0 -0.997 0.02 0.00384 0.049 -0.39 6.37
100.0 8.75 39.0 52000.0 9.0 -1.0 0.03 0.00012 0.002 -0.4 8.87
110.0 19.0 39.0 32000.0 16.0 -1.0 0.03 0.0 0.0 -0.44 18.87

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