RPOWER Options

Date: 25Jul2013 Expiry date: 25Jul2013

Underlying Price: 76.3 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
60.0 16.3 47.0 56000.0 8.0 1.0 -0.02 0.0 0.0 0.24 16.32
62.5 15.0 46.2297858467 52000.0 1.0 1.0 -0.02 0.0 0.0 0.25 13.82
65.0 12.1 46.2297858467 192000.0 9.0 1.0 -0.02 0.0 0.0 0.26 11.32
67.5 9.25 47.0 92000.0 2.0 1.0 -0.02 2e-05 0.0 0.27 8.82
70.0 6.2 47.0 228000.0 51.0 0.999 -0.02 0.0021 0.022 0.28 6.32
72.5 4.1 55.0 100000.0 19.0 0.962 -0.11 0.03694 0.395 0.28 3.85
75.0 1.3 21.0 796000.0 113.0 0.73 -0.38 0.1487 1.588 0.21 1.69
77.5 0.1 24.5 536000.0 177.0 0.304 -0.4 0.15753 1.682 0.09 0.42
80.0 0.05 46.0 2716000.0 619.0 0.055 -0.12 0.04977 0.532 0.02 0.05
82.5 0.05 69.0 908000.0 53.0 0.004 -0.01 0.00524 0.056 0.0 0.0
85.0 0.05 90.0 1640000.0 29.0 0.0 -0.0 0.0002 0.002 0.0 0.0
90.0 0.05 46.2297858467 1092000.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 46.2297858467 440000.0 20.0 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
60.0 0.05 46.2297858467 628000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
65.0 0.05 46.2297858467 600000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 0.05 46.2297858467 108000.0 2.0 -0.0 -0.0 2e-05 0.0 -0.0 0.0
70.0 0.05 76.0 824000.0 46.0 -0.001 -0.01 0.0021 0.022 -0.0 0.0
72.5 0.05 50.0 268000.0 24.0 -0.038 -0.09 0.03694 0.395 -0.01 0.03
75.0 0.1 27.0 1176000.0 279.0 -0.27 -0.36 0.1487 1.588 -0.08 0.37
77.5 1.05 46.2297858467 404000.0 231.0 -0.696 -0.37 0.15753 1.682 -0.22 1.6
80.0 3.6 47.0 388000.0 74.0 -0.945 -0.1 0.04977 0.532 -0.3 3.73
82.5 4.65 46.2297858467 28000.0 3.0 -0.996 0.01 0.00524 0.056 -0.33 6.18
85.0 7.1 46.2297858467 68000.0 11.0 -1.0 0.02 0.0002 0.002 -0.34 8.68
90.0 11.75 11.25 16000.0 14.0 -1.0 0.02 0.0 0.0 -0.36 13.68
95.0 18.85 47.0 24000.0 23.0 -1.0 0.03 0.0 0.0 -0.38 18.67

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