GMRINFRA Options

Date: 28Feb2013 Expiry date: 28Feb2013

Underlying Price: 17.65 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 0.2 26.0 650000.0 54.0 0.633 -0.09 0.79026 0.419 0.04 0.28
20.0 0.05 42.8622118621 3950000.0 193.0 0.0 -0.0 2e-05 0.0 0.0 0.0
25.0 0.05 42.8622118621 1560000.0 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
17.5 0.15 48.0 1480000.0 103.0 -0.367 -0.09 0.79026 0.419 -0.03 0.12
20.0 1.9 4.25 1030000.0 16.0 -1.0 0.01 2e-05 0.0 -0.08 2.34
25.0 6.4 42.8622118621 20000.0 1.0 -1.0 0.01 0.0 0.0 -0.1 7.34

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