RPOWER Options

Date: 25Jun2015 Expiry date: 25Jun2015

Underlying Price: 45.0 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 5.0 46.0 24000.0 1.0 1.0 -0.01 7e-05 0.0 0.16 5.01
42.5 2.5 46.0 172000.0 162.0 0.977 -0.05 0.04134 0.152 0.16 2.52
45.0 0.1 8.0 2220000.0 545.0 0.51 -0.27 0.30678 1.131 0.09 0.52
47.5 0.05 57.0 2876000.0 61.0 0.032 -0.05 0.05573 0.205 0.01 0.02
50.0 0.05 96.0 3104000.0 36.0 0.0 -0.0 0.00043 0.002 0.0 0.0
52.5 0.05 45.868338959 956000.0 25.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 45.868338959 2372000.0 18.0 0.0 -0.0 0.0 0.0 0.0 0.0
57.5 0.05 45.868338959 432000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 45.868338959 1120000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
65.0 0.05 45.868338959 420000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 45.868338959 20000.0 2.0 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 61.0 912000.0 119.0 -0.023 -0.03 0.04134 0.152 -0.0 0.01
45.0 0.1 9.0 572000.0 169.0 -0.49 -0.25 0.30678 1.131 -0.09 0.51
47.5 2.45 46.0 172000.0 11.0 -0.968 -0.03 0.05573 0.205 -0.18 2.5
50.0 5.0 46.0 304000.0 66.0 -1.0 0.01 0.00043 0.002 -0.2 4.99
52.5 7.45 46.0 296000.0 46.0 -1.0 0.01 0.0 0.0 -0.21 7.49
55.0 10.0 46.0 264000.0 37.0 -1.0 0.02 0.0 0.0 -0.22 9.98
57.5 12.5 46.0 36000.0 3.0 -1.0 0.02 0.0 0.0 -0.23 12.48
60.0 15.0 46.0 120000.0 18.0 -1.0 0.02 0.0 0.0 -0.24 14.98
62.5 17.5 46.0 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.25 17.48
65.0 20.0 46.0 80000.0 20.0 -1.0 0.02 0.0 0.0 -0.26 19.98
70.0 25.05 46.0 36000.0 3.0 -1.0 0.02 0.0 0.0 -0.28 24.98
80.0 35.0 46.0 80000.0 7.0 -1.0 0.02 0.0 0.0 -0.32 34.98

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