GMRINFRA Options

Date: 25Jan2018 Expiry date: 25Jan2018

Underlying Price: 22.75 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
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

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