RPOWER Options

Date: 24Nov2016 Expiry date: 24Nov2016

Underlying Price: 38.65 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
37.5 1.9 31.7319173073 12000.0 1.0 0.938 -0.06 0.15899 0.299 0.14 1.18
40.0 0.1 52.0 2028000.0 162.0 0.045 -0.04 0.12307 0.231 0.01 0.01
42.5 0.05 91.0 1272000.0 9.0 0.0 -0.0 1e-05 0.0 0.0 0.0
45.0 0.05 31.7319173073 1752000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 31.7319173073 2004000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
52.5 0.05 31.7319173073 528000.0 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
37.5 0.05 39.0 624000.0 14.0 -0.062 -0.05 0.15899 0.299 -0.01 0.02
40.0 0.55 31.7319173073 1020000.0 94.0 -0.955 -0.03 0.12307 0.231 -0.15 1.35
42.5 3.35 31.7319173073 216000.0 16.0 -1.0 0.01 1e-05 0.0 -0.17 3.84
45.0 5.8 31.7319173073 468000.0 30.0 -1.0 0.01 0.0 0.0 -0.18 6.34
47.5 8.75 32.0 204000.0 6.0 -1.0 0.01 0.0 0.0 -0.19 8.84
50.0 10.05 31.7319173073 204000.0 9.0 -1.0 0.01 0.0 0.0 -0.2 11.34
52.5 13.0 31.7319173073 12000.0 1.0 -1.0 0.01 0.0 0.0 -0.21 13.84
60.0 20.8 32.0 48000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 21.33

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