RPOWER Options

Date: 23Feb2017 Expiry date: 23Feb2017

Underlying Price: 46.0 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
42.5 3.9 23.8506381825 168000.0 3.0 1.0 -0.01 0.0 0.0 0.17 3.51
45.0 1.0 24.0 960000.0 54.0 0.932 -0.06 0.19057 0.382 0.17 1.03
47.5 0.05 38.0 3156000.0 181.0 0.017 -0.02 0.06236 0.125 0.0 0.0
50.0 0.05 80.0 5760000.0 8.0 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
45.0 0.05 30.0 876000.0 42.0 -0.068 -0.04 0.19057 0.382 -0.01 0.02
47.5 1.55 24.0 84000.0 3.0 -0.983 -0.0 0.06236 0.125 -0.19 1.49
50.0 3.7 23.8506381825 72000.0 2.0 -1.0 0.01 0.0 0.0 -0.2 3.99
60.0 13.7 24.0 36000.0 1.0 -1.0 0.02 0.0 0.0 -0.24 13.98

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