HINDALCO Options

Date: 30Jan2020 Expiry date: 30Jan2020

Underlying Price: 193.45 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
135.0 65.4 73.41015625 3500.0 0.0 1.0 -0.04 0.0 0.0 0.54 58.49
140.0 50.25 23.8135851984 0.0 0.0 1.0 -0.04 0.0 0.0 0.56 53.49
145.0 45.55 23.8135851984 0.0 0.0 1.0 -0.04 0.0 0.0 0.58 48.49
150.0 44.5 24.0 0.0 1.0 1.0 -0.04 0.0 0.0 0.6 43.49
155.0 36.5 23.8135851984 0.0 0.0 1.0 -0.04 0.0 0.0 0.61 38.49
160.0 32.25 24.0 0.0 0.0 1.0 -0.04 0.0 0.0 0.63 33.49
165.0 28.2 24.0 0.0 0.0 1.0 -0.05 0.0 0.0 0.65 28.5
170.0 24.45 24.0 0.0 0.0 1.0 -0.05 0.0 0.0 0.67 23.5
175.0 22.0 23.8135851984 7000.0 2.0 1.0 -0.05 0.0 0.0 0.69 18.5
180.0 16.25 23.8135851984 24500.0 1.0 1.0 -0.05 0.0 0.0 0.71 13.5
185.0 11.65 23.8135851984 7000.0 0.0 0.999 -0.06 0.00151 0.053 0.73 8.5
190.0 4.6 46.0 17500.0 4.0 0.89 -0.32 0.06488 2.294 0.67 3.66
195.0 0.15 13.0 220500.0 217.0 0.306 -0.53 0.12097 4.278 0.23 0.56
200.0 0.05 29.0 1015000.0 814.0 0.014 -0.05 0.0124 0.438 0.01 0.01
205.0 0.05 46.0 1078000.0 200.0 0.0 -0.0 9e-05 0.003 0.0 0.0
210.0 0.05 62.0 1319500.0 194.0 0.0 -0.0 0.0 0.0 0.0 0.0
215.0 0.05 76.0 1764000.0 61.0 0.0 -0.0 0.0 0.0 0.0 0.0
220.0 0.05 90.0 2471000.0 23.0 0.0 -0.0 0.0 0.0 0.0 0.0
225.0 0.05 23.8135851984 1022000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
230.0 0.05 23.8135851984 1750000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
235.0 0.05 23.8135851984 640500.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
240.0 0.05 23.8135851984 581000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
245.0 0.05 23.8135851984 640500.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
250.0 0.05 23.8135851984 479500.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
255.0 0.05 23.8135851984 28000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
260.0 0.05 23.8135851984 17500.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
265.0 0.05 23.8135851984 3500.0 0.0 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
135.0 0.15 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
140.0 0.3 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
145.0 0.5 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
150.0 0.85 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
155.0 1.35 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 2.0 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
165.0 2.9 23.8135851984 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
170.0 0.1 23.8135851984 10500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
175.0 0.05 75.0 45500.0 4.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
180.0 0.05 56.0 52500.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
185.0 0.05 37.5 80500.0 9.0 -0.001 -0.01 0.00151 0.053 -0.0 0.0
190.0 0.05 18.0 287000.0 47.0 -0.11 -0.27 0.06488 2.294 -0.09 0.16
195.0 1.85 21.0 66500.0 251.0 -0.694 -0.47 0.12097 4.278 -0.54 2.06
200.0 7.1 42.0 612500.0 641.0 -0.986 0.0 0.0124 0.438 -0.78 6.51
205.0 11.55 24.0 206500.0 72.0 -1.0 0.06 9e-05 0.003 -0.81 11.49
210.0 16.85 24.0 353500.0 183.0 -1.0 0.06 0.0 0.0 -0.83 16.49
215.0 21.35 24.0 210000.0 34.0 -1.0 0.06 0.0 0.0 -0.85 21.49
220.0 25.7 24.0 140000.0 18.0 -1.0 0.06 0.0 0.0 -0.87 26.49
225.0 31.0 24.0 73500.0 8.0 -1.0 0.06 0.0 0.0 -0.89 31.49
230.0 37.15 24.0 45500.0 9.0 -1.0 0.06 0.0 0.0 -0.91 36.49
235.0 37.85 23.8135851984 21000.0 0.0 -1.0 0.07 0.0 0.0 -0.93 41.48
240.0 23.7 23.8135851984 3500.0 0.0 -1.0 0.07 0.0 0.0 -0.95 46.48
245.0 54.45 23.8135851984 0.0 0.0 -1.0 0.07 0.0 0.0 -0.97 51.48
250.0 52.4 23.8135851984 17500.0 0.0 -1.0 0.07 0.0 0.0 -0.99 56.48
255.0 57.75 23.8135851984 0.0 1.0 -1.0 0.07 0.0 0.0 -1.01 61.48
260.0 65.4 24.0 3500.0 1.0 -1.0 0.07 0.0 0.0 -1.03 66.48
265.0 73.55 24.0 0.0 0.0 -1.0 0.07 0.0 0.0 -1.05 71.48

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