RPOWER Options

Date: 25Nov2010 Expiry date: 25Nov2010

Underlying Price: 157.9 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
160.0 0.25 24.0 116000.0 81.0 0.353 -0.98 0.07153 3.697 0.22 1.22
170.0 0.05 58.0 652000.0 343.0 0.013 -0.09 0.00655 0.338 0.01 0.02
180.0 0.05 94.0 1350000.0 81.0 0.0 -0.0 3e-05 0.002 0.0 0.0
190.0 0.05 52.2381308548 1586000.0 16.0 0.0 -0.0 0.0 0.0 0.0 0.0
200.0 0.05 52.2381308548 1398000.0 34.0 0.0 -0.0 0.0 0.0 0.0 0.0
210.0 0.05 52.2381308548 332000.0 21.0 0.0 -0.0 0.0 0.0 0.0 0.0
220.0 0.05 52.2381308548 320000.0 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
140.0 0.4 52.2381308548 40000.0 1.0 -0.0 -0.0 9e-05 0.005 -0.0 0.0
150.0 0.05 44.0 186000.0 6.0 -0.057 -0.29 0.02188 1.131 -0.04 0.13
160.0 1.9 52.2381308548 308000.0 150.0 -0.647 -0.94 0.07153 3.697 -0.42 3.27
170.0 12.5 53.0 438000.0 104.0 -0.987 -0.04 0.00655 0.338 -0.67 12.08
180.0 15.9 52.2381308548 436000.0 23.0 -1.0 0.05 3e-05 0.002 -0.71 22.05
190.0 23.4 52.2381308548 140000.0 2.0 -1.0 0.05 0.0 0.0 -0.75 32.05

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