RPOWER Options

Date: 25Jan2012 Expiry date: 25Jan2012

Underlying Price: 97.4 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
70.0 27.35 41.0 64000.0 1.0 1.0 -0.02 0.0 0.0 0.28 27.42
75.0 22.4 41.0 208000.0 8.0 1.0 -0.02 0.0 0.0 0.3 22.42
80.0 17.35 41.0 120000.0 10.0 1.0 -0.02 0.0 0.0 0.32 17.42
85.0 10.1 40.9752177646 84000.0 8.0 1.0 -0.02 0.0 0.0 0.34 12.42
90.0 7.3 41.0 272000.0 46.0 0.999 -0.03 0.00136 0.021 0.36 7.43
95.0 2.15 40.9752177646 228000.0 98.0 0.839 -0.33 0.0972 1.499 0.31 2.64
100.0 0.05 27.5 632000.0 125.0 0.159 -0.31 0.09655 1.489 0.06 0.21

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
70.0 0.05 40.9752177646 284000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 40.9752177646 296000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 40.9752177646 344000.0 9.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
85.0 0.05 40.9752177646 380000.0 5.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 68.0 400000.0 46.0 -0.001 -0.0 0.00136 0.021 -0.0 0.0
95.0 0.05 27.0 52000.0 27.0 -0.161 -0.3 0.0972 1.499 -0.06 0.22

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