JSWSTEEL Options
Date: 27Sep2012 Expiry date: 27Sep2012
Underlying Price: 73.865 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 600.0 | 142.0 | 29.8976446774 | 4000.0 | 4.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 640.0 | 96.85 | 29.8976446774 | 2000.0 | 2.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 660.0 | 77.4 | 29.8976446774 | 23500.0 | 7.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 680.0 | 57.8 | 29.8976446774 | 22500.0 | 12.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 700.0 | 37.8 | 29.8976446774 | 54500.0 | 43.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 720.0 | 17.65 | 29.8976446774 | 74500.0 | 38.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 740.0 | 0.65 | 29.8976446774 | 98500.0 | 324.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 760.0 | 0.1 | 29.8976446774 | 128500.0 | 263.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 780.0 | 0.05 | 29.8976446774 | 68000.0 | 82.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 800.0 | 0.1 | 29.8976446774 | 21500.0 | 10.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 820.0 | 0.05 | 29.8976446774 | 2000.0 | 1.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 600.0 | 0.3 | 29.8976446774 | 35000.0 | 7.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.38 | 525.97 |
| 620.0 | 0.05 | 29.8976446774 | 23500.0 | 13.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.46 | 545.96 |
| 640.0 | 0.05 | 29.8976446774 | 55000.0 | 10.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.54 | 565.96 |
| 660.0 | 0.05 | 29.8976446774 | 56500.0 | 33.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.62 | 585.95 |
| 680.0 | 0.05 | 29.8976446774 | 124000.0 | 57.0 | -1.0 | 0.19 | 0.0 | 0.0 | -2.7 | 605.95 |
| 700.0 | 0.05 | 29.8976446774 | 125000.0 | 87.0 | -1.0 | 0.19 | 0.0 | 0.0 | -2.78 | 625.94 |
| 720.0 | 0.15 | 29.8976446774 | 99000.0 | 123.0 | -1.0 | 0.2 | 0.0 | 0.0 | -2.86 | 645.94 |
| 740.0 | 1.65 | 29.8976446774 | 39000.0 | 274.0 | -1.0 | 0.21 | 0.0 | 0.0 | -2.94 | 665.93 |
| 760.0 | 22.0 | 29.8976446774 | 22500.0 | 8.0 | -1.0 | 0.21 | 0.0 | 0.0 | -3.02 | 685.92 |
| 800.0 | 55.0 | 29.8976446774 | 500.0 | 4.0 | -1.0 | 0.22 | 0.0 | 0.0 | -3.17 | 725.91 |
