GMRINFRA Options

Date: 26Aug2010 Expiry date: 26Aug2010

Underlying Price: 59.9 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
55.0 4.0 29.6454987959 28000.0 3.0 1.0 -0.02 1e-05 0.0 0.22 4.92
60.0 0.05 5.5 996000.0 144.0 0.474 -0.23 0.35593 1.502 0.11 0.41
65.0 0.05 75.0 1200000.0 10.0 0.0 -0.0 3e-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
55.0 0.05 79.0 148000.0 1.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
60.0 0.15 7.0 88000.0 21.0 -0.526 -0.21 0.35593 1.502 -0.13 0.49

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