ESCORTS Options

Date: 28May2020 Expiry date: 28May2020

Underlying Price: 890.65 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
420.0 268.25 43.0508011238 0.0 0.0 1.0 -0.12 0.0 0.0 1.67 470.77
440.0 249.7 43.0508011238 0.0 0.0 1.0 -0.12 0.0 0.0 1.75 450.77
460.0 296.4 43.0508011238 0.0 0.0 1.0 -0.13 0.0 0.0 1.82 430.78
480.0 277.8 43.0508011238 0.0 0.0 1.0 -0.13 0.0 0.0 1.9 410.78
500.0 288.75 43.0508011238 0.0 0.0 1.0 -0.14 0.0 0.0 1.98 390.79
520.0 370.4 44.0 1100.0 1.0 1.0 -0.14 0.0 0.0 2.06 370.79
540.0 288.45 43.0508011238 0.0 0.0 1.0 -0.15 0.0 0.0 2.14 350.8
560.0 270.1 43.0508011238 0.0 0.0 1.0 -0.16 0.0 0.0 2.22 330.81
580.0 252.1 43.0508011238 0.0 0.0 1.0 -0.16 0.0 0.0 2.3 310.81
600.0 295.0 44.0 4400.0 5.0 1.0 -0.17 0.0 0.0 2.38 290.82
620.0 135.0 43.0508011238 2200.0 0.0 1.0 -0.17 0.0 0.0 2.46 270.82
640.0 201.25 43.0508011238 0.0 0.0 1.0 -0.18 0.0 0.0 2.54 250.83
660.0 78.0 43.0508011238 5500.0 0.0 1.0 -0.18 0.0 0.0 2.62 230.83
680.0 215.45 44.0 9900.0 4.0 1.0 -0.19 0.0 0.0 2.7 210.84
700.0 192.9 44.0 36300.0 9.0 1.0 -0.19 0.0 0.0 2.78 190.84
720.0 173.55 44.0 25300.0 7.0 1.0 -0.2 0.0 0.0 2.86 170.85
740.0 145.0 44.0 20900.0 8.0 1.0 -0.21 0.0 0.0 2.94 150.86
760.0 131.7 44.0 27500.0 16.0 1.0 -0.21 0.0 0.0 3.02 130.86
780.0 110.45 44.0 16500.0 12.0 1.0 -0.22 0.0 0.0 3.09 110.87
800.0 81.15 43.0508011238 59400.0 65.0 1.0 -0.22 1e-05 0.008 3.17 90.87
820.0 71.25 44.0 42900.0 20.0 0.999 -0.27 0.00015 0.2 3.25 70.88
840.0 51.35 44.0 37400.0 31.0 0.985 -0.67 0.00153 2.067 3.28 51.01
860.0 31.65 44.0 33000.0 161.0 0.906 -2.24 0.00696 9.428 3.07 31.97
880.0 11.75 23.0 15400.0 447.0 0.68 -4.48 0.01481 20.07 2.34 15.99
900.0 0.3 12.25 62700.0 536.0 0.359 -4.6 0.01548 20.972 1.25 5.81
920.0 0.1 24.75 45100.0 204.0 0.121 -2.45 0.00831 11.268 0.42 1.42
940.0 0.05 35.0 26400.0 44.0 0.025 -0.71 0.0024 3.249 0.09 0.22
960.0 0.1 51.0 17600.0 18.0 0.003 -0.11 0.00039 0.523 0.01 0.02
980.0 0.05 58.0 5500.0 3.0 0.0 -0.01 4e-05 0.049 0.0 0.0
1000.0 0.05 69.0 55000.0 2.0 0.0 -0.0 0.0 0.003 0.0 0.0
1020.0 0.05 79.5 0.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1040.0 0.05 90.0 0.0 2.0 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
420.0 2.35 43.0508011238 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
440.0 3.6 43.0508011238 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
460.0 2.5 43.0508011238 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
480.0 3.65 43.0508011238 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
500.0 0.05 43.0508011238 49500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
520.0 0.4 43.0508011238 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
540.0 1.05 43.0508011238 1100.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
560.0 0.1 43.0508011238 2200.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
580.0 0.05 43.0508011238 5500.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
600.0 0.05 43.0508011238 44000.0 7.0 0.0 -0.0 0.0 0.0 -0.0 0.0
620.0 0.05 43.0508011238 9900.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
640.0 0.05 43.0508011238 50600.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
660.0 0.05 43.0508011238 27500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
680.0 0.05 43.0508011238 42900.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
700.0 0.1 43.0508011238 163900.0 43.0 0.0 -0.0 0.0 0.0 -0.0 0.0
720.0 0.1 43.0508011238 23100.0 18.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
740.0 0.05 43.0508011238 58300.0 29.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
760.0 0.1 43.0508011238 59400.0 30.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
780.0 0.05 79.0 41800.0 12.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
800.0 0.1 71.0 147400.0 129.0 -0.0 -0.0 1e-05 0.008 -0.0 0.0
820.0 0.1 56.0 59400.0 50.0 -0.001 -0.04 0.00015 0.2 -0.0 0.01
840.0 0.1 42.0 69300.0 102.0 -0.015 -0.44 0.00153 2.067 -0.05 0.13
860.0 0.1 27.0 56100.0 240.0 -0.094 -2.01 0.00696 9.428 -0.34 1.08
880.0 0.1 11.25 37400.0 119.0 -0.32 -4.24 0.01481 20.07 -1.15 5.1
900.0 7.9 43.0508011238 6600.0 14.0 -0.641 -4.35 0.01548 20.972 -2.32 14.91
920.0 58.75 43.0508011238 9900.0 0.0 -0.879 -2.2 0.00831 11.268 -3.23 30.51
940.0 48.55 44.0 4400.0 4.0 -0.975 -0.44 0.0024 3.249 -3.64 49.31
960.0 70.75 44.0 2200.0 2.0 -0.997 0.15 0.00039 0.523 -3.8 69.11
980.0 88.0 44.0 1100.0 1.0 -1.0 0.26 4e-05 0.049 -3.89 89.08
1000.0 198.5 43.0508011238 0.0 0.0 -1.0 0.28 0.0 0.003 -3.97 109.07
1020.0 214.6 43.0508011238 0.0 0.0 -1.0 0.28 0.0 0.0 -4.05 129.07
1040.0 231.1 43.0508011238 0.0 0.0 -1.0 0.29 0.0 0.0 -4.13 149.06

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