RPOWER Options

Date: 26Mar2015 Expiry date: 26Mar2015

Underlying Price: 54.75 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
45.0 10.1 30.0 0.0 1.0 1.0 -0.01 0.0 0.0 0.18 9.76
50.0 4.9 30.0 16000.0 3.0 1.0 -0.01 0.0 0.0 0.2 4.76
55.0 0.05 10.0 428000.0 190.0 0.413 -0.21 0.38006 1.343 0.09 0.3
57.5 0.05 51.0 956000.0 121.0 0.005 -0.01 0.01347 0.048 0.0 0.0
60.0 0.05 83.0 2056000.0 51.0 0.0 -0.0 0.0 0.0 0.0 0.0
62.5 0.05 29.7173888797 1088000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
65.0 0.05 29.7173888797 2208000.0 41.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 29.7173888797 1500000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 29.7173888797 616000.0 5.0 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
45.0 0.05 29.7173888797 4000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
50.0 0.05 84.0 64000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
52.5 0.05 46.0 144000.0 10.0 -0.012 -0.02 0.02988 0.106 -0.0 0.0
55.0 0.3 12.0 480000.0 174.0 -0.587 -0.19 0.38006 1.343 -0.13 0.54
57.5 2.9 43.0 396000.0 46.0 -0.995 0.01 0.01347 0.048 -0.23 2.74
60.0 5.4 30.0 476000.0 72.0 -1.0 0.02 0.0 0.0 -0.24 5.23
62.5 7.95 30.0 500000.0 34.0 -1.0 0.02 0.0 0.0 -0.25 7.73
65.0 10.55 30.0 232000.0 56.0 -1.0 0.02 0.0 0.0 -0.26 10.23
70.0 15.35 30.0 88000.0 21.0 -1.0 0.02 0.0 0.0 -0.28 15.23
75.0 19.85 30.0 76000.0 6.0 -1.0 0.02 0.0 0.0 -0.3 20.23
80.0 25.5 30.0 8000.0 8.0 -1.0 0.02 0.0 0.0 -0.32 25.23
85.0 30.75 30.0 76000.0 10.0 -1.0 0.02 0.0 0.0 -0.34 30.23

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