RPOWER Options

Date: 25Apr2013 Expiry date: 25Apr2013

Underlying Price: 73.9 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
60.0 14.1 39.0 180000.0 19.0 1.0 -0.02 0.0 0.0 0.24 13.92
65.0 8.8 39.0 328000.0 48.0 1.0 -0.02 0.0 0.0 0.26 8.92
70.0 3.8 39.0 1576000.0 214.0 0.988 -0.05 0.01724 0.144 0.27 3.93
75.0 0.1 24.0 1692000.0 997.0 0.279 -0.31 0.18773 1.564 0.08 0.3
80.0 0.05 70.0 1624000.0 321.0 0.001 -0.0 0.00113 0.009 0.0 0.0
85.0 0.05 38.440149472 400000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 38.440149472 196000.0 5.0 0.0 -0.0 0.0 0.0 0.0 -0.0
100.0 0.05 38.440149472 12000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 7.3 38.440149472 52000.0 3.0 1.0 -0.02 0.00019 0.002 0.27 6.42
72.5 1.25 38.440149472 116000.0 86.0 0.792 -0.27 0.16016 1.334 0.23 1.63
77.5 0.05 47.0 484000.0 228.0 0.026 -0.05 0.03392 0.283 0.01 0.02
82.5 0.05 92.0 32000.0 3.0 0.0 -0.0 1e-05 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
60.0 0.05 38.440149472 488000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
65.0 0.05 38.440149472 676000.0 29.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
70.0 0.05 53.0 1084000.0 89.0 -0.012 -0.03 0.01724 0.144 -0.0 0.01
75.0 1.0 38.440149472 292000.0 115.0 -0.721 -0.29 0.18773 1.564 -0.22 1.38
80.0 6.0 39.0 100000.0 18.0 -0.999 0.02 0.00113 0.009 -0.32 6.08
90.0 16.1 39.0 36000.0 6.0 -1.0 0.02 0.0 0.0 -0.36 16.08
67.5 0.05 80.0 84000.0 2.0 -0.0 -0.0 0.00019 0.002 -0.0 0.0
72.5 0.05 24.0 192000.0 95.0 -0.208 -0.25 0.16016 1.334 -0.06 0.21
77.5 3.0 38.440149472 20000.0 3.0 -0.974 -0.03 0.03392 0.283 -0.3 3.6

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