RPOWER Options

Date: 25Sep2014 Expiry date: 25Sep2014

Underlying Price: 70.15 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
70.0 0.25 9.0 352000.0 100.0 0.538 -0.42 0.19086 1.755 0.15 0.92
72.5 0.05 35.0 480000.0 285.0 0.139 -0.23 0.10625 0.977 0.04 0.14
75.0 0.05 62.0 2264000.0 909.0 0.013 -0.03 0.01597 0.147 0.0 0.01
77.5 0.05 85.0 1100000.0 313.0 0.0 -0.0 0.00074 0.007 0.0 0.0
80.0 0.05 47.0893073577 2416000.0 303.0 0.0 -0.0 1e-05 0.0 0.0 0.0
82.5 0.05 47.0893073577 480000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 47.0893073577 1064000.0 24.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 47.0893073577 1612000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 47.0893073577 664000.0 27.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 47.0893073577 800000.0 4.0 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
65.0 0.05 70.0 420000.0 1.0 -0.005 -0.01 0.00662 0.061 -0.0 0.0
67.5 0.05 41.0 360000.0 8.0 -0.093 -0.17 0.07999 0.736 -0.03 0.09
70.0 0.2 16.0 1180000.0 398.0 -0.462 -0.4 0.19086 1.755 -0.13 0.75
72.5 2.35 46.0 308000.0 273.0 -0.861 -0.21 0.10625 0.977 -0.25 2.47
75.0 4.9 48.0 500000.0 264.0 -0.987 -0.01 0.01597 0.147 -0.29 4.84
77.5 5.6 47.0893073577 152000.0 8.0 -1.0 0.02 0.00074 0.007 -0.31 7.33
80.0 9.85 48.0 168000.0 27.0 -1.0 0.02 1e-05 0.0 -0.32 9.83
85.0 14.0 47.0893073577 68000.0 7.0 -1.0 0.02 0.0 0.0 -0.34 14.83
87.5 17.4 48.0 24000.0 2.0 -1.0 0.02 0.0 0.0 -0.35 17.33
90.0 19.75 48.0 56000.0 14.0 -1.0 0.02 0.0 0.0 -0.36 19.83
95.0 25.0 48.0 48000.0 27.0 -1.0 0.03 0.0 0.0 -0.38 24.82
100.0 27.45 47.0893073577 76000.0 9.0 -1.0 0.03 0.0 0.0 -0.4 29.82

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