RPOWER Options

Date: 24Feb2011 Expiry date: 24Feb2011

Underlying Price: 110.8 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
100.0 12.95 47.4050552795 32000.0 1.0 1.0 -0.03 0.0003 0.007 0.4 10.83
110.0 0.8 7.0 114000.0 22.0 0.605 -0.66 0.11637 2.687 0.26 1.77
120.0 0.05 66.0 804000.0 98.0 0.004 -0.02 0.00363 0.084 0.0 0.0
130.0 0.05 47.4050552795 814000.0 38.0 0.0 -0.0 0.0 0.0 0.0 0.0
140.0 0.05 47.4050552795 636000.0 1.0 0.0 -0.0 0.0 0.0 0.0 -0.0
150.0 0.05 47.4050552795 544000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
160.0 0.05 47.4050552795 218000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
190.0 0.05 47.4050552795 22000.0 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
90.0 0.05 47.4050552795 276000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
100.0 0.05 83.0 304000.0 7.0 -0.0 -0.0 0.0003 0.007 -0.0 0.0
110.0 0.3 23.0 226000.0 68.0 -0.395 -0.62 0.11637 2.687 -0.18 0.94
120.0 9.2 48.0 218000.0 17.0 -0.996 0.01 0.00363 0.084 -0.47 9.17
130.0 18.7 48.0 98000.0 59.0 -1.0 0.04 0.0 0.0 -0.52 19.16
140.0 26.4 47.4050552795 176000.0 2.0 -1.0 0.04 0.0 0.0 -0.56 29.16
150.0 37.45 48.0 82000.0 1.0 -1.0 0.04 0.0 0.0 -0.6 39.16
160.0 47.0 48.0 12000.0 1.0 -1.0 0.04 0.0 0.0 -0.63 49.16

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