ASHOKLEY Options

Date: 25Aug2016 Expiry date: 25Aug2016

Underlying Price: 86.55 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
75.0 14.05 26.035335483 7000.0 4.0 1.0 -0.02 0.0 0.0 0.3 11.57
80.0 9.0 26.035335483 0.0 1.0 1.0 -0.02 0.0 0.0 0.32 6.57
82.5 6.5 26.035335483 14000.0 2.0 0.998 -0.03 0.00365 0.028 0.33 4.07
85.0 1.6 27.0 378000.0 53.0 0.87 -0.17 0.14895 1.153 0.29 1.67
87.5 0.15 22.0 1323000.0 460.0 0.261 -0.24 0.22896 1.772 0.09 0.22
90.0 0.05 38.5 9121000.0 1469.0 0.009 -0.02 0.01743 0.135 0.0 0.0
92.5 0.05 59.0 3437000.0 253.0 0.0 -0.0 8e-05 0.001 0.0 0.0
95.0 0.05 78.0 6699000.0 42.0 0.0 -0.0 0.0 0.0 0.0 0.0
97.5 0.05 95.0 4179000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 26.035335483 20426000.0 19.0 0.0 -0.0 0.0 0.0 0.0 0.0
102.5 0.05 26.035335483 1715000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 26.035335483 4067000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
110.0 0.05 26.035335483 3339000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 26.035335483 462000.0 1.0 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
75.0 0.05 26.035335483 490000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.05 91.0 315000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 69.0 3304000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 46.0 1218000.0 2.0 -0.002 -0.0 0.00365 0.028 -0.0 0.0
85.0 0.05 22.0 3346000.0 14.0 -0.13 -0.15 0.14895 1.153 -0.04 0.09
87.5 0.8 26.035335483 1330000.0 668.0 -0.739 -0.21 0.22896 1.772 -0.26 1.15
90.0 3.6 27.0 1778000.0 228.0 -0.991 0.01 0.01743 0.135 -0.35 3.43
92.5 5.85 27.0 525000.0 26.0 -1.0 0.03 8e-05 0.001 -0.37 5.92
95.0 8.4 27.0 924000.0 85.0 -1.0 0.03 0.0 0.0 -0.38 8.42
97.5 11.25 27.0 189000.0 9.0 -1.0 0.03 0.0 0.0 -0.39 10.92
100.0 13.45 27.0 196000.0 40.0 -1.0 0.03 0.0 0.0 -0.4 13.42
102.5 14.65 26.035335483 35000.0 3.0 -1.0 0.03 0.0 0.0 -0.41 15.92
105.0 16.55 26.035335483 63000.0 12.0 -1.0 0.03 0.0 0.0 -0.42 18.42
107.5 19.3 26.035335483 28000.0 10.0 -1.0 0.03 0.0 0.0 -0.43 20.92
110.0 21.9 26.035335483 126000.0 26.0 -1.0 0.03 0.0 0.0 -0.44 23.42
117.5 28.9 26.035335483 0.0 1.0 -1.0 0.03 0.0 0.0 -0.47 30.92

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