RPOWER Options

Date: 25Jan2018 Expiry date: 25Jan2018

Underlying Price: 47.15 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 8.15 91.5941774132 221000.0 1.0 0.998 -0.02 0.00229 0.019 0.16 7.16
42.5 4.65 92.0 182000.0 4.0 0.967 -0.11 0.02733 0.221 0.16 4.7
45.0 2.05 91.5941774132 598000.0 15.0 0.8 -0.39 0.10284 0.831 0.14 2.47
47.5 0.15 24.0 1833000.0 124.0 0.462 -0.55 0.14601 1.18 0.08 0.93
50.0 0.05 61.0 4524000.0 294.0 0.163 -0.34 0.09042 0.731 0.03 0.23
52.5 0.05 97.0 2028000.0 30.0 0.034 -0.1 0.02753 0.222 0.01 0.04
55.0 0.05 91.5941774132 3497000.0 22.0 0.004 -0.02 0.00455 0.037 0.0 0.0
57.5 0.05 91.5941774132 1222000.0 12.0 0.0 -0.0 0.00044 0.004 0.0 0.0
60.0 0.05 91.5941774132 5447000.0 14.0 0.0 -0.0 3e-05 0.0 0.0 0.0
62.5 0.05 91.5941774132 3224000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 91.5941774132 3640000.0 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
42.5 0.05 97.0 637000.0 7.0 -0.033 -0.1 0.02733 0.221 -0.01 0.04
45.0 0.05 52.0 1781000.0 87.0 -0.2 -0.38 0.10284 0.831 -0.04 0.31
47.5 0.4 17.0 689000.0 71.0 -0.538 -0.53 0.14601 1.18 -0.11 1.27
50.0 2.8 72.0 1105000.0 39.0 -0.837 -0.32 0.09042 0.731 -0.17 3.06
52.5 5.4 92.0 923000.0 6.0 -0.966 -0.09 0.02753 0.222 -0.2 5.37
55.0 7.85 92.0 1079000.0 17.0 -0.996 -0.0 0.00455 0.037 -0.22 7.84
57.5 10.5 92.0 806000.0 4.0 -1.0 0.01 0.00044 0.004 -0.23 10.33
60.0 13.15 92.0 1768000.0 21.0 -1.0 0.02 3e-05 0.0 -0.24 12.83
62.5 15.55 92.0 611000.0 6.0 -1.0 0.02 0.0 0.0 -0.25 15.33

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