JSWSTEEL Options
Date: 28Mar2013 Expiry date: 28Mar2013
Underlying Price: 67.235 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 | 69.85 | 54.2396655489 | 15500.0 | 157.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 620.0 | 52.45 | 54.2396655489 | 32500.0 | 413.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 640.0 | 32.9 | 54.2396655489 | 31000.0 | 403.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 660.0 | 13.25 | 54.2396655489 | 31000.0 | 187.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 680.0 | 3.2 | 54.2396655489 | 39000.0 | 165.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 700.0 | 0.55 | 54.2396655489 | 58500.0 | 86.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 720.0 | 0.35 | 54.2396655489 | 47000.0 | 37.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 740.0 | 0.2 | 54.2396655489 | 121000.0 | 42.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 760.0 | 0.1 | 54.2396655489 | 102500.0 | 43.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 780.0 | 0.15 | 54.2396655489 | 36500.0 | 10.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 800.0 | 0.05 | 54.2396655489 | 47000.0 | 4.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 820.0 | 0.05 | 54.2396655489 | 17000.0 | 8.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 840.0 | 0.05 | 54.2396655489 | 10000.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 560.0 | 0.05 | 54.2396655489 | 14500.0 | 13.0 | -1.0 | 0.16 | 0.0 | 0.0 | -2.22 | 492.61 |
| 580.0 | 0.05 | 54.2396655489 | 12500.0 | 33.0 | -1.0 | 0.16 | 0.0 | 0.0 | -2.3 | 512.6 |
| 600.0 | 0.15 | 54.2396655489 | 42500.0 | 145.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.38 | 532.6 |
| 620.0 | 0.1 | 54.2396655489 | 28000.0 | 152.0 | -1.0 | 0.17 | 0.0 | 0.0 | -2.46 | 552.59 |
| 640.0 | 0.65 | 54.2396655489 | 20000.0 | 98.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.54 | 572.59 |
| 660.0 | 2.55 | 54.2396655489 | 27500.0 | 98.0 | -1.0 | 0.18 | 0.0 | 0.0 | -2.62 | 592.58 |
| 680.0 | 26.9 | 54.2396655489 | 11000.0 | 13.0 | -1.0 | 0.19 | 0.0 | 0.0 | -2.7 | 612.58 |
| 700.0 | 70.0 | 54.2396655489 | 22500.0 | 22.0 | -1.0 | 0.19 | 0.0 | 0.0 | -2.78 | 632.57 |
| 720.0 | 64.0 | 54.2396655489 | 20000.0 | 9.0 | -1.0 | 0.2 | 0.0 | 0.0 | -2.86 | 652.57 |
| 740.0 | 90.0 | 54.2396655489 | 10500.0 | 9.0 | -1.0 | 0.21 | 0.0 | 0.0 | -2.94 | 672.56 |
| 760.0 | 92.45 | 54.2396655489 | 6500.0 | 12.0 | -1.0 | 0.21 | 0.0 | 0.0 | -3.02 | 692.55 |
| 780.0 | 119.1 | 54.2396655489 | 5500.0 | 7.0 | -1.0 | 0.22 | 0.0 | 0.0 | -3.09 | 712.55 |
| 800.0 | 158.0 | 54.2396655489 | 3500.0 | 1.0 | -1.0 | 0.22 | 0.0 | 0.0 | -3.17 | 732.54 |
| 820.0 | 210.0 | 54.2396655489 | 1500.0 | 1.0 | -1.0 | 0.23 | 0.0 | 0.0 | -3.25 | 752.54 |
