RPOWER Options

Date: 27Aug2015 Expiry date: 27Aug2015

Underlying Price: 37.35 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
35.0 2.3 60.0 152000.0 13.0 0.96 -0.07 0.06094 0.201 0.13 2.38
37.5 0.2 29.0 964000.0 331.0 0.468 -0.28 0.28325 0.936 0.07 0.49
40.0 0.05 71.0 1480000.0 241.0 0.036 -0.06 0.05652 0.187 0.01 0.02
42.5 0.05 59.6770358513 2120000.0 254.0 0.0 -0.0 0.00085 0.003 0.0 0.0
45.0 0.05 59.6770358513 3432000.0 166.0 0.0 -0.0 0.0 0.0 0.0 0.0
47.5 0.05 59.6770358513 916000.0 20.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 59.6770358513 1732000.0 3.0 0.0 -0.0 0.0 0.0 0.0 -0.0
52.5 0.05 59.6770358513 116000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 59.6770358513 376000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 59.6770358513 16000.0 4.0 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
32.5 0.05 59.6770358513 96000.0 2.0 -0.0 -0.0 0.00027 0.001 -0.0 0.0
35.0 0.05 70.0 356000.0 43.0 -0.04 -0.06 0.06094 0.201 -0.01 0.02
37.5 0.15 6.0 108000.0 48.0 -0.532 -0.27 0.28325 0.936 -0.08 0.63
40.0 2.65 60.0 652000.0 37.0 -0.964 -0.04 0.05652 0.187 -0.15 2.66
42.5 5.2 60.0 744000.0 163.0 -1.0 0.01 0.00085 0.003 -0.17 5.14
45.0 7.55 60.0 548000.0 334.0 -1.0 0.01 0.0 0.0 -0.18 7.64
47.5 9.9 60.0 120000.0 11.0 -1.0 0.01 0.0 0.0 -0.19 10.14
50.0 12.95 60.0 132000.0 10.0 -1.0 0.01 0.0 0.0 -0.2 12.64
52.5 15.65 60.0 4000.0 1.0 -1.0 0.01 0.0 0.0 -0.21 15.14
55.0 17.75 60.0 24000.0 11.0 -1.0 0.02 0.0 0.0 -0.22 17.63
60.0 22.75 60.0 40000.0 7.0 -1.0 0.02 0.0 0.0 -0.24 22.63
65.0 27.5 60.0 52000.0 4.0 -1.0 0.02 0.0 0.0 -0.26 27.63
75.0 37.5 60.0 64000.0 20.0 -1.0 0.02 0.0 0.0 -0.3 37.63

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