RPOWER Options

Date: 26Sep2013 Expiry date: 26Sep2013

Underlying Price: 71.45 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
65.0 7.2 34.7268256457 88000.0 12.0 1.0 -0.02 2e-05 0.0 0.26 6.47
67.5 3.9 35.0 52000.0 13.0 0.996 -0.03 0.00818 0.058 0.27 3.97
70.0 1.4 12.0 760000.0 297.0 0.832 -0.21 0.16089 1.132 0.23 1.61
72.5 0.05 19.0 1352000.0 610.0 0.26 -0.26 0.20757 1.46 0.07 0.24
75.0 0.05 48.0 2680000.0 562.0 0.014 -0.03 0.02305 0.162 0.0 0.01
77.5 0.05 72.0 340000.0 20.0 0.0 -0.0 0.00028 0.002 0.0 0.0
80.0 0.05 94.0 2640000.0 32.0 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
65.0 0.05 83.0 756000.0 30.0 -0.0 -0.0 2e-05 0.0 -0.0 0.0
67.5 0.05 55.0 372000.0 71.0 -0.004 -0.01 0.00818 0.058 -0.0 0.0
70.0 0.05 25.0 776000.0 284.0 -0.168 -0.19 0.16089 1.132 -0.05 0.14
72.5 0.95 34.7268256457 308000.0 44.0 -0.74 -0.24 0.20757 1.46 -0.21 1.27
75.0 3.55 35.0 128000.0 21.0 -0.986 -0.01 0.02305 0.162 -0.29 3.54
80.0 8.05 34.7268256457 56000.0 12.0 -1.0 0.02 0.0 0.0 -0.32 8.53

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