MRF Options
Date: 28Jul2011 Expiry date: 28Jul2011
Underlying Price: 7101.95 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 7100.0 | 10.35 | 4.5 | 125.0 | 1.0 | 0.516 | -27.46 | 0.003 | 178.37 | 14.31 | 54.92 |
| 7200.0 | 6.0 | 19.5 | 375.0 | 3.0 | 0.239 | -21.05 | 0.00234 | 138.788 | 6.66 | 18.49 |
| 7300.0 | 185.0 | 29.6682025111 | 125.0 | 1.0 | 0.074 | -9.43 | 0.00105 | 62.614 | 2.06 | 4.35 |
| 7400.0 | 1.0 | 31.5 | 250.0 | 2.0 | 0.015 | -2.51 | 0.00028 | 16.747 | 0.41 | 0.69 |
| 7600.0 | 25.0 | 90.0 | 250.0 | 1.0 | 0.0 | -0.04 | 0.0 | 0.271 | 0.0 | 0.01 |
Put Options
| Strike Price | Option Price | Implied Volatility | Open Interest | Number of Contracts | Delta | Theta | Gamma | Vega | Rho | Black Scholes Price |
|---|---|---|---|---|---|---|---|---|---|---|
| 7200.0 | 80.0 | 29.6682025111 | 375.0 | 2.0 | -0.761 | -19.05 | 0.00234 | 138.788 | -21.9 | 114.54 |
| 7300.0 | 145.75 | 29.6682025111 | 125.0 | 7.0 | -0.926 | -7.41 | 0.00105 | 62.614 | -26.9 | 200.37 |
