RPOWER Options

Date: 24Dec2014 Expiry date: 24Dec2014

Underlying Price: 60.95 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
60.0 0.85 25.843462404 772000.0 215.0 0.839 -0.14 0.2463 0.938 0.2 1.05
62.5 0.05 30.0 1548000.0 442.0 0.065 -0.06 0.12717 0.484 0.02 0.03
65.0 0.05 61.0 2060000.0 82.0 0.0 -0.0 0.00018 0.001 0.0 0.0
67.5 0.05 89.0 1376000.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 25.843462404 4324000.0 45.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 25.843462404 740000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 25.843462404 2412000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 25.843462404 1612000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
82.5 0.05 25.843462404 16000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 25.843462404 404000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
87.5 0.05 25.843462404 8000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 25.843462404 112000.0 2.0 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
57.5 0.05 58.0 356000.0 7.0 -0.0 -0.0 0.00061 0.002 -0.0 0.0
60.0 0.05 22.0 1156000.0 310.0 -0.161 -0.12 0.2463 0.938 -0.04 0.08
62.5 1.55 26.0 372000.0 49.0 -0.935 -0.05 0.12717 0.484 -0.23 1.56
65.0 4.1 26.0 632000.0 62.0 -1.0 0.02 0.00018 0.001 -0.26 4.03
67.5 6.5 26.0 352000.0 22.0 -1.0 0.02 0.0 0.0 -0.27 6.53
70.0 9.1 26.0 560000.0 65.0 -1.0 0.02 0.0 0.0 -0.28 9.03
72.5 11.5 26.0 28000.0 1.0 -1.0 0.02 0.0 0.0 -0.29 11.53
75.0 14.0 26.0 64000.0 40.0 -1.0 0.02 0.0 0.0 -0.3 14.03
80.0 18.5 26.0 104000.0 12.0 -1.0 0.02 0.0 0.0 -0.32 19.03
85.0 24.3 26.0 44000.0 11.0 -1.0 0.02 0.0 0.0 -0.34 24.03
87.5 26.15 26.0 4000.0 1.0 -1.0 0.02 0.0 0.0 -0.35 26.53
90.0 28.95 26.0 68000.0 18.0 -1.0 0.02 0.0 0.0 -0.36 29.03
95.0 33.45 26.0 4000.0 2.0 -1.0 0.03 0.0 0.0 -0.38 34.02
100.0 39.15 26.0 84000.0 3.0 -1.0 0.03 0.0 0.0 -0.4 39.02

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