CHOLAFIN Options

Date: 26Nov2020 Expiry date: 26Nov2020

Underlying Price: 360.2 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
170.0 81.8 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.67 190.25
175.0 78.2 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.69 185.25
180.0 74.7 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.71 180.25
185.0 71.3 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.73 175.25
190.0 68.0 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.75 170.25
195.0 64.85 45.330971374 0.0 0.0 1.0 -0.05 0.0 0.0 0.77 165.25
200.0 61.85 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.79 160.26
205.0 58.9 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.81 155.26
210.0 56.1 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.83 150.26
215.0 53.4 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.85 145.26
220.0 50.8 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.87 140.26
225.0 48.3 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.89 135.26
230.0 45.95 45.330971374 0.0 0.0 1.0 -0.06 0.0 0.0 0.91 130.26
235.0 43.65 45.330971374 0.0 0.0 1.0 -0.07 0.0 0.0 0.93 125.27
240.0 45.0 45.330971374 5000.0 0.0 1.0 -0.07 0.0 0.0 0.95 120.27
245.0 86.0 45.330971374 7500.0 0.0 1.0 -0.07 0.0 0.0 0.97 115.27
250.0 102.7 45.330971374 35000.0 5.0 1.0 -0.07 0.0 0.0 0.99 110.27
255.0 99.0 45.330971374 5000.0 2.0 1.0 -0.07 0.0 0.0 1.01 105.27
260.0 102.0 46.0 67500.0 3.0 1.0 -0.07 0.0 0.0 1.03 100.27
265.0 107.9 45.330971374 10000.0 1.0 1.0 -0.07 0.0 0.0 1.05 95.27
270.0 92.0 46.0 75000.0 2.0 1.0 -0.07 0.0 0.0 1.07 90.27
275.0 31.05 45.330971374 15000.0 0.0 1.0 -0.08 0.0 0.0 1.09 85.28
280.0 80.7 46.0 127500.0 21.0 1.0 -0.08 0.0 0.0 1.11 80.28
285.0 32.35 45.330971374 20000.0 0.0 1.0 -0.08 0.0 0.0 1.13 75.28
290.0 70.9 46.0 95000.0 27.0 1.0 -0.08 0.0 0.0 1.15 70.28
300.0 61.3 46.0 260000.0 91.0 1.0 -0.08 0.0 0.0 1.19 60.28
310.0 51.55 46.0 105000.0 22.0 1.0 -0.09 0.0 0.0 1.23 50.29
320.0 39.9 46.0 155000.0 16.0 1.0 -0.09 1e-05 0.002 1.27 40.29
330.0 31.0 46.0 127500.0 14.0 0.999 -0.11 0.00033 0.076 1.31 30.29
340.0 20.75 46.0 70000.0 47.0 0.98 -0.35 0.00479 1.118 1.32 20.37
350.0 10.9 46.0 70000.0 63.0 0.848 -1.29 0.02282 5.327 1.17 11.12
360.0 1.25 12.0 80000.0 154.0 0.517 -2.1 0.03875 9.045 0.72 4.25
370.0 0.05 21.75 55000.0 69.0 0.18 -1.37 0.0255 5.951 0.25 0.99
380.0 0.05 39.0 40000.0 10.0 0.032 -0.37 0.00701 1.636 0.05 0.13
390.0 0.05 55.0 2500.0 1.0 0.003 -0.05 0.00086 0.201 0.0 0.01
400.0 2.05 45.330971374 0.0 0.0 0.0 -0.0 5e-05 0.012 0.0 0.0
410.0 1.85 45.330971374 0.0 0.0 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
170.0 9.1 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
175.0 10.4 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
180.0 1.0 45.330971374 2500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
185.0 13.4 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
190.0 15.1 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
195.0 16.9 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
200.0 18.8 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
205.0 20.8 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
210.0 0.05 45.330971374 25000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
215.0 25.2 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
220.0 27.55 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
225.0 0.1 45.330971374 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
230.0 0.05 45.330971374 35000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
235.0 0.15 45.330971374 2500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
240.0 0.1 45.330971374 120000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
245.0 0.1 45.330971374 45000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
250.0 0.05 45.330971374 185000.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
255.0 0.25 45.330971374 12500.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
260.0 0.05 45.330971374 165000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
265.0 0.05 45.330971374 30000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
270.0 0.05 45.330971374 377500.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
275.0 0.05 45.330971374 60000.0 7.0 0.0 -0.0 0.0 0.0 -0.0 0.0
280.0 0.1 45.330971374 142500.0 27.0 0.0 -0.0 0.0 0.0 -0.0 0.0
285.0 0.1 45.330971374 20000.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
290.0 0.1 45.330971374 185000.0 39.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
300.0 0.05 45.330971374 440000.0 135.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
310.0 0.05 98.0 182500.0 46.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
320.0 0.05 79.0 190000.0 31.0 -0.0 -0.0 1e-05 0.002 -0.0 0.0
330.0 0.05 61.0 227500.0 69.0 -0.001 -0.02 0.00033 0.076 -0.0 0.0
340.0 0.1 47.0 152500.0 112.0 -0.02 -0.25 0.00479 1.118 -0.03 0.08
350.0 0.3 34.0 80000.0 86.0 -0.152 -1.19 0.02282 5.327 -0.22 0.82
360.0 0.25 4.25 60000.0 32.0 -0.483 -2.0 0.03875 9.045 -0.71 3.95
370.0 97.85 45.330971374 0.0 0.0 -0.82 -1.26 0.0255 5.951 -1.21 10.69
380.0 89.3 45.330971374 0.0 0.0 -0.968 -0.27 0.00701 1.636 -1.46 19.82
390.0 98.5 45.330971374 0.0 0.0 -0.997 0.06 0.00086 0.201 -1.54 29.7
400.0 104.6 45.330971374 0.0 0.0 -1.0 0.11 5e-05 0.012 -1.59 39.69
410.0 104.9 45.330971374 0.0 0.0 -1.0 0.11 0.0 0.0 -1.63 49.69

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