ASHOKLEY Options

Date: 24Jan2020 Expiry date: 27Feb2020

Underlying Price: 86.5 Trading Days to Expiry: 25.0 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
57.5 29.6 27.0 80000.0 2.0 1.0 -0.02 0.0 0.0 5.66 29.4
60.0 23.05 26.4785460326 0.0 0.0 1.0 -0.02 0.0 0.0 5.91 26.92
62.5 20.95 26.4785460326 0.0 0.0 1.0 -0.02 2e-05 0.003 6.16 24.43
65.0 18.9 26.4785460326 0.0 0.0 1.0 -0.02 0.0001 0.02 6.4 21.95
67.5 16.95 26.4785460326 0.0 0.0 0.999 -0.02 0.00045 0.089 6.64 19.47
70.0 15.15 26.4785460326 0.0 0.0 0.996 -0.02 0.0016 0.314 6.86 16.99
72.5 13.45 26.4785460326 0.0 0.0 0.988 -0.02 0.00448 0.881 7.03 14.53
75.0 11.9 27.0 0.0 0.0 0.967 -0.03 0.01026 2.017 7.09 12.12
77.5 10.2 27.0 48000.0 0.0 0.925 -0.04 0.01955 3.842 6.97 9.79
80.0 8.8 37.0 216000.0 0.0 0.856 -0.05 0.03148 6.188 6.59 7.61
82.5 7.4 42.0 88000.0 4.0 0.756 -0.06 0.04351 8.552 5.92 5.66
85.0 5.4 38.0 600000.0 18.0 0.631 -0.07 0.0523 10.279 5.02 4.01
87.5 4.1 38.0 176000.0 23.0 0.495 -0.07 0.0553 10.87 3.98 2.69
90.0 3.15 39.0 1432000.0 94.0 0.363 -0.06 0.05201 10.223 2.94 1.71
92.5 2.3 39.0 128000.0 8.0 0.249 -0.05 0.04392 8.632 2.03 1.02
95.0 1.7 40.0 520000.0 32.0 0.159 -0.04 0.03358 6.6 1.31 0.58
97.5 1.35 42.0 112000.0 5.0 0.095 -0.03 0.02344 4.607 0.78 0.31
100.0 0.95 42.0 928000.0 90.0 0.053 -0.02 0.01504 2.955 0.44 0.16
102.5 0.8 44.0 8000.0 2.0 0.028 -0.01 0.00892 1.754 0.23 0.08
105.0 0.6 45.0 8000.0 1.0 0.014 -0.01 0.00493 0.969 0.12 0.03

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
57.5 0.5 85.0 0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.75 86.0 0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
62.5 1.1 86.0 0.0 0.0 -0.0 -0.0 2e-05 0.003 -0.0 0.0
65.0 0.4 61.0 8000.0 1.0 -0.0 -0.0 0.0001 0.02 -0.0 0.0
67.5 2.05 87.0 0.0 0.0 -0.001 -0.0 0.00045 0.089 -0.01 0.0
70.0 0.5 51.0 72000.0 4.0 -0.004 -0.0 0.0016 0.314 -0.03 0.01
72.5 0.45 43.0 56000.0 6.0 -0.012 -0.0 0.00448 0.881 -0.11 0.03
75.0 0.75 43.0 408000.0 8.0 -0.033 -0.01 0.01026 2.017 -0.29 0.1
77.5 1.0 40.0 152000.0 14.0 -0.075 -0.02 0.01955 3.842 -0.66 0.25
80.0 1.7 41.0 672000.0 57.0 -0.144 -0.03 0.03148 6.188 -1.29 0.55
82.5 2.4 40.0 280000.0 23.0 -0.244 -0.04 0.04351 8.552 -2.2 1.09
85.0 3.4 40.0 400000.0 22.0 -0.369 -0.05 0.0523 10.279 -3.36 1.92
87.5 4.4 37.0 120000.0 15.0 -0.505 -0.04 0.0553 10.87 -4.64 3.09
90.0 6.25 40.0 328000.0 5.0 -0.637 -0.04 0.05201 10.223 -5.92 4.59
92.5 14.1 95.0 0.0 0.0 -0.751 -0.03 0.04392 8.632 -7.08 6.38
95.0 15.95 96.0 0.0 0.0 -0.841 -0.01 0.03358 6.6 -8.05 8.42
97.5 17.85 97.0 0.0 0.0 -0.905 0.0 0.02344 4.607 -8.82 10.64
100.0 19.85 98.0 0.0 0.0 -0.947 0.01 0.01504 2.955 -9.41 12.97
102.5 21.9 99.0 0.0 0.0 -0.972 0.02 0.00892 1.754 -9.86 15.37
105.0 17.6 27.0 16000.0 2.0 -0.986 0.02 0.00493 0.969 -10.23 17.81

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