MRF Options

Date: 28Jul2011 Expiry date: 28Jul2011

Underlying Price: 7101.95 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
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

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