CUMMINSIND Options

Date: 23Feb2017 Expiry date: 23Feb2017

Underlying Price: 882.25 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
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

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