RPOWER Options

Date: 25Feb2016 Expiry date: 25Feb2016

Underlying Price: 43.45 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
40.0 3.75 97.0 12000.0 2.0 0.999 -0.01 0.00183 0.006 0.16 3.46
42.5 0.9 40.7248669699 1008000.0 13.0 0.812 -0.16 0.24188 0.738 0.14 1.08
45.0 0.05 42.0 3480000.0 351.0 0.09 -0.09 0.14533 0.443 0.02 0.05
47.5 0.05 85.0 1992000.0 48.0 0.0 -0.0 0.00093 0.003 0.0 0.0
50.0 0.05 40.7248669699 4044000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
52.5 0.05 40.7248669699 1356000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 40.7248669699 2508000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 40.7248669699 1872000.0 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
40.0 0.05 82.0 840000.0 5.0 -0.001 -0.0 0.00183 0.006 -0.0 0.0
42.5 0.05 31.0 1128000.0 24.0 -0.188 -0.15 0.24188 0.738 -0.03 0.12
45.0 1.45 40.7248669699 912000.0 92.0 -0.91 -0.08 0.14533 0.443 -0.16 1.58
47.5 4.05 41.0 264000.0 3.0 -1.0 0.01 0.00093 0.003 -0.19 4.04
50.0 6.55 41.0 444000.0 13.0 -1.0 0.01 0.0 0.0 -0.2 6.54
52.5 8.0 40.7248669699 144000.0 2.0 -1.0 0.01 0.0 0.0 -0.21 9.04
55.0 10.7 40.7248669699 144000.0 3.0 -1.0 0.02 0.0 0.0 -0.22 11.53
57.5 13.2 40.7248669699 84000.0 4.0 -1.0 0.02 0.0 0.0 -0.23 14.03
60.0 16.6 41.0 156000.0 6.0 -1.0 0.02 0.0 0.0 -0.24 16.53

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