JSWSTEEL Options

Date: 27Jan2011 Expiry date: 27Jan2011

Underlying Price: 96.305 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
950.0 43.25 50.863334209 3000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
1000.0 0.1 50.863334209 20000.0 88.0 0.0 -0.0 0.0 0.0 0.0 0.0
1020.0 0.1 50.863334209 500.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1050.0 0.05 50.863334209 27750.0 101.0 0.0 -0.0 0.0 0.0 0.0 0.0
1060.0 0.05 50.863334209 500.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1080.0 0.1 50.863334209 0.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1100.0 0.05 50.863334209 65500.0 176.0 0.0 -0.0 0.0 0.0 0.0 0.0
1150.0 0.05 50.863334209 42500.0 38.0 0.0 -0.0 0.0 0.0 0.0 0.0
1200.0 0.05 50.863334209 46750.0 77.0 0.0 -0.0 0.0 0.0 0.0 0.0
1250.0 0.05 50.863334209 33750.0 49.0 0.0 -0.0 0.0 0.0 0.0 0.0
1300.0 0.05 50.863334209 3750.0 7.0 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
900.0 0.05 50.863334209 6500.0 7.0 -1.0 0.25 0.0 0.0 -3.57 803.45
950.0 0.2 50.863334209 8250.0 14.0 -1.0 0.26 0.0 0.0 -3.77 853.43
1000.0 36.0 50.863334209 13750.0 77.0 -1.0 0.28 0.0 0.0 -3.97 903.42
1200.0 200.0 50.863334209 3000.0 1.0 -1.0 0.33 0.0 0.0 -4.76 1103.36

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