RPOWER Options

Date: 25Oct2012 Expiry date: 25Oct2012

Underlying Price: 98.2 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
80.0 19.0 33.0 4000.0 1.0 1.0 -0.02 0.0 0.0 0.32 18.22
90.0 8.2 33.0 114000.0 9.0 1.0 -0.03 2e-05 0.0 0.36 8.23
95.0 3.35 33.0 50000.0 4.0 0.949 -0.13 0.05188 0.648 0.36 3.27
100.0 0.05 20.5 884000.0 495.0 0.195 -0.28 0.13658 1.705 0.08 0.22
105.0 0.05 58.0 788000.0 58.0 0.001 -0.0 0.00106 0.013 0.0 0.0
110.0 0.05 90.0 1182000.0 13.0 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
80.0 0.05 32.6272888765 158000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 73.0 236000.0 10.0 -0.0 -0.0 2e-05 0.0 -0.0 0.0
95.0 0.05 33.5 328000.0 128.0 -0.051 -0.1 0.05188 0.648 -0.02 0.04
100.0 1.6 32.6272888765 194000.0 443.0 -0.805 -0.26 0.13658 1.705 -0.32 1.99
105.0 6.75 33.0 62000.0 12.0 -0.999 0.03 0.00106 0.013 -0.42 6.77
110.0 12.0 33.0 22000.0 11.0 -1.0 0.03 0.0 0.0 -0.44 11.77
120.0 19.7 32.6272888765 16000.0 2.0 -1.0 0.03 0.0 0.0 -0.48 21.77

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