GMRINFRA Options

Date: 27Feb2020 Expiry date: 27Feb2020

Underlying Price: 22.8 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
12.0 10.15 53.9843972168 0.0 0.0 1.0 -0.0 0.0 0.0 0.05 10.8
13.0 9.15 53.9843972168 0.0 0.0 1.0 -0.0 0.0 0.0 0.05 9.8
14.0 8.2 53.9843972168 0.0 0.0 1.0 -0.0 0.0 0.0 0.06 8.8
15.0 7.9 54.0 90000.0 2.0 1.0 -0.0 0.0 0.0 0.06 7.8
16.0 6.35 53.9843972168 0.0 0.0 1.0 -0.0 0.0 0.0 0.06 6.8
17.0 5.45 53.9843972168 0.0 0.0 1.0 -0.0 0.0 0.0 0.07 5.8
18.0 6.65 53.9843972168 45000.0 0.0 1.0 -0.0 0.0 0.0 0.07 4.8
19.0 5.85 53.9843972168 0.0 0.0 1.0 -0.01 0.0 0.0 0.08 3.81
20.0 4.5 53.9843972168 135000.0 0.0 1.0 -0.01 0.00028 0.0 0.08 2.81
21.0 2.75 53.9843972168 225000.0 2.0 0.993 -0.01 0.026 0.029 0.08 1.81
22.0 1.0 77.0 720000.0 7.0 0.859 -0.09 0.2886 0.321 0.07 0.86
23.0 0.1 32.0 945000.0 31.0 0.408 -0.15 0.50098 0.558 0.04 0.22
24.0 0.05 65.0 3060000.0 112.0 0.069 -0.05 0.17132 0.191 0.01 0.02
25.0 0.05 53.9843972168 3735000.0 29.0 0.004 -0.0 0.01405 0.016 0.0 0.0
26.0 0.05 53.9843972168 3780000.0 1.0 0.0 -0.0 0.00033 0.0 0.0 0.0
27.0 0.05 53.9843972168 3375000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
28.0 0.05 53.9843972168 4275000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
29.0 0.05 53.9843972168 6840000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
30.0 0.3 53.9843972168 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
31.0 0.2 53.9843972168 0.0 0.0 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
12.0 0.05 53.9843972168 405000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
13.0 0.5 53.9843972168 45000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
14.0 0.05 53.9843972168 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
15.0 0.05 53.9843972168 90000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
16.0 0.05 53.9843972168 90000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
17.0 0.05 53.9843972168 45000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
18.0 0.05 53.9843972168 1035000.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
19.0 0.05 53.9843972168 1350000.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
20.0 0.05 53.9843972168 3555000.0 0.0 -0.0 -0.0 0.00028 0.0 -0.0 0.0
21.0 0.05 94.0 2520000.0 0.0 -0.007 -0.01 0.026 0.029 -0.0 0.0
22.0 0.05 52.0 2790000.0 2.0 -0.141 -0.09 0.2886 0.321 -0.01 0.06
23.0 0.15 53.9843972168 945000.0 125.0 -0.592 -0.15 0.50098 0.558 -0.06 0.42
24.0 0.95 53.9843972168 810000.0 42.0 -0.931 -0.05 0.17132 0.191 -0.09 1.22
25.0 2.15 54.0 1080000.0 28.0 -0.996 0.0 0.01405 0.016 -0.1 2.19
26.0 3.0 53.9843972168 945000.0 13.0 -1.0 0.01 0.00033 0.0 -0.1 3.19
27.0 4.25 54.0 270000.0 2.0 -1.0 0.01 0.0 0.0 -0.11 4.19
28.0 2.85 53.9843972168 45000.0 0.0 -1.0 0.01 0.0 0.0 -0.11 5.19
29.0 7.0 53.9843972168 0.0 0.0 -1.0 0.01 0.0 0.0 -0.12 6.19
30.0 7.9 53.9843972168 0.0 0.0 -1.0 0.01 0.0 0.0 -0.12 7.19
31.0 8.8 53.9843972168 0.0 0.0 -1.0 0.01 0.0 0.0 -0.12 8.19

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