JSWSTEEL Options

Date: 24Nov2016 Expiry date: 24Nov2016

Underlying Price: 161.475 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
1300.0 325.0 33.6587077029 1200.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
1580.0 32.5 33.6587077029 3600.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1600.0 11.5 33.6587077029 6900.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
1620.0 1.95 33.6587077029 8400.0 47.0 0.0 -0.0 0.0 0.0 0.0 0.0
1640.0 0.35 33.6587077029 10800.0 138.0 0.0 -0.0 0.0 0.0 0.0 0.0
1650.0 0.4 33.6587077029 15600.0 46.0 0.0 -0.0 0.0 0.0 0.0 0.0
1660.0 0.25 33.6587077029 12600.0 49.0 0.0 -0.0 0.0 0.0 0.0 0.0
1680.0 0.1 33.6587077029 10500.0 31.0 0.0 -0.0 0.0 0.0 0.0 0.0
1700.0 0.05 33.6587077029 48300.0 89.0 0.0 -0.0 0.0 0.0 0.0 0.0
1720.0 0.05 33.6587077029 9000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
1740.0 0.4 33.6587077029 15900.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
1750.0 0.05 33.6587077029 13200.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
1760.0 0.3 33.6587077029 6000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1800.0 0.05 33.6587077029 59100.0 59.0 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
1560.0 0.8 33.6587077029 9300.0 5.0 -1.0 0.43 0.0 0.0 -6.19 1398.09
1580.0 0.1 33.6587077029 10800.0 38.0 -1.0 0.44 0.0 0.0 -6.27 1418.09
1600.0 0.7 33.6587077029 54900.0 152.0 -1.0 0.44 0.0 0.0 -6.35 1438.08
1620.0 9.5 33.6587077029 7200.0 75.0 -1.0 0.45 0.0 0.0 -6.43 1458.08
1640.0 22.7 33.6587077029 4800.0 28.0 -1.0 0.46 0.0 0.0 -6.51 1478.07
1650.0 33.7 33.6587077029 17400.0 28.0 -1.0 0.46 0.0 0.0 -6.55 1488.07
1660.0 46.0 33.6587077029 4500.0 5.0 -1.0 0.46 0.0 0.0 -6.59 1498.06
1680.0 53.0 33.6587077029 3300.0 10.0 -1.0 0.47 0.0 0.0 -6.66 1518.06
1700.0 86.2 33.6587077029 13200.0 14.0 -1.0 0.47 0.0 0.0 -6.74 1538.05
1740.0 98.0 33.6587077029 3600.0 7.0 -1.0 0.48 0.0 0.0 -6.9 1578.04
1750.0 135.0 33.6587077029 1500.0 4.0 -1.0 0.49 0.0 0.0 -6.94 1588.04
1800.0 184.25 33.6587077029 600.0 1.0 -1.0 0.5 0.0 0.0 -7.14 1638.03
1900.0 266.55 33.6587077029 0.0 2.0 -1.0 0.53 0.0 0.0 -7.54 1738.0

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