GMRINFRA Options
Date: 31Jul2014 Expiry date: 31Jul2014
Underlying Price: 26.75 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
