RPOWER Options

Date: 25Aug2011 Expiry date: 25Aug2011

Underlying Price: 82.0 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
80.0 2.0 31.0 58000.0 9.0 0.852 -0.25 0.11659 1.193 0.27 2.18
85.0 0.1 43.0 168000.0 44.0 0.072 -0.14 0.069 0.706 0.02 0.06
90.0 0.05 78.0 360000.0 75.0 0.0 -0.0 0.00013 0.001 0.0 0.0
95.0 0.05 38.3527985941 90000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 38.3527985941 554000.0 52.0 0.0 -0.0 0.0 0.0 0.0 -0.0
110.0 0.05 38.3527985941 368000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 38.3527985941 572000.0 8.0 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
80.0 0.2 42.0 214000.0 27.0 -0.148 -0.23 0.11659 1.193 -0.05 0.15
85.0 3.15 39.0 120000.0 3.0 -0.928 -0.11 0.069 0.706 -0.31 3.04
90.0 8.1 39.0 64000.0 46.0 -1.0 0.02 0.00013 0.001 -0.36 7.98
95.0 12.0 38.3527985941 8000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 12.97
100.0 16.5 38.3527985941 62000.0 41.0 -1.0 0.03 0.0 0.0 -0.4 17.97
110.0 28.0 39.0 74000.0 10.0 -1.0 0.03 0.0 0.0 -0.44 27.97
120.0 37.2 39.0 56000.0 5.0 -1.0 0.03 0.0 0.0 -0.48 37.97

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