GMRINFRA Options

Date: 28May2015 Expiry date: 28May2015

Underlying Price: 14.45 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
9.8 2.75 38.4057102451 27519.0 3.0 1.0 -0.0 0.0 0.0 0.04 4.65
10.0 4.5 39.0 73384.0 7.0 1.0 -0.0 0.0 0.0 0.04 4.45
12.25 2.05 38.4057102451 36692.0 2.0 1.0 -0.0 0.0 0.0 0.05 2.2
14.7 0.05 39.0 550380.0 31.0 0.247 -0.06 0.90239 0.287 0.01 0.05
15.0 0.05 60.0 5723952.0 1.0 0.064 -0.02 0.35925 0.114 0.0 0.01
17.15 0.05 38.4057102451 3898525.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
17.5 0.05 38.4057102451 4641538.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
25.0 0.05 38.4057102451 18346.0 2.0 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
12.5 0.05 38.4057102451 880608.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
14.7 0.3 39.0 1009030.0 26.0 -0.753 -0.05 0.90239 0.287 -0.04 0.3
15.0 0.65 70.0 2320769.0 49.0 -0.936 -0.02 0.35925 0.114 -0.06 0.56
17.15 2.85 38.4057102451 238498.0 6.0 -1.0 0.0 0.0 0.0 -0.07 2.7
17.5 3.3 38.4057102451 201806.0 7.0 -1.0 0.0 0.0 0.0 -0.07 3.05
20.0 5.8 39.0 27519.0 16.0 -1.0 0.01 0.0 0.0 -0.08 5.54
25.0 10.7 39.0 45865.0 4.0 -1.0 0.01 0.0 0.0 -0.1 10.54

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