JSWSTEEL Options

Date: 27Sep2012 Expiry date: 27Sep2012

Underlying Price: 73.865 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
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

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