RPOWER Options

Date: 24Sep2015 Expiry date: 24Sep2015

Underlying Price: 41.55 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
30.0 11.7 42.0 12000.0 2.0 1.0 -0.01 0.0 0.0 0.12 11.56
35.0 6.5 42.0 220000.0 3.0 1.0 -0.01 0.0 0.0 0.14 6.56
37.5 3.95 42.0 276000.0 12.0 1.0 -0.01 0.00017 0.001 0.15 4.06
40.0 1.45 41.9004257599 528000.0 94.0 0.928 -0.09 0.12457 0.358 0.15 1.6
42.5 0.05 31.0 2500000.0 338.0 0.202 -0.16 0.25721 0.738 0.03 0.12
45.0 0.05 79.0 3036000.0 121.0 0.001 -0.0 0.00406 0.012 0.0 0.0
47.5 0.05 41.9004257599 356000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 41.9004257599 760000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 41.9004257599 24000.0 4.0 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
30.0 0.05 41.9004257599 200000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
37.5 0.05 98.0 640000.0 4.0 -0.0 -0.0 0.00017 0.001 -0.0 0.0
40.0 0.05 46.0 756000.0 76.0 -0.072 -0.07 0.12457 0.358 -0.01 0.04
42.5 0.95 32.0 260000.0 46.0 -0.798 -0.15 0.25721 0.738 -0.14 1.06
45.0 3.0 41.9004257599 108000.0 30.0 -0.999 0.01 0.00406 0.012 -0.18 3.44
47.5 5.9 42.0 36000.0 2.0 -1.0 0.01 0.0 0.0 -0.19 5.94
50.0 8.55 42.0 64000.0 7.0 -1.0 0.01 0.0 0.0 -0.2 8.44
60.0 18.0 42.0 24000.0 4.0 -1.0 0.02 0.0 0.0 -0.24 18.43
70.0 28.3 42.0 64000.0 10.0 -1.0 0.02 0.0 0.0 -0.28 28.43

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