JSWSTEEL Options

Date: 30Jan2020 Expiry date: 30Jan2020

Underlying Price: 256.95 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
155.0 100.25 34.0 4600.0 2.0 1.0 -0.04 0.0 0.0 0.61 101.99
160.0 71.65 33.9926180726 0.0 0.0 1.0 -0.04 0.0 0.0 0.63 96.99
165.0 67.15 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.65 92.0
170.0 62.8 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.67 87.0
175.0 58.55 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.69 82.0
180.0 54.4 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.71 77.0
185.0 50.45 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.73 72.0
190.0 46.65 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.75 67.0
195.0 43.0 33.9926180726 0.0 0.0 1.0 -0.05 0.0 0.0 0.77 62.0
200.0 39.55 33.9926180726 0.0 0.0 1.0 -0.06 0.0 0.0 0.79 57.01
205.0 36.25 33.9926180726 0.0 0.0 1.0 -0.06 0.0 0.0 0.81 52.01
210.0 52.0 87.0 4600.0 0.0 1.0 -0.06 0.0 0.0 0.83 47.01
215.0 30.25 33.9926180726 0.0 0.0 1.0 -0.06 0.0 0.0 0.85 42.01
220.0 39.0 33.9926180726 0.0 0.0 1.0 -0.06 0.0 0.0 0.87 37.01
225.0 34.0 33.9926180726 11500.0 0.0 1.0 -0.06 0.0 0.0 0.89 32.01
230.0 29.1 33.9926180726 2300.0 1.0 1.0 -0.06 0.0 0.0 0.91 27.01
235.0 20.45 33.9926180726 0.0 0.0 1.0 -0.07 1e-05 0.001 0.93 22.02
240.0 33.0 33.9926180726 2300.0 0.0 0.999 -0.07 0.00042 0.037 0.95 17.02
245.0 16.2 33.9926180726 2300.0 0.0 0.988 -0.15 0.0058 0.517 0.96 12.04
250.0 4.95 33.9926180726 16100.0 8.0 0.904 -0.53 0.03098 2.759 0.89 7.27
255.0 2.7 25.0 55200.0 69.0 0.648 -1.07 0.06748 6.01 0.65 3.34
260.0 0.1 14.0 121900.0 808.0 0.299 -0.98 0.0631 5.62 0.3 1.03
265.0 0.05 26.0 227700.0 386.0 0.078 -0.41 0.02658 2.367 0.08 0.19
270.0 0.05 38.5 361100.0 146.0 0.011 -0.08 0.00527 0.469 0.01 0.02
275.0 0.05 50.0 432400.0 125.0 0.001 -0.01 0.00051 0.046 0.0 0.0
280.0 0.05 62.0 411700.0 19.0 0.0 -0.0 3e-05 0.002 0.0 0.0
285.0 0.05 72.0 186300.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
290.0 0.05 83.0 324300.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
295.0 0.05 93.0 78200.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
300.0 0.05 33.9926180726 280600.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
305.0 0.05 33.9926180726 50600.0 1.0 0.0 -0.0 0.0 0.0 0.0 -0.0
310.0 0.05 33.9926180726 110400.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
315.0 0.05 33.9926180726 18400.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
320.0 0.05 33.9926180726 32200.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
325.0 0.65 33.9926180726 2300.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
330.0 0.4 33.9926180726 4600.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
335.0 4.8 33.9926180726 0.0 0.0 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
155.0 0.95 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 1.3 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
165.0 1.75 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
170.0 0.05 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
175.0 3.0 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
180.0 3.8 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
185.0 4.75 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
190.0 5.9 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
195.0 1.3 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
200.0 2.5 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
205.0 10.3 33.9926180726 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
210.0 0.1 33.9926180726 6900.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
215.0 0.5 33.9926180726 2300.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
220.0 0.05 33.9926180726 147200.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
225.0 0.5 33.9926180726 4600.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
230.0 0.05 78.0 46000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
235.0 0.05 65.0 25300.0 0.0 -0.0 -0.0 1e-05 0.001 -0.0 0.0
240.0 0.05 51.5 105800.0 0.0 -0.001 -0.01 0.00042 0.037 -0.0 0.0
245.0 0.05 38.0 69000.0 5.0 -0.012 -0.09 0.0058 0.517 -0.01 0.02
250.0 0.05 24.0 234600.0 38.0 -0.096 -0.46 0.03098 2.759 -0.1 0.25
255.0 0.25 14.5 94300.0 173.0 -0.352 -1.0 0.06748 6.01 -0.36 1.32
260.0 3.3 23.0 66700.0 333.0 -0.701 -0.9 0.0631 5.62 -0.73 4.01
265.0 8.0 34.0 43700.0 19.0 -0.922 -0.33 0.02658 2.367 -0.97 8.17
270.0 13.6 34.0 124200.0 29.0 -0.989 -0.01 0.00527 0.469 -1.06 13.0
275.0 18.3 34.0 32200.0 5.0 -0.999 0.07 0.00051 0.046 -1.09 17.97
280.0 23.5 34.0 181700.0 13.0 -1.0 0.08 3e-05 0.002 -1.11 22.97
285.0 21.05 33.9926180726 34500.0 0.0 -1.0 0.08 0.0 0.0 -1.13 27.97
290.0 33.0 34.0 6900.0 1.0 -1.0 0.08 0.0 0.0 -1.15 32.97
295.0 34.9 33.9926180726 2300.0 1.0 -1.0 0.08 0.0 0.0 -1.17 37.97
300.0 42.4 34.0 13800.0 2.0 -1.0 0.08 0.0 0.0 -1.19 42.97
305.0 76.6 33.9926180726 0.0 0.0 -1.0 0.08 0.0 0.0 -1.21 47.97
310.0 54.0 34.0 6900.0 8.0 -1.0 0.09 0.0 0.0 -1.23 52.96
315.0 52.0 33.9926180726 6900.0 0.0 -1.0 0.09 0.0 0.0 -1.25 57.96
320.0 90.1 33.9926180726 0.0 0.0 -1.0 0.09 0.0 0.0 -1.27 62.96
325.0 86.2 48.7255859375 0.0 0.0 -1.0 0.09 0.0 0.0 -1.29 67.96
330.0 90.75 33.9926180726 0.0 0.0 -1.0 0.09 0.0 0.0 -1.31 72.96
335.0 84.95 33.9926180726 0.0 0.0 -1.0 0.09 0.0 0.0 -1.33 77.96

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