RPOWER Options

Date: 26Nov2015 Expiry date: 26Nov2015

Underlying Price: 52.25 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 6.9 41.6825426288 228000.0 7.0 1.0 -0.01 0.0 0.0 0.18 7.26
47.5 4.6 42.0 732000.0 20.0 1.0 -0.01 0.00037 0.002 0.19 4.76
50.0 2.05 41.6825426288 3588000.0 1231.0 0.955 -0.08 0.06855 0.31 0.19 2.29
52.5 0.15 19.0 2796000.0 590.0 0.437 -0.28 0.28721 1.297 0.09 0.44
55.0 0.05 53.0 5232000.0 239.0 0.027 -0.04 0.04518 0.204 0.01 0.01
60.0 0.05 41.6825426288 2460000.0 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
45.0 0.05 41.6825426288 1356000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
47.5 0.05 88.0 840000.0 8.0 -0.0 -0.0 0.00037 0.002 -0.0 0.0
50.0 0.05 48.0 924000.0 124.0 -0.045 -0.06 0.06855 0.31 -0.01 0.03
52.5 0.45 25.0 96000.0 6.0 -0.563 -0.26 0.28721 1.297 -0.12 0.67
55.0 5.1 41.6825426288 48000.0 9.0 -0.973 -0.03 0.04518 0.204 -0.21 2.75
60.0 10.4 41.6825426288 36000.0 6.0 -1.0 0.02 0.0 0.0 -0.24 7.73
62.5 13.25 41.6825426288 24000.0 3.0 -1.0 0.02 0.0 0.0 -0.25 10.23

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