BAJFINANCE Options

Date: 24Nov2016 Expiry date: 24Nov2016

Underlying Price: 820.7 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
800.0 29.0 73.0 23750.0 11.0 0.762 -4.89 0.01014 15.998 2.38 25.27
850.0 0.1 26.75 127500.0 162.0 0.18 -4.04 0.00858 13.545 0.57 2.92
900.0 0.1 62.0 165000.0 86.0 0.007 -0.3 0.00064 1.015 0.02 0.07
930.0 0.1 80.0 22500.0 6.0 0.0 -0.02 5e-05 0.079 0.0 0.0
935.0 0.05 77.0 2500.0 1.0 0.0 -0.01 3e-05 0.048 0.0 0.0
950.0 0.05 86.0 321250.0 106.0 0.0 -0.0 1e-05 0.01 0.0 0.0
960.0 0.05 91.0 15000.0 6.0 0.0 -0.0 0.0 0.003 0.0 0.0
965.0 0.05 94.0 1250.0 1.0 0.0 -0.0 0.0 0.002 0.0 0.0
970.0 0.05 97.0 25000.0 2.0 0.0 -0.0 0.0 0.001 0.0 0.0
980.0 0.05 59.0338359891 33750.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
990.0 0.05 59.0338359891 6250.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1000.0 0.05 59.0338359891 873750.0 165.0 0.0 -0.0 0.0 0.0 0.0 0.0
1005.0 0.05 59.0338359891 11250.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1020.0 0.05 59.0338359891 25000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1030.0 0.05 59.0338359891 21250.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1035.0 0.1 59.0338359891 16250.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1040.0 0.05 59.0338359891 27500.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1050.0 0.05 59.0338359891 172500.0 45.0 0.0 -0.0 0.0 0.0 0.0 0.0
1060.0 0.05 59.0338359891 12500.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1100.0 0.05 59.0338359891 107500.0 19.0 0.0 -0.0 0.0 0.0 0.0 0.0
1150.0 0.05 59.0338359891 111250.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1160.0 0.05 59.0338359891 27500.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1180.0 0.05 59.0338359891 3750.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1200.0 0.05 59.0338359891 93750.0 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
700.0 0.05 94.0 38750.0 5.0 -0.0 -0.0 0.0 0.002 -0.0 0.0
750.0 0.15 65.0 22500.0 5.0 -0.007 -0.3 0.00065 1.03 -0.02 0.07
800.0 0.35 26.5 126250.0 120.0 -0.238 -4.67 0.01014 15.998 -0.79 4.35
850.0 32.45 60.0 48750.0 42.0 -0.82 -3.8 0.00858 13.545 -2.8 31.98
900.0 88.65 59.0338359891 36250.0 11.0 -0.993 -0.05 0.00064 1.015 -3.55 79.12
930.0 85.0 59.0338359891 10000.0 1.0 -1.0 0.23 5e-05 0.079 -3.69 109.05
940.0 101.0 59.0338359891 10000.0 1.0 -1.0 0.25 2e-05 0.029 -3.73 119.04
950.0 132.7 60.0 17500.0 3.0 -1.0 0.26 1e-05 0.01 -3.77 129.04
960.0 132.6 60.0 5000.0 1.0 -1.0 0.27 0.0 0.003 -3.81 139.03
980.0 161.6 60.0 11250.0 1.0 -1.0 0.27 0.0 0.0 -3.89 159.03
990.0 157.15 59.0338359891 5000.0 2.0 -1.0 0.27 0.0 0.0 -3.93 169.03
1000.0 170.0 59.0338359891 33750.0 10.0 -1.0 0.28 0.0 0.0 -3.97 179.02
1020.0 199.15 60.0 11250.0 4.0 -1.0 0.28 0.0 0.0 -4.05 199.02
1035.0 213.25 60.0 2500.0 2.0 -1.0 0.29 0.0 0.0 -4.11 214.01
1050.0 217.0 37.0 13750.0 7.0 -1.0 0.29 0.0 0.0 -4.17 229.01
1060.0 227.0 4.0 3750.0 1.0 -1.0 0.29 0.0 0.0 -4.21 239.01
1140.0 318.7 60.0 3750.0 2.0 -1.0 0.32 0.0 0.0 -4.52 318.98
1150.0 330.35 60.0 3750.0 2.0 -1.0 0.32 0.0 0.0 -4.56 328.98

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