RPOWER Options

Date: 26Oct2017 Expiry date: 26Oct2017

Underlying Price: 40.0 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
40.0 0.1 9.0 1116000.0 121.0 0.511 -0.12 0.72461 1.005 0.08 0.23
42.5 0.05 64.0 3492000.0 79.0 0.0 -0.0 5e-05 0.0 0.0 0.0
45.0 0.05 21.8449880751 2652000.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
47.5 0.05 21.8449880751 1164000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 21.8449880751 1308000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 21.8449880751 36000.0 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
40.0 0.1 10.0 972000.0 79.0 -0.489 -0.1 0.72461 1.005 -0.08 0.21
42.5 2.55 22.0 312000.0 32.0 -1.0 0.01 5e-05 0.0 -0.17 2.49
45.0 5.05 22.0 240000.0 7.0 -1.0 0.01 0.0 0.0 -0.18 4.99
47.5 7.1 21.8449880751 12000.0 1.0 -1.0 0.01 0.0 0.0 -0.19 7.49
50.0 9.8 22.0 108000.0 9.0 -1.0 0.01 0.0 0.0 -0.2 9.99
60.0 20.0 22.0 0.0 2.0 -1.0 0.02 0.0 0.0 -0.24 19.98

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