ASHOKLEY Options

Date: 31Dec2015 Expiry date: 31Dec2015

Underlying Price: 87.9 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 18.55 24.0 21000.0 5.0 1.0 -0.02 0.0 0.0 0.28 17.92
75.0 13.5 24.0 49000.0 7.0 1.0 -0.02 0.0 0.0 0.3 12.92
80.0 8.55 23.3688025245 63000.0 12.0 1.0 -0.02 0.0 0.0 0.32 7.92
85.0 2.95 24.0 280000.0 23.0 0.989 -0.04 0.02163 0.155 0.33 2.93
87.5 0.4 23.3688025245 672000.0 101.0 0.632 -0.26 0.29142 2.088 0.22 0.75
90.0 0.05 26.0 6748000.0 1442.0 0.057 -0.08 0.08884 0.637 0.02 0.03
92.5 0.05 47.5 4326000.0 176.0 0.0 -0.0 0.00083 0.006 0.0 0.0
95.0 0.05 67.0 6608000.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
97.5 0.05 85.0 2282000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 23.3688025245 9128000.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
102.5 0.05 23.3688025245 2275000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 23.3688025245 3045000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
110.0 0.05 23.3688025245 5845000.0 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 23.3688025245 280000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 80.0 2009000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 58.0 1225000.0 1.0 -0.0 -0.0 3e-05 0.0 -0.0 0.0
85.0 0.05 35.0 2982000.0 14.0 -0.011 -0.02 0.02163 0.155 -0.0 0.0
87.5 0.05 8.75 1883000.0 310.0 -0.368 -0.23 0.29142 2.088 -0.13 0.33
90.0 2.1 24.0 1575000.0 438.0 -0.943 -0.05 0.08884 0.637 -0.34 2.11
92.5 4.6 24.0 714000.0 25.0 -1.0 0.02 0.00083 0.006 -0.37 4.57
95.0 6.95 24.0 644000.0 31.0 -1.0 0.03 0.0 0.0 -0.38 7.07
97.5 9.6 24.0 175000.0 10.0 -1.0 0.03 0.0 0.0 -0.39 9.57
100.0 12.25 24.0 168000.0 6.0 -1.0 0.03 0.0 0.0 -0.4 12.07
110.0 21.3 24.0 77000.0 1.0 -1.0 0.03 0.0 0.0 -0.44 22.07

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