JSWSTEEL Options

Date: 31Mar2016 Expiry date: 31Mar2016

Underlying Price: 128.325 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
1000.0 284.1 18.4134996906 11400.0 26.0 0.0 -0.0 0.0 0.0 0.0 0.0
1040.0 228.0 18.4134996906 1200.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1060.0 211.0 18.4134996906 2400.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1080.0 180.05 18.4134996906 1800.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
1100.0 184.3 18.4134996906 9000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
1120.0 162.8 18.4134996906 14400.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
1140.0 143.7 18.4134996906 22800.0 31.0 0.0 -0.0 0.0 0.0 0.0 0.0
1160.0 122.35 18.4134996906 18600.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
1180.0 97.25 18.4134996906 12600.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
1200.0 84.95 18.4134996906 30600.0 23.0 0.0 -0.0 0.0 0.0 0.0 0.0
1220.0 61.8 18.4134996906 40200.0 21.0 0.0 -0.0 0.0 0.0 0.0 0.0
1240.0 42.05 18.4134996906 55200.0 76.0 0.0 -0.0 0.0 0.0 0.0 0.0
1260.0 16.65 18.4134996906 43200.0 194.0 0.0 -0.0 0.0 0.0 0.0 0.0
1280.0 3.0 18.4134996906 40800.0 324.0 0.0 -0.0 0.0 0.0 0.0 0.0
1300.0 0.1 18.4134996906 60000.0 72.0 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
1000.0 0.15 18.4134996906 89400.0 14.0 -1.0 0.28 0.0 0.0 -3.97 871.4
1040.0 0.1 18.4134996906 15600.0 2.0 -1.0 0.29 0.0 0.0 -4.13 911.39
1060.0 0.2 18.4134996906 32400.0 2.0 -1.0 0.29 0.0 0.0 -4.21 931.38
1080.0 0.05 18.4134996906 15000.0 5.0 -1.0 0.3 0.0 0.0 -4.28 951.38
1100.0 0.05 18.4134996906 70800.0 9.0 -1.0 0.31 0.0 0.0 -4.36 971.37
1120.0 0.1 18.4134996906 25200.0 3.0 -1.0 0.31 0.0 0.0 -4.44 991.36
1140.0 0.25 18.4134996906 56400.0 39.0 -1.0 0.32 0.0 0.0 -4.52 1011.36
1160.0 0.1 18.4134996906 52200.0 19.0 -1.0 0.32 0.0 0.0 -4.6 1031.35
1180.0 0.05 18.4134996906 45600.0 16.0 -1.0 0.33 0.0 0.0 -4.68 1051.35
1200.0 0.05 18.4134996906 102000.0 49.0 -1.0 0.33 0.0 0.0 -4.76 1071.34
1220.0 0.1 18.4134996906 53400.0 43.0 -1.0 0.34 0.0 0.0 -4.84 1091.34
1240.0 0.1 18.4134996906 52800.0 120.0 -1.0 0.34 0.0 0.0 -4.92 1111.33
1260.0 0.15 18.4134996906 22200.0 116.0 -1.0 0.35 0.0 0.0 -5.0 1131.33
1280.0 0.3 18.4134996906 18000.0 43.0 -1.0 0.36 0.0 0.0 -5.08 1151.32
1300.0 23.2 18.4134996906 3000.0 2.0 -1.0 0.36 0.0 0.0 -5.16 1171.31

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