CUMMINSIND Options
Date: 22Feb2018 Expiry date: 22Feb2018
Underlying Price: 816.95 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%
Click here to understand option greeks.Call Options
| Strike Price | Option Price | Implied Volatility | Open Interest | Number of Contracts | Delta | Theta | Gamma | Vega | Rho | Black Scholes Price |
|---|---|---|---|---|---|---|---|---|---|---|
| 840.0 | 0.1 | 22.0 | 1800.0 | 2.0 | 0.115 | -1.83 | 0.01045 | 9.986 | 0.37 | 1.03 |
| 860.0 | 0.05 | 34.0 | 4800.0 | 2.0 | 0.013 | -0.31 | 0.00176 | 1.685 | 0.04 | 0.08 |
| 880.0 | 0.1 | 51.0 | 1800.0 | 2.0 | 0.001 | -0.02 | 0.00011 | 0.105 | 0.0 | 0.0 |
| 900.0 | 0.05 | 59.5 | 7800.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.003 | 0.0 | 0.0 |
| 920.0 | 0.1 | 77.0 | 6600.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1000.0 | 0.5 | 36.0757129756 | 4800.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 800.0 | 0.1 | 17.75 | 600.0 | 1.0 | -0.172 | -2.33 | 0.01374 | 13.124 | -0.56 | 1.73 |
| 880.0 | 62.0 | 37.0 | 3000.0 | 1.0 | -0.999 | 0.23 | 0.00011 | 0.105 | -3.49 | 62.81 |
| 900.0 | 80.5 | 37.0 | 9600.0 | 2.0 | -1.0 | 0.25 | 0.0 | 0.003 | -3.57 | 82.8 |
| 1000.0 | 178.0 | 37.0 | 0.0 | 1.0 | -1.0 | 0.28 | 0.0 | 0.0 | -3.97 | 182.77 |
| 1020.0 | 197.0 | 37.0 | 0.0 | 1.0 | -1.0 | 0.28 | 0.0 | 0.0 | -4.05 | 202.77 |
