RPOWER Options

Date: 25Mar2010 Expiry date: 25Mar2010

Underlying Price: 149.25 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
130.0 17.0 20.5641135963 2000.0 1.0 1.0 -0.04 0.0 0.0 0.52 19.29
135.0 13.3 20.5641135963 10000.0 3.0 1.0 -0.04 0.0 0.0 0.54 14.29
140.0 8.85 21.0 484000.0 82.0 1.0 -0.04 0.0 0.0 0.56 9.29
145.0 3.9 20.5641135963 348000.0 296.0 0.988 -0.07 0.01612 0.293 0.57 4.3
150.0 0.05 7.0 460000.0 283.0 0.36 -0.38 0.19349 3.517 0.21 0.47
155.0 0.05 34.0 70000.0 23.0 0.002 -0.01 0.00317 0.058 0.0 0.0
160.0 0.05 56.0 260000.0 39.0 0.0 -0.0 0.0 0.0 0.0 0.0
170.0 0.05 95.0 132000.0 8.0 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
140.0 0.05 53.0 146000.0 6.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
145.0 0.05 27.5 100000.0 39.0 -0.012 -0.03 0.01612 0.293 -0.01 0.01
150.0 5.95 20.5641135963 2000.0 1.0 -0.64 -0.33 0.19349 3.517 -0.38 1.18

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