ASHOKLEY Options

Date: 30Apr2015 Expiry date: 30Apr2015

Underlying Price: 69.6 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
50.0 19.8 37.0 8000.0 1.0 1.0 -0.01 0.0 0.0 0.2 19.61
55.0 14.7 37.0 72000.0 10.0 1.0 -0.02 0.0 0.0 0.22 14.62
60.0 9.9 37.0 32000.0 9.0 1.0 -0.02 0.0 0.0 0.24 9.62
65.0 4.6 37.0 1832000.0 17.0 0.999 -0.02 0.00272 0.019 0.26 4.62
67.5 2.05 31.0 1808000.0 180.0 0.913 -0.14 0.09916 0.694 0.24 2.18
70.0 0.1 14.0 4992000.0 1967.0 0.41 -0.32 0.2438 1.705 0.11 0.47
72.5 0.05 42.0 4968000.0 146.0 0.039 -0.07 0.05338 0.373 0.01 0.03
75.0 0.05 67.0 6824000.0 16.0 0.001 -0.0 0.00133 0.009 0.0 0.0
77.5 0.05 91.0 4120000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 36.383345138 8952000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 36.383345138 2888000.0 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
50.0 0.05 36.383345138 328000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
55.0 0.05 36.383345138 312000.0 9.0 0.0 -0.0 0.0 0.0 -0.0 0.0
62.5 0.05 93.0 1432000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
65.0 0.05 64.0 4152000.0 106.0 -0.001 -0.0 0.00272 0.019 -0.0 0.0
67.5 0.05 34.0 2896000.0 910.0 -0.087 -0.12 0.09916 0.694 -0.02 0.06
70.0 0.45 13.0 2448000.0 360.0 -0.59 -0.3 0.2438 1.705 -0.17 0.85
72.5 3.1 45.0 816000.0 33.0 -0.961 -0.05 0.05338 0.373 -0.28 2.9
75.0 5.25 37.0 448000.0 23.0 -0.999 0.02 0.00133 0.009 -0.3 5.38
77.5 7.6 37.0 128000.0 6.0 -1.0 0.02 0.0 0.0 -0.31 7.88
80.0 10.55 37.0 24000.0 6.0 -1.0 0.02 0.0 0.0 -0.32 10.38

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