RPOWER Options

Date: 26Apr2012 Expiry date: 26Apr2012

Underlying Price: 102.0 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
100.0 2.5 43.0 12000.0 1.0 0.812 -0.34 0.11501 1.734 0.32 2.27
105.0 0.05 29.5 296000.0 242.0 0.108 -0.22 0.07916 1.193 0.04 0.12
110.0 0.05 64.0 464000.0 35.0 0.001 -0.0 0.00084 0.013 0.0 0.0
115.0 0.05 93.0 492000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 36.5144422527 892000.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
125.0 0.05 36.5144422527 636000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 36.5144422527 1044000.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
150.0 0.05 36.5144422527 244000.0 2.0 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
100.0 0.1 27.0 464000.0 95.0 -0.188 -0.31 0.11501 1.734 -0.08 0.25
105.0 3.15 37.0 124000.0 63.0 -0.892 -0.19 0.07916 1.193 -0.37 3.09
110.0 8.0 37.0 112000.0 15.0 -0.999 0.03 0.00084 0.013 -0.44 7.97
115.0 13.15 37.0 156000.0 15.0 -1.0 0.03 0.0 0.0 -0.46 12.97
120.0 18.05 37.0 280000.0 13.0 -1.0 0.03 0.0 0.0 -0.48 17.97
125.0 21.0 36.5144422527 32000.0 1.0 -1.0 0.03 0.0 0.0 -0.5 22.97
130.0 25.0 36.5144422527 52000.0 5.0 -1.0 0.04 0.0 0.0 -0.52 27.96

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