RPOWER Options

Date: 22Feb2018 Expiry date: 22Feb2018

Underlying Price: 43.55 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
35.0 8.5 51.0 39000.0 1.0 1.0 -0.01 0.0 0.0 0.14 8.56
40.0 3.45 51.0 143000.0 7.0 0.997 -0.02 0.00729 0.028 0.16 3.56
42.5 0.95 50.1949666686 897000.0 35.0 0.787 -0.21 0.211 0.797 0.13 1.23
45.0 0.05 40.0 5109000.0 382.0 0.156 -0.17 0.17377 0.656 0.03 0.11
47.5 0.05 83.0 3601000.0 60.0 0.003 -0.01 0.00715 0.027 0.0 0.0
50.0 0.05 50.1949666686 7553000.0 29.0 0.0 -0.0 2e-05 0.0 0.0 0.0
55.0 0.05 50.1949666686 5200000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 50.1949666686 5525000.0 1.0 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 84.0 1482000.0 7.0 -0.003 -0.01 0.00729 0.028 -0.0 0.0
42.5 0.05 33.0 1794000.0 62.0 -0.213 -0.2 0.211 0.797 -0.04 0.17
45.0 1.65 54.0 1573000.0 53.0 -0.844 -0.15 0.17377 0.656 -0.15 1.55
47.5 3.45 50.1949666686 806000.0 28.0 -0.997 0.01 0.00715 0.027 -0.19 3.94
50.0 6.7 51.0 559000.0 28.0 -1.0 0.01 2e-05 0.0 -0.2 6.44
52.5 9.1 51.0 39000.0 1.0 -1.0 0.01 0.0 0.0 -0.21 8.94
55.0 11.65 51.0 65000.0 6.0 -1.0 0.02 0.0 0.0 -0.22 11.43
60.0 16.55 51.0 26000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 16.43

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