RPOWER Options

Date: 25Aug2016 Expiry date: 25Aug2016

Underlying Price: 52.3 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
50.0 2.8 90.0 228000.0 10.0 1.0 -0.01 0.00054 0.001 0.2 2.31
52.5 0.2 21.0 564000.0 181.0 0.387 -0.13 0.607 1.261 0.08 0.17
55.0 0.05 52.0 3816000.0 168.0 0.0 -0.0 0.00012 0.0 0.0 0.0
57.5 0.05 86.0 1788000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 19.1443156347 3612000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 0.05 19.1443156347 48000.0 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
47.5 0.05 89.0 588000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
50.0 0.05 49.0 804000.0 4.0 -0.0 -0.0 0.00054 0.001 -0.0 0.0
52.5 0.25 11.0 576000.0 103.0 -0.613 -0.11 0.607 1.261 -0.13 0.36
55.0 2.25 19.1443156347 300000.0 19.0 -1.0 0.02 0.00012 0.0 -0.22 2.68
60.0 6.5 19.1443156347 108000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 7.68
65.0 10.9 19.1443156347 72000.0 3.0 -1.0 0.02 0.0 0.0 -0.26 12.68
67.5 13.9 19.1443156347 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 15.18

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