RPOWER Options

Date: 26May2011 Expiry date: 26May2011

Underlying Price: 110.1 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
110.0 0.25 6.0 114000.0 74.0 0.531 -0.39 0.21372 2.759 0.23 0.81
120.0 0.05 70.0 434000.0 64.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 26.8348464075 302000.0 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
110.0 0.15 7.5 162000.0 38.0 -0.469 -0.36 0.21372 2.759 -0.21 0.68
120.0 10.0 27.0 68000.0 16.0 -1.0 0.03 0.0 0.0 -0.48 9.87
130.0 19.75 27.0 80000.0 3.0 -1.0 0.04 0.0 0.0 -0.52 19.86

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