GMRINFRA Options

Date: 28Nov2013 Expiry date: 28Nov2013

Underlying Price: 19.95 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
15.0 6.6 49.9734321987 50000.0 4.0 1.0 -0.0 0.0 0.0 0.06 4.95
17.5 3.5 49.9734321987 30000.0 1.0 1.0 -0.0 0.0001 0.0 0.07 2.45
20.0 0.1 25.0 390000.0 89.0 0.478 -0.13 0.63436 0.501 0.04 0.23
22.5 0.05 49.9734321987 1630000.0 29.0 0.0 -0.0 0.00047 0.0 0.0 0.0
25.0 0.05 49.9734321987 5610000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
30.0 0.05 49.9734321987 380000.0 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 49.9734321987 120000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
17.5 0.05 49.9734321987 420000.0 2.0 -0.0 -0.0 0.0001 0.0 -0.0 0.0
20.0 0.2 37.0 1370000.0 251.0 -0.522 -0.12 0.63436 0.501 -0.04 0.27
22.5 2.3 49.9734321987 710000.0 14.0 -1.0 0.01 0.00047 0.0 -0.09 2.54
25.0 4.45 49.9734321987 90000.0 2.0 -1.0 0.01 0.0 0.0 -0.1 5.04
30.0 9.0 49.9734321987 20000.0 1.0 -1.0 0.01 0.0 0.0 -0.12 10.04

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