GMRINFRA Options

Date: 25Jun2015 Expiry date: 25Jun2015

Underlying Price: 15.25 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
10.0 4.4 53.1479534668 311882.0 2.0 1.0 -0.0 0.0 0.0 0.04 5.25
12.5 2.8 54.0 1953849.0 68.0 1.0 -0.0 0.0 0.0 0.05 2.75
15.0 0.2 53.1479534668 6219294.0 1822.0 0.698 -0.09 0.6831 0.335 0.04 0.35
17.5 0.05 53.1479534668 4549808.0 3.0 0.0 -0.0 0.00019 0.0 0.0 0.0
20.0 0.05 53.1479534668 807224.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
22.5 0.05 53.1479534668 27519.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
25.0 0.05 53.1479534668 27519.0 1.0 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
15.0 0.05 38.0 898954.0 225.0 -0.302 -0.09 0.6831 0.335 -0.02 0.1
17.5 3.0 53.1479534668 91730.0 16.0 -1.0 0.0 0.00019 0.0 -0.07 2.25
20.0 5.65 53.1479534668 55038.0 15.0 -1.0 0.01 0.0 0.0 -0.08 4.74
22.5 8.25 53.1479534668 27519.0 1.0 -1.0 0.01 0.0 0.0 -0.09 7.24
25.0 11.1 53.1479534668 36692.0 2.0 -1.0 0.01 0.0 0.0 -0.1 9.74
27.5 13.0 53.1479534668 9173.0 1.0 -1.0 0.01 0.0 0.0 -0.11 12.24

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