RPOWER Options

Date: 26Dec2013 Expiry date: 26Dec2013

Underlying Price: 72.6 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
60.0 12.85 25.0 36000.0 12.0 1.0 -0.02 0.0 0.0 0.24 12.62
70.0 2.4 24.9105547131 540000.0 181.0 0.991 -0.03 0.02216 0.115 0.27 2.62
72.5 0.1 24.9105547131 1184000.0 945.0 0.545 -0.24 0.34799 1.813 0.16 0.52
75.0 0.05 35.0 3532000.0 757.0 0.02 -0.03 0.0431 0.225 0.01 0.01
77.5 0.05 60.0 892000.0 58.0 0.0 -0.0 7e-05 0.0 0.0 0.0
80.0 0.05 83.0 3616000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 24.9105547131 584000.0 3.0 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
60.0 0.05 24.9105547131 316000.0 8.0 0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 0.05 67.0 376000.0 1.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
70.0 0.05 39.0 1360000.0 105.0 -0.009 -0.01 0.02216 0.115 -0.0 0.0
72.5 0.15 11.0 588000.0 474.0 -0.455 -0.22 0.34799 1.813 -0.13 0.4
75.0 2.45 25.0 644000.0 52.0 -0.98 -0.01 0.0431 0.225 -0.29 2.39
77.5 4.0 24.9105547131 212000.0 3.0 -1.0 0.02 7e-05 0.0 -0.31 4.88
80.0 7.45 25.0 116000.0 25.0 -1.0 0.02 0.0 0.0 -0.32 7.38
90.0 16.95 25.0 20000.0 3.0 -1.0 0.02 0.0 0.0 -0.36 17.38

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