JSWSTEEL Options
Date: 25Jan2012 Expiry date: 25Jan2012
Underlying Price: 66.595 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 500.0 | 162.0 | 54.7036150072 | 10000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 540.0 | 126.0 | 54.7036150072 | 28000.0 | 2.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 560.0 | 103.0 | 54.7036150072 | 19500.0 | 4.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 580.0 | 85.45 | 54.7036150072 | 36000.0 | 4.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 600.0 | 63.5 | 54.7036150072 | 102500.0 | 19.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 620.0 | 45.8 | 54.7036150072 | 35500.0 | 5.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 640.0 | 24.7 | 54.7036150072 | 36500.0 | 85.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 660.0 | 5.35 | 54.7036150072 | 76000.0 | 508.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 680.0 | 0.1 | 54.7036150072 | 78500.0 | 182.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 700.0 | 0.05 | 54.7036150072 | 45000.0 | 91.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 720.0 | 0.05 | 54.7036150072 | 24000.0 | 2.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 480.0 | 0.05 | 54.7036150072 | 24000.0 | 8.0 | -1.0 | 0.13 | 0.0 | 0.0 | -1.9 | 413.27 |
| 500.0 | 0.05 | 54.7036150072 | 83500.0 | 44.0 | -1.0 | 0.14 | 0.0 | 0.0 | -1.98 | 433.27 |
| 520.0 | 0.05 | 54.7036150072 | 47000.0 | 26.0 | -1.0 | 0.14 | 0.0 | 0.0 | -2.06 | 453.26 |
| 540.0 | 0.05 | 54.7036150072 | 78000.0 | 19.0 | -1.0 | 0.15 | 0.0 | 0.0 | -2.14 | 473.26 |
| 560.0 | 0.05 | 54.7036150072 | 61500.0 | 21.0 | -1.0 | 0.16 | 0.0 | 0.0 | -2.22 | 493.25 |
| 580.0 | 0.05 | 54.7036150072 | 70000.0 | 4.0 | -1.0 | 0.16 | 0.0 | 0.0 | -2.3 | 513.24 |
| 600.0 | 0.05 | 54.7036150072 | 143000.0 | 41.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.38 | 533.24 |
| 620.0 | 0.05 | 54.7036150072 | 91500.0 | 31.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.46 | 553.23 |
| 640.0 | 0.2 | 54.7036150072 | 53500.0 | 151.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.54 | 573.23 |
| 660.0 | 0.7 | 54.7036150072 | 70000.0 | 140.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.62 | 593.22 |
| 680.0 | 14.0 | 54.7036150072 | 3000.0 | 4.0 | -1.0 | 0.19 | 0.0 | 0.0 | -2.7 | 613.22 |
