RPOWER Options

Date: 24Nov2011 Expiry date: 24Nov2011

Underlying Price: 88.25 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
85.0 3.7 58.0 78000.0 7.0 0.93 -0.17 0.05874 0.743 0.31 3.34
90.0 0.2 35.0 368000.0 247.0 0.23 -0.35 0.13356 1.689 0.08 0.3
95.0 0.05 64.0 468000.0 24.0 0.002 -0.01 0.00315 0.04 0.0 0.0
100.0 0.05 99.0 642000.0 24.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 40.9308197306 362000.0 18.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 40.9308197306 32000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 40.9308197306 0.0 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
75.0 0.05 40.9308197306 44000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 83.0 156000.0 8.0 -0.0 -0.0 0.00011 0.001 -0.0 0.0
85.0 0.05 38.0 272000.0 79.0 -0.07 -0.15 0.05874 0.743 -0.02 0.07
90.0 1.55 40.9308197306 236000.0 123.0 -0.77 -0.33 0.13356 1.689 -0.28 2.03
95.0 6.0 40.9308197306 116000.0 5.0 -0.998 0.02 0.00315 0.04 -0.38 6.73
100.0 12.75 40.9308197306 138000.0 3.0 -1.0 0.03 0.0 0.0 -0.4 11.72
105.0 17.5 41.0 20000.0 1.0 -1.0 0.03 0.0 0.0 -0.42 16.72
120.0 33.0 41.0 14000.0 2.0 -1.0 0.03 0.0 0.0 -0.48 31.72

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