JSWSTEEL Options

Date: 28Jul2011 Expiry date: 28Jul2011

Underlying Price: 81.93 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
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

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