RPOWER Options

Date: 26Feb2014 Expiry date: 26Feb2014

Underlying Price: 62.05 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
50.0 12.4 24.0 0.0 11.0 1.0 -0.01 0.0 0.0 0.2 12.06
57.5 5.0 97.0 20000.0 1.0 1.0 -0.02 0.0 0.0 0.23 4.57
60.0 1.95 23.9081460355 272000.0 38.0 0.988 -0.03 0.03346 0.122 0.24 2.07
62.5 0.1 17.0 1164000.0 400.0 0.325 -0.17 0.38518 1.407 0.08 0.2
65.0 0.05 47.0 3296000.0 245.0 0.001 -0.0 0.00398 0.015 0.0 0.0
67.5 0.05 76.0 588000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 23.9081460355 1784000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 23.9081460355 344000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 23.9081460355 592000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 23.9081460355 336000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 23.9081460355 24000.0 1.0 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
50.0 0.05 23.9081460355 92000.0 10.0 0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 38.0 1012000.0 15.0 -0.012 -0.01 0.03346 0.122 -0.0 0.0
62.5 0.4 23.9081460355 596000.0 136.0 -0.675 -0.16 0.38518 1.407 -0.17 0.63
65.0 2.85 24.0 428000.0 25.0 -0.999 0.02 0.00398 0.015 -0.26 2.93
67.5 5.4 24.0 56000.0 3.0 -1.0 0.02 0.0 0.0 -0.27 5.43
70.0 8.0 24.0 176000.0 13.0 -1.0 0.02 0.0 0.0 -0.28 7.93
72.5 10.25 24.0 12000.0 2.0 -1.0 0.02 0.0 0.0 -0.29 10.43
75.0 12.5 24.0 12000.0 25.0 -1.0 0.02 0.0 0.0 -0.3 12.93
80.0 18.1 24.0 36000.0 35.0 -1.0 0.02 0.0 0.0 -0.32 17.93
90.0 27.85 24.0 16000.0 1.0 -1.0 0.02 0.0 0.0 -0.36 27.93

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