RPOWER Options

Date: 24Jun2010 Expiry date: 24Jun2010

Underlying Price: 167.2 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
150.0 19.5 42.3305142947 64000.0 1.0 1.0 -0.04 2e-05 0.001 0.6 17.24
160.0 7.25 43.0 262000.0 26.0 0.953 -0.26 0.02203 1.034 0.6 7.33
170.0 0.05 17.0 1020000.0 664.0 0.275 -0.76 0.07479 3.512 0.18 0.74
180.0 0.05 58.0 1422000.0 161.0 0.003 -0.02 0.00208 0.098 0.0 0.0
190.0 0.05 92.0 700000.0 30.0 0.0 -0.0 0.0 0.0 0.0 0.0
200.0 0.05 42.3305142947 350000.0 22.0 0.0 -0.0 0.0 0.0 0.0 0.0
210.0 0.05 42.3305142947 24000.0 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
150.0 0.05 81.0 346000.0 4.0 -0.0 -0.0 2e-05 0.001 -0.0 0.0
160.0 0.05 38.0 306000.0 28.0 -0.047 -0.22 0.02203 1.034 -0.03 0.09
170.0 2.6 42.3305142947 204000.0 62.0 -0.725 -0.71 0.07479 3.512 -0.5 3.5
180.0 12.4 43.0 232000.0 7.0 -0.997 0.03 0.00208 0.098 -0.71 12.75

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