CIPLA Options

Date: 25Jun2020 Expiry date: 25Jun2020

Underlying Price: 634.9 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
270.0 126.1 27.8432699475 0.0 0.0 1.0 -0.07 0.0 0.0 1.07 364.97
280.0 117.9 27.8432699475 0.0 0.0 1.0 -0.08 0.0 0.0 1.11 354.98
290.0 109.95 27.8432699475 0.0 0.0 1.0 -0.08 0.0 0.0 1.15 344.98
300.0 102.35 27.8432699475 0.0 0.0 1.0 -0.08 0.0 0.0 1.19 334.98
310.0 95.05 27.8432699475 0.0 0.0 1.0 -0.09 0.0 0.0 1.23 324.99
320.0 88.1 27.8432699475 0.0 0.0 1.0 -0.09 0.0 0.0 1.27 314.99
330.0 81.5 27.8432699475 0.0 0.0 1.0 -0.09 0.0 0.0 1.31 304.99
340.0 75.25 27.8432699475 0.0 0.0 1.0 -0.09 0.0 0.0 1.35 294.99
350.0 69.35 27.8432699475 0.0 0.0 1.0 -0.1 0.0 0.0 1.39 285.0
360.0 63.8 27.8432699475 0.0 0.0 1.0 -0.1 0.0 0.0 1.43 275.0
370.0 58.6 27.8432699475 0.0 0.0 1.0 -0.1 0.0 0.0 1.47 265.0
380.0 53.75 27.8432699475 0.0 0.0 1.0 -0.11 0.0 0.0 1.51 255.01
390.0 49.2 27.8432699475 0.0 0.0 1.0 -0.11 0.0 0.0 1.55 245.01
400.0 44.95 27.8432699475 0.0 0.0 1.0 -0.11 0.0 0.0 1.59 235.01
410.0 41.05 27.8432699475 0.0 0.0 1.0 -0.11 0.0 0.0 1.63 225.01
420.0 37.45 27.8432699475 0.0 0.0 1.0 -0.12 0.0 0.0 1.67 215.02
430.0 34.1 27.8432699475 0.0 0.0 1.0 -0.12 0.0 0.0 1.71 205.02
440.0 31.0 27.8432699475 0.0 0.0 1.0 -0.12 0.0 0.0 1.75 195.02
450.0 28.15 27.8432699475 0.0 0.0 1.0 -0.12 0.0 0.0 1.79 185.02
460.0 25.6 27.8432699475 0.0 0.0 1.0 -0.13 0.0 0.0 1.82 175.03
470.0 23.2 27.8432699475 0.0 0.0 1.0 -0.13 0.0 0.0 1.86 165.03
480.0 21.0 27.8432699475 0.0 0.0 1.0 -0.13 0.0 0.0 1.9 155.03
490.0 19.05 27.8432699475 0.0 0.0 1.0 -0.14 0.0 0.0 1.94 145.04
500.0 160.0 69.0 0.0 0.0 1.0 -0.14 0.0 0.0 1.98 135.04
510.0 15.55 27.8432699475 0.0 0.0 1.0 -0.14 0.0 0.0 2.02 125.04
520.0 122.0 27.8432699475 1150.0 0.0 1.0 -0.14 0.0 0.0 2.06 115.04
530.0 12.65 27.8432699475 0.0 0.0 1.0 -0.15 0.0 0.0 2.1 105.05
540.0 11.45 27.8432699475 0.0 0.0 1.0 -0.15 0.0 0.0 2.14 95.05
550.0 10.3 27.8432699475 0.0 0.0 1.0 -0.15 0.0 0.0 2.18 85.05
560.0 90.0 27.8432699475 1150.0 0.0 1.0 -0.16 0.0 0.0 2.22 75.06
570.0 8.35 27.8432699475 0.0 0.0 1.0 -0.16 0.0 0.0 2.26 65.06
580.0 50.0 27.8432699475 8050.0 1.0 1.0 -0.16 0.0 0.0 2.3 55.06
590.0 45.0 28.0 8050.0 1.0 1.0 -0.16 1e-05 0.002 2.34 45.06
600.0 38.55 75.0 11500.0 23.0 0.999 -0.18 0.00018 0.082 2.38 35.07
610.0 23.5 27.8432699475 4600.0 2.0 0.989 -0.32 0.00251 1.118 2.39 25.11
620.0 17.95 46.0 49450.0 25.0 0.916 -1.02 0.01385 6.17 2.25 15.5
630.0 8.7 34.0 8050.0 60.0 0.68 -2.11 0.03214 14.314 1.68 7.42
640.0 0.25 10.5 102350.0 331.0 0.333 -2.08 0.03264 14.539 0.83 2.42
650.0 0.05 17.75 126500.0 236.0 0.094 -0.95 0.01508 6.717 0.24 0.49
660.0 0.05 27.5 188600.0 312.0 0.014 -0.21 0.00329 1.463 0.04 0.06
670.0 0.05 36.5 193200.0 128.0 0.001 -0.02 0.00035 0.156 0.0 0.0
680.0 0.05 45.0 617550.0 151.0 0.0 -0.0 2e-05 0.008 0.0 0.0
690.0 0.05 53.5 178250.0 23.0 0.0 -0.0 0.0 0.0 0.0 0.0
700.0 0.05 61.5 702650.0 215.0 0.0 -0.0 0.0 0.0 0.0 0.0
710.0 0.05 69.0 465750.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
720.0 0.1 83.0 90850.0 50.0 0.0 -0.0 0.0 0.0 0.0 0.0
730.0 0.1 91.0 65550.0 19.0 0.0 -0.0 0.0 0.0 0.0 0.0
740.0 0.05 92.0 101200.0 58.0 0.0 -0.0 0.0 0.0 0.0 0.0
750.0 0.05 99.0 223100.0 38.0 0.0 -0.0 0.0 0.0 0.0 0.0
760.0 0.05 27.8432699475 65550.0 21.0 0.0 -0.0 0.0 0.0 0.0 0.0
770.0 0.05 27.8432699475 50600.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
780.0 0.05 27.8432699475 134550.0 28.0 0.0 -0.0 0.0 0.0 0.0 0.0
790.0 25.4 27.8432699475 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
270.0 5.8 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
280.0 7.4 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
290.0 9.35 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
300.0 11.6 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
310.0 14.15 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
320.0 17.05 27.8432699475 0.0 0.0 0.0 0.0 0.0 0.0 -0.0 0.0
330.0 0.05 27.8432699475 4600.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
340.0 23.85 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
350.0 27.8 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
360.0 32.1 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
370.0 36.75 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
380.0 41.75 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
390.0 47.05 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
400.0 0.9 27.8432699475 1150.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
410.0 0.05 27.8432699475 1150.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
420.0 64.8 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
430.0 71.3 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
440.0 78.1 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
450.0 85.1 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
460.0 92.35 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
470.0 99.8 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
480.0 0.05 27.8432699475 8050.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
490.0 115.35 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
500.0 0.05 27.8432699475 16100.0 15.0 0.0 -0.0 0.0 0.0 -0.0 0.0
510.0 7.55 27.8432699475 1150.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
520.0 139.9 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
530.0 148.35 27.8432699475 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
540.0 0.05 98.0 26450.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
550.0 0.05 88.0 37950.0 11.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
560.0 0.05 78.0 23000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
570.0 0.2 82.0 3450.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
580.0 0.05 58.5 83950.0 22.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
590.0 0.05 48.5 31050.0 9.0 -0.0 -0.0 1e-05 0.002 -0.0 0.0
600.0 0.05 38.5 171350.0 81.0 -0.001 -0.01 0.00018 0.082 -0.0 0.0
610.0 0.2 35.5 29900.0 11.0 -0.011 -0.15 0.00251 1.118 -0.03 0.04
620.0 0.1 20.5 81650.0 208.0 -0.084 -0.84 0.01385 6.17 -0.21 0.43
630.0 1.5 22.0 27600.0 211.0 -0.32 -1.94 0.03214 14.314 -0.82 2.34
640.0 2.5 27.8432699475 42550.0 216.0 -0.667 -1.9 0.03264 14.539 -1.71 7.35
650.0 10.7 27.8432699475 37950.0 54.0 -0.906 -0.77 0.01508 6.717 -2.34 15.41
660.0 21.25 27.8432699475 60950.0 21.0 -0.986 -0.02 0.00329 1.463 -2.58 24.97
670.0 38.95 77.0 21850.0 6.0 -0.999 0.16 0.00035 0.156 -2.66 34.92
680.0 43.25 28.0 42550.0 5.0 -1.0 0.19 2e-05 0.008 -2.7 44.91
690.0 34.0 27.8432699475 2300.0 0.0 -1.0 0.19 0.0 0.0 -2.74 54.91
700.0 63.75 28.0 8050.0 2.0 -1.0 0.19 0.0 0.0 -2.78 64.91
710.0 53.65 27.8432699475 1150.0 0.0 -1.0 0.2 0.0 0.0 -2.82 74.9
720.0 76.5 27.8432699475 8050.0 0.0 -1.0 0.2 0.0 0.0 -2.86 84.9
730.0 96.0 28.0 1150.0 1.0 -1.0 0.2 0.0 0.0 -2.9 94.9
740.0 192.4 79.5 0.0 0.0 -1.0 0.21 0.0 0.0 -2.94 104.89
750.0 200.3 27.8432699475 0.0 0.0 -1.0 0.21 0.0 0.0 -2.98 114.89
760.0 208.25 83.0 0.0 0.0 -1.0 0.21 0.0 0.0 -3.02 124.89
770.0 221.25 27.8432699475 0.0 0.0 -1.0 0.21 0.0 0.0 -3.05 134.89
780.0 217.85 27.8432699475 0.0 0.0 -1.0 0.22 0.0 0.0 -3.09 144.88
790.0 200.0 27.8432699475 0.0 0.0 -1.0 0.22 0.0 0.0 -3.13 154.88

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