GMRINFRA Options
Date: 25Jan2018 Expiry date: 25Jan2018
Underlying Price: 22.75 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 17.5 | 5.4 | 66.0 | 630000.0 | 13.0 | 1.0 | -0.0 | 0.0 | 0.0 | 0.07 | 5.25 |
| 20.0 | 2.85 | 66.0 | 2115000.0 | 24.0 | 0.999 | -0.01 | 0.00313 | 0.004 | 0.08 | 2.76 |
| 22.5 | 0.3 | 27.0 | 5490000.0 | 156.0 | 0.616 | -0.18 | 0.40488 | 0.548 | 0.05 | 0.52 |
| 25.0 | 0.05 | 65.860133096 | 18315000.0 | 70.0 | 0.012 | -0.02 | 0.03395 | 0.046 | 0.0 | 0.0 |
| 27.5 | 0.05 | 65.860133096 | 10215000.0 | 1.0 | 0.0 | -0.0 | 1e-05 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 17.5 | 0.05 | 65.860133096 | 4545000.0 | 2.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 20.0 | 0.05 | 65.860133096 | 5490000.0 | 3.0 | -0.001 | -0.0 | 0.00313 | 0.004 | -0.0 | 0.0 |
| 22.5 | 0.05 | 25.0 | 3645000.0 | 46.0 | -0.384 | -0.18 | 0.40488 | 0.548 | -0.04 | 0.26 |
| 25.0 | 2.2 | 66.0 | 3150000.0 | 10.0 | -0.988 | -0.01 | 0.03395 | 0.046 | -0.1 | 2.25 |
