RPOWER Options

Date: 26Jul2018 Expiry date: 26Jul2018

Underlying Price: 32.4 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
30.0 2.5 38.0 78000.0 42.0 0.999 -0.01 0.00246 0.004 0.12 2.41
32.5 0.1 17.0 143000.0 210.0 0.458 -0.16 0.51681 0.81 0.06 0.26
35.0 0.05 81.0 1391000.0 12.0 0.001 -0.0 0.00278 0.004 0.0 0.0
37.5 0.05 37.6125997886 520000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
40.0 0.05 37.6125997886 819000.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 37.6125997886 13000.0 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
25.0 0.05 37.6125997886 546000.0 9.0 0.0 -0.0 0.0 0.0 -0.0 0.0
30.0 0.05 82.0 1196000.0 49.0 -0.001 -0.0 0.00246 0.004 -0.0 0.0
32.5 0.25 26.0 104000.0 10.0 -0.542 -0.15 0.51681 0.81 -0.07 0.35
35.0 3.3 37.6125997886 156000.0 7.0 -0.999 0.01 0.00278 0.004 -0.14 2.59
40.0 8.25 90.5 0.0 2.0 -1.0 0.01 0.0 0.0 -0.16 7.59
45.0 13.0 38.0 65000.0 4.0 -1.0 0.01 0.0 0.0 -0.18 12.59
55.0 23.2 38.0 0.0 2.0 -1.0 0.02 0.0 0.0 -0.22 22.58

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