RPOWER Options

Date: 26Feb2015 Expiry date: 26Feb2015

Underlying Price: 62.45 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
55.0 7.6 39.0 108000.0 5.0 1.0 -0.02 0.0 0.0 0.22 7.47
57.5 5.05 39.0 192000.0 11.0 1.0 -0.02 0.00078 0.005 0.23 4.97
60.0 2.4 39.0 860000.0 110.0 0.952 -0.09 0.06556 0.393 0.23 2.5
62.5 0.1 7.5 1160000.0 554.0 0.496 -0.31 0.26193 1.57 0.12 0.59
65.0 0.05 42.0 2620000.0 305.0 0.053 -0.08 0.07084 0.425 0.01 0.03
67.5 0.05 71.0 644000.0 8.0 0.001 -0.0 0.00175 0.011 0.0 0.0
70.0 0.05 97.0 2496000.0 32.0 0.0 -0.0 1e-05 0.0 0.0 0.0
72.5 0.05 38.7205003952 168000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 38.7205003952 1384000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
77.5 0.05 38.7205003952 164000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 38.7205003952 96000.0 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
57.5 0.05 76.0 424000.0 15.0 -0.0 -0.0 0.00078 0.005 -0.0 0.0
60.0 0.05 43.0 1424000.0 187.0 -0.048 -0.08 0.06556 0.393 -0.01 0.03
62.5 0.15 8.0 568000.0 200.0 -0.504 -0.29 0.26193 1.57 -0.13 0.62
65.0 2.55 39.0 416000.0 119.0 -0.947 -0.07 0.07084 0.425 -0.24 2.57
67.5 4.95 39.0 28000.0 4.0 -0.999 0.02 0.00175 0.011 -0.27 5.03
70.0 7.2 39.0 116000.0 25.0 -1.0 0.02 1e-05 0.0 -0.28 7.53
75.0 12.5 39.0 104000.0 16.0 -1.0 0.02 0.0 0.0 -0.3 12.53
77.5 15.05 39.0 24000.0 5.0 -1.0 0.02 0.0 0.0 -0.31 15.03
80.0 17.5 39.0 28000.0 6.0 -1.0 0.02 0.0 0.0 -0.32 17.53
85.0 22.6 39.0 44000.0 6.0 -1.0 0.02 0.0 0.0 -0.34 22.53
90.0 27.6 39.0 92000.0 11.0 -1.0 0.02 0.0 0.0 -0.36 27.53

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