RPOWER Options

Date: 26May2016 Expiry date: 26May2016

Underlying Price: 48.65 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 3.6 26.0 48000.0 2.0 1.0 -0.01 0.0 0.0 0.18 3.66
47.5 1.1 25.3642032839 564000.0 25.0 0.936 -0.06 0.16106 0.384 0.18 1.18
50.0 0.05 34.0 2832000.0 57.0 0.046 -0.04 0.12356 0.294 0.01 0.01
52.5 0.05 73.0 1944000.0 1.0 0.0 -0.0 1e-05 0.0 0.0 0.0
55.0 0.05 25.3642032839 3588000.0 5.0 0.0 -0.0 0.0 0.0 0.0 -0.0
60.0 0.05 25.3642032839 948000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 0.05 25.3642032839 48000.0 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
47.5 0.05 31.0 996000.0 67.0 -0.064 -0.05 0.16106 0.384 -0.01 0.02
50.0 1.35 26.0 252000.0 11.0 -0.954 -0.02 0.12356 0.294 -0.19 1.35
52.5 4.0 26.0 240000.0 9.0 -1.0 0.01 1e-05 0.0 -0.21 3.84
55.0 6.7 25.3642032839 48000.0 1.0 -1.0 0.02 0.0 0.0 -0.22 6.33
57.5 8.75 26.0 36000.0 1.0 -1.0 0.02 0.0 0.0 -0.23 8.83
60.0 11.8 26.0 180000.0 6.0 -1.0 0.02 0.0 0.0 -0.24 11.33
62.5 13.9 26.0 0.0 1.0 -1.0 0.02 0.0 0.0 -0.25 13.83
67.5 19.05 26.0 24000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 18.83

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