JSWSTEEL Options

Date: 28Mar2013 Expiry date: 28Mar2013

Underlying Price: 67.235 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 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

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