GMRINFRA Options
Date: 25Jun2015 Expiry date: 25Jun2015
Underlying Price: 15.25 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
