JSWSTEEL Options

Date: 30Jul2015 Expiry date: 30Jul2015

Underlying Price: 85.015 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
780.0 39.75 34.0429043649 0.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
800.0 48.8 34.0429043649 2250.0 82.0 0.0 -0.0 0.0 0.0 0.0 0.0
820.0 29.0 34.0429043649 28500.0 710.0 0.0 -0.0 0.0 0.0 0.0 0.0
840.0 8.5 34.0429043649 21750.0 1395.0 0.0 -0.0 0.0 0.0 0.0 0.0
860.0 0.2 34.0429043649 43750.0 530.0 0.0 -0.0 0.0 0.0 0.0 0.0
880.0 0.3 34.0429043649 39500.0 126.0 0.0 -0.0 0.0 0.0 0.0 0.0
900.0 0.05 34.0429043649 52500.0 33.0 0.0 -0.0 0.0 0.0 0.0 0.0
920.0 0.1 34.0429043649 26000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
940.0 0.05 34.0429043649 6250.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
960.0 0.15 34.0429043649 11750.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1000.0 0.1 34.0429043649 12000.0 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
760.0 0.05 34.0429043649 5500.0 49.0 -1.0 0.21 0.0 0.0 -3.02 674.77
780.0 0.05 34.0429043649 63750.0 331.0 -1.0 0.22 0.0 0.0 -3.09 694.77
800.0 0.1 34.0429043649 121500.0 1046.0 -1.0 0.22 0.0 0.0 -3.17 714.76
820.0 0.15 34.0429043649 42750.0 333.0 -1.0 0.23 0.0 0.0 -3.25 734.76
840.0 0.45 34.0429043649 23750.0 251.0 -1.0 0.23 0.0 0.0 -3.33 754.75
860.0 13.75 34.0429043649 11500.0 81.0 -1.0 0.24 0.0 0.0 -3.41 774.75
880.0 34.2 34.0429043649 5500.0 19.0 -1.0 0.24 0.0 0.0 -3.49 794.74
900.0 52.05 34.0429043649 1500.0 14.0 -1.0 0.25 0.0 0.0 -3.57 814.74
920.0 73.15 34.0429043649 500.0 1.0 -1.0 0.26 0.0 0.0 -3.65 834.73
940.0 92.7 34.0429043649 1500.0 6.0 -1.0 0.26 0.0 0.0 -3.73 854.72
980.0 132.35 34.0429043649 1750.0 5.0 -1.0 0.27 0.0 0.0 -3.89 894.71
1000.0 150.6 34.0429043649 750.0 1.0 -1.0 0.28 0.0 0.0 -3.97 914.71
1060.0 230.0 34.0429043649 250.0 2.0 -1.0 0.29 0.0 0.0 -4.21 974.69
1120.0 275.65 34.0429043649 250.0 1.0 -1.0 0.31 0.0 0.0 -4.44 1034.67

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