ASHOKLEY Options

Date: 25Feb2016 Expiry date: 25Feb2016

Underlying Price: 85.95 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
70.0 16.8 50.0 21000.0 6.0 1.0 -0.02 0.0 0.0 0.28 15.97
75.0 11.95 49.3046237183 28000.0 5.0 1.0 -0.02 1e-05 0.0 0.3 10.97
80.0 6.9 49.3046237183 357000.0 14.0 0.99 -0.06 0.0098 0.142 0.31 5.98
82.5 3.5 50.0 266000.0 2.0 0.91 -0.24 0.06062 0.876 0.3 3.59
85.0 0.9 49.3046237183 420000.0 37.0 0.649 -0.51 0.13893 2.008 0.21 1.62
87.5 0.05 21.0 3465000.0 1743.0 0.291 -0.46 0.12842 1.856 0.1 0.48
90.0 0.05 44.0 4606000.0 396.0 0.072 -0.19 0.05163 0.746 0.02 0.08
92.5 0.05 64.0 3934000.0 16.0 0.01 -0.03 0.00967 0.14 0.0 0.01
95.0 0.05 83.0 6356000.0 8.0 0.001 -0.0 0.0009 0.013 0.0 0.0
100.0 0.05 49.3046237183 3738000.0 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
75.0 0.05 49.3046237183 1246000.0 7.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
80.0 0.05 64.0 2387000.0 12.0 -0.01 -0.03 0.0098 0.142 -0.0 0.01
82.5 0.05 41.0 1323000.0 9.0 -0.09 -0.21 0.06062 0.876 -0.03 0.11
85.0 0.05 15.5 4893000.0 531.0 -0.351 -0.49 0.13893 2.008 -0.12 0.64
87.5 1.4 49.3046237183 665000.0 490.0 -0.709 -0.44 0.12842 1.856 -0.25 2.01
90.0 4.0 50.0 1085000.0 175.0 -0.928 -0.16 0.05163 0.746 -0.33 4.11
92.5 6.5 50.0 1078000.0 17.0 -0.99 -0.01 0.00967 0.14 -0.36 6.53
95.0 8.1 49.3046237183 224000.0 8.0 -0.999 0.02 0.0009 0.013 -0.38 9.02
100.0 13.6 50.0 14000.0 1.0 -1.0 0.03 0.0 0.0 -0.4 14.02

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