GMRINFRA Options
Date: 28Nov2013 Expiry date: 28Nov2013
Underlying Price: 19.95 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%
Click here to understand option greeks.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 |
