CUMMINSIND Options
Date: 23Feb2017 Expiry date: 23Feb2017
Underlying Price: 882.25 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 880.0 | 9.9 | 37.0 | 17400.0 | 2.0 | 0.568 | -3.17 | 0.02547 | 21.855 | 1.96 | 7.48 |
| 900.0 | 0.15 | 17.5 | 25200.0 | 37.0 | 0.133 | -1.69 | 0.0139 | 11.928 | 0.46 | 1.02 |
| 920.0 | 0.2 | 34.0 | 10200.0 | 12.0 | 0.009 | -0.19 | 0.00156 | 1.339 | 0.03 | 0.05 |
| 940.0 | 0.1 | 44.0 | 21600.0 | 2.0 | 0.0 | -0.0 | 4e-05 | 0.034 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 840.0 | 0.1 | 36.0 | 1200.0 | 1.0 | -0.002 | -0.06 | 0.00047 | 0.406 | -0.01 | 0.01 |
| 860.0 | 0.15 | 22.0 | 4800.0 | 1.0 | -0.069 | -1.01 | 0.00859 | 7.371 | -0.24 | 0.47 |
| 880.0 | 1.05 | 9.5 | 6600.0 | 21.0 | -0.432 | -2.93 | 0.02547 | 21.855 | -1.53 | 4.98 |
| 900.0 | 17.1 | 22.0 | 8400.0 | 6.0 | -0.867 | -1.44 | 0.0139 | 11.928 | -3.11 | 18.52 |
| 920.0 | 28.0 | 27.7807398688 | 3600.0 | 1.0 | -0.991 | 0.07 | 0.00156 | 1.339 | -3.62 | 37.54 |
