GMRINFRA Options

Date: 31Jul2014 Expiry date: 31Jul2014

Underlying Price: 26.75 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
27.5 0.05 41.0 1870000.0 407.0 0.23 -0.15 0.31401 0.512 0.02 0.13
30.0 0.05 57.3722779746 1060000.0 19.0 0.001 -0.0 0.00292 0.005 0.0 0.0
32.5 0.05 57.3722779746 2460000.0 14.0 0.0 -0.0 0.0 0.0 0.0 0.0
35.0 0.05 57.3722779746 6250000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
37.5 0.05 57.3722779746 2180000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
40.0 0.05 57.3722779746 5460000.0 6.0 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
25.0 0.05 78.0 310000.0 11.0 -0.029 -0.03 0.06816 0.111 -0.0 0.01
27.5 1.1 89.0 920000.0 28.0 -0.77 -0.14 0.31401 0.512 -0.09 0.87
30.0 3.3 58.0 1930000.0 43.0 -0.999 0.01 0.00292 0.005 -0.12 3.24
32.5 5.8 58.0 1750000.0 30.0 -1.0 0.01 0.0 0.0 -0.13 5.74
35.0 8.5 58.0 440000.0 16.0 -1.0 0.01 0.0 0.0 -0.14 8.24
37.5 11.0 58.0 30000.0 7.0 -1.0 0.01 0.0 0.0 -0.15 10.74

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