RPOWER Options

Date: 25Oct2011 Expiry date: 25Oct2011

Underlying Price: 92.0 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
75.0 13.0 33.9473381241 16000.0 3.0 1.0 -0.02 0.0 0.0 0.3 17.02
80.0 11.5 34.0 114000.0 15.0 1.0 -0.02 0.0 0.0 0.32 12.02
85.0 6.65 33.9473381241 176000.0 67.0 1.0 -0.02 0.0002 0.002 0.34 7.02
90.0 1.6 33.9473381241 398000.0 425.0 0.853 -0.25 0.11668 1.33 0.3 2.17
95.0 0.05 32.5 212000.0 28.0 0.07 -0.13 0.06815 0.777 0.03 0.06
100.0 0.05 70.0 230000.0 20.0 0.0 -0.0 0.00011 0.001 0.0 0.0
180.0 0.7 33.9473381241 6000.0 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
75.0 0.05 33.9473381241 78000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 33.9473381241 122000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 69.0 130000.0 35.0 -0.0 -0.0 0.0002 0.002 -0.0 0.0
90.0 0.05 25.0 138000.0 103.0 -0.147 -0.22 0.11668 1.33 -0.05 0.15
120.0 31.0 75.75 16000.0 1.0 -1.0 0.03 0.0 0.0 -0.48 27.97

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