RPOWER Options

Date: 23Feb2012 Expiry date: 23Feb2012

Underlying Price: 120.4 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
80.0 43.0 52.5635557288 32000.0 1.0 1.0 -0.02 0.0 0.0 0.32 40.42
85.0 37.9 70.83984375 16000.0 1.0 1.0 -0.02 0.0 0.0 0.34 35.42
90.0 33.0 52.5635557288 76000.0 3.0 1.0 -0.02 0.0 0.0 0.36 30.42
95.0 25.3 53.0 68000.0 2.0 1.0 -0.03 0.0 0.0 0.38 25.43
100.0 19.95 53.0 176000.0 38.0 1.0 -0.03 0.0 0.0 0.4 20.43
105.0 15.85 53.0 156000.0 12.0 1.0 -0.03 2e-05 0.001 0.42 15.43
110.0 11.15 92.0 312000.0 8.0 0.997 -0.05 0.00226 0.068 0.43 10.43
115.0 7.35 52.5635557288 72000.0 7.0 0.921 -0.32 0.037 1.119 0.42 5.58
120.0 0.8 19.0 604000.0 152.0 0.55 -0.81 0.0993 3.002 0.26 1.81
125.0 0.1 40.0 624000.0 279.0 0.134 -0.44 0.05421 1.639 0.06 0.27
130.0 0.05 63.0 968000.0 156.0 0.011 -0.06 0.00724 0.219 0.01 0.01
135.0 0.05 88.0 516000.0 31.0 0.0 -0.0 0.00028 0.008 0.0 0.0
140.0 0.05 52.5635557288 900000.0 19.0 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
80.0 0.05 52.5635557288 264000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 52.5635557288 108000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 52.5635557288 304000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 52.5635557288 300000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
100.0 0.05 52.5635557288 384000.0 27.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
105.0 0.05 52.5635557288 452000.0 6.0 -0.0 -0.0 2e-05 0.001 -0.0 0.0
110.0 0.05 73.0 560000.0 86.0 -0.003 -0.02 0.00226 0.068 -0.0 0.0
115.0 0.05 42.0 460000.0 131.0 -0.079 -0.29 0.037 1.119 -0.04 0.14
120.0 0.25 14.0 368000.0 173.0 -0.45 -0.77 0.0993 3.002 -0.22 1.38
125.0 4.5 45.0 168000.0 13.0 -0.866 -0.4 0.05421 1.639 -0.43 4.83
130.0 10.0 53.0 172000.0 11.0 -0.989 -0.02 0.00724 0.219 -0.51 9.58

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