JSWSTEEL Options

Date: 25Jan2012 Expiry date: 25Jan2012

Underlying Price: 66.595 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
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

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