RPOWER Options

Date: 25Jan2017 Expiry date: 25Jan2017

Underlying Price: 44.0 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
40.0 4.0 17.0 96000.0 5.0 1.0 -0.01 0.0 0.0 0.16 4.01
42.5 1.45 17.0 228000.0 19.0 1.0 -0.01 0.0036 0.005 0.17 1.51
45.0 0.05 30.0 1848000.0 164.0 0.018 -0.01 0.0962 0.124 0.0 0.0
47.5 0.05 75.0 1644000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 16.806099301 1932000.0 3.0 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
42.5 0.05 42.0 636000.0 20.0 -0.0 -0.0 0.0036 0.005 -0.0 0.0
45.0 1.15 39.0 228000.0 13.0 -0.982 0.0 0.0962 0.124 -0.18 0.99
47.5 3.65 17.0 36000.0 3.0 -1.0 0.01 0.0 0.0 -0.19 3.49
50.0 6.3 17.0 60000.0 3.0 -1.0 0.01 0.0 0.0 -0.2 5.99
60.0 16.3 17.0 36000.0 3.0 -1.0 0.02 0.0 0.0 -0.24 15.98

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