RBLBANK Options

Date: 26Mar2020 Expiry date: 26Mar2020

Underlying Price: 165.1 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
40.0 168.3 148.763746428 0.0 0.0 1.0 -0.01 0.0 0.0 0.16 125.11
60.0 199.1 148.763746428 0.0 0.0 1.0 -0.02 0.0 0.0 0.24 105.12
80.0 203.5 148.763746428 0.0 0.0 1.0 -0.02 0.0 0.0 0.32 85.12
100.0 202.85 148.763746428 0.0 0.0 1.0 -0.03 0.0 0.0 0.4 65.13
120.0 52.0 148.763746428 15000.0 17.0 1.0 -0.04 7e-05 0.011 0.48 45.13
140.0 28.0 148.763746428 136500.0 74.0 0.965 -0.64 0.00502 0.807 0.53 25.36
160.0 6.6 148.763746428 187500.0 418.0 0.65 -2.89 0.02395 3.854 0.39 8.99
180.0 0.1 148.763746428 118500.0 569.0 0.192 -2.12 0.01763 2.837 0.12 1.57
200.0 0.05 148.763746428 520500.0 285.0 0.023 -0.42 0.00351 0.566 0.01 0.13
220.0 0.05 148.763746428 151500.0 40.0 0.001 -0.03 0.00028 0.044 0.0 0.01
240.0 0.05 148.763746428 157500.0 34.0 0.0 -0.0 1e-05 0.002 0.0 0.0
260.0 0.05 148.763746428 174000.0 56.0 0.0 -0.0 0.0 0.0 0.0 0.0
280.0 0.05 148.763746428 162000.0 22.0 0.0 -0.0 0.0 0.0 0.0 0.0
300.0 0.05 148.763746428 223500.0 16.0 0.0 -0.0 0.0 0.0 0.0 0.0
320.0 0.05 148.763746428 232500.0 45.0 0.0 -0.0 0.0 0.0 0.0 0.0
340.0 0.05 148.763746428 190500.0 24.0 0.0 -0.0 0.0 0.0 0.0 0.0
360.0 0.05 148.763746428 76500.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
380.0 0.05 148.763746428 52500.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
400.0 0.05 148.763746428 49500.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
420.0 0.05 148.763746428 1500.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
440.0 0.05 148.763746428 3000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
460.0 10.6 148.763746428 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
480.0 0.15 148.763746428 3000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
500.0 0.15 148.763746428 1500.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
520.0 5.15 148.763746428 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
40.0 0.05 148.763746428 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 148.763746428 133500.0 15.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.1 148.763746428 40500.0 23.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
100.0 0.05 148.763746428 138000.0 43.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
120.0 0.05 148.763746428 115500.0 109.0 -0.0 -0.01 7e-05 0.011 -0.0 0.0
140.0 0.05 148.763746428 355500.0 313.0 -0.035 -0.6 0.00502 0.807 -0.02 0.22
160.0 0.15 148.763746428 193500.0 650.0 -0.35 -2.85 0.02395 3.854 -0.24 3.84
180.0 15.75 148.763746428 79500.0 65.0 -0.808 -2.07 0.01763 2.837 -0.59 16.42
200.0 36.0 148.763746428 70500.0 10.0 -0.977 -0.37 0.00351 0.566 -0.78 34.97
220.0 57.5 148.763746428 28500.0 21.0 -0.999 0.03 0.00028 0.044 -0.87 54.84
240.0 77.0 148.763746428 46500.0 10.0 -1.0 0.07 1e-05 0.002 -0.95 74.83
260.0 94.85 148.763746428 22500.0 0.0 -1.0 0.07 0.0 0.0 -1.03 94.83
280.0 115.0 148.763746428 82500.0 6.0 -1.0 0.08 0.0 0.0 -1.11 114.82
300.0 135.0 148.763746428 112500.0 3.0 -1.0 0.08 0.0 0.0 -1.19 134.82
320.0 150.0 148.763746428 67500.0 2.0 -1.0 0.09 0.0 0.0 -1.27 154.81
340.0 172.0 148.763746428 13500.0 1.0 -1.0 0.09 0.0 0.0 -1.35 174.81
360.0 201.65 148.763746428 3000.0 0.0 -1.0 0.1 0.0 0.0 -1.43 194.8
380.0 220.0 148.763746428 3000.0 0.0 -1.0 0.11 0.0 0.0 -1.51 214.79
400.0 248.3 148.763746428 1500.0 0.0 -1.0 0.11 0.0 0.0 -1.59 234.79
420.0 98.4 148.763746428 0.0 0.0 -1.0 0.12 0.0 0.0 -1.67 254.78
440.0 310.0 148.763746428 0.0 0.0 -1.0 0.12 0.0 0.0 -1.75 274.78
460.0 131.5 148.763746428 0.0 0.0 -1.0 0.13 0.0 0.0 -1.82 294.77
480.0 148.95 148.763746428 0.0 0.0 -1.0 0.13 0.0 0.0 -1.9 314.77
500.0 166.9 148.763746428 0.0 0.0 -1.0 0.14 0.0 0.0 -1.98 334.76
520.0 357.0 148.763746428 3000.0 0.0 -1.0 0.14 0.0 0.0 -2.06 354.76

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