BAJFINANCE Options

Date: 31Mar2016 Expiry date: 31Mar2016

Underlying Price: 692.415 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
5700.0 1100.0 29.0650904498 375.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
5900.0 1014.95 29.0650904498 500.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
6000.0 885.3 29.0650904498 625.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
6100.0 700.0 29.0650904498 375.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
6200.0 565.0 29.0650904498 1250.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
6300.0 500.0 29.0650904498 250.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
6500.0 430.3 29.0650904498 4500.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
6600.0 249.0 29.0650904498 2250.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
6700.0 97.7 29.0650904498 1000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
6800.0 68.0 29.0650904498 11375.0 40.0 0.0 -0.0 0.0 0.0 0.0 0.0
6900.0 8.8 29.0650904498 9000.0 71.0 0.0 -0.0 0.0 0.0 0.0 0.0
7000.0 0.25 29.0650904498 19750.0 20.0 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
6300.0 1.0 29.0650904498 1375.0 1.0 -1.0 1.75 0.0 0.0 -24.99 5605.84
6500.0 0.45 29.0650904498 3125.0 5.0 -1.0 1.81 0.0 0.0 -25.79 5805.78
6700.0 0.55 29.0650904498 500.0 3.0 -1.0 1.86 0.0 0.0 -26.58 6005.72
6750.0 1.05 29.0650904498 125.0 1.0 -1.0 1.87 0.0 0.0 -26.78 6055.71
6800.0 1.25 29.0650904498 1750.0 8.0 -1.0 1.89 0.0 0.0 -26.98 6105.7
6900.0 0.35 29.0650904498 875.0 12.0 -1.0 1.92 0.0 0.0 -27.37 6205.67

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