JSWSTEEL Options
Date: 28Jul2011 Expiry date: 28Jul2011
Underlying Price: 81.93 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 800.0 | 21.0 | 32.7487135848 | 750.0 | 6.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 820.0 | 1.95 | 32.7487135848 | 3250.0 | 28.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 840.0 | 0.25 | 32.7487135848 | 12750.0 | 97.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 860.0 | 0.25 | 32.7487135848 | 9750.0 | 12.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 880.0 | 0.05 | 32.7487135848 | 44750.0 | 36.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 900.0 | 0.05 | 32.7487135848 | 64750.0 | 79.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 920.0 | 0.05 | 32.7487135848 | 12750.0 | 19.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 940.0 | 0.05 | 32.7487135848 | 13500.0 | 2.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1000.0 | 0.05 | 32.7487135848 | 1250.0 | 3.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 780.0 | 0.1 | 32.7487135848 | 4750.0 | 28.0 | -1.0 | 0.22 | 0.0 | 0.0 | -3.09 | 697.85 |
| 800.0 | 0.1 | 32.7487135848 | 11500.0 | 95.0 | -1.0 | 0.22 | 0.0 | 0.0 | -3.17 | 717.85 |
| 820.0 | 1.6 | 32.7487135848 | 1500.0 | 13.0 | -1.0 | 0.23 | 0.0 | 0.0 | -3.25 | 737.84 |
| 840.0 | 20.0 | 32.7487135848 | 6250.0 | 13.0 | -1.0 | 0.23 | 0.0 | 0.0 | -3.33 | 757.84 |
| 860.0 | 40.0 | 32.7487135848 | 8250.0 | 5.0 | -1.0 | 0.24 | 0.0 | 0.0 | -3.41 | 777.83 |
| 900.0 | 73.75 | 32.7487135848 | 1750.0 | 3.0 | -1.0 | 0.25 | 0.0 | 0.0 | -3.57 | 817.82 |
