RPOWER Options

Date: 27Dec2012 Expiry date: 27Dec2012

Underlying Price: 93.0 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
90.0 3.0 26.0 146000.0 75.0 0.979 -0.06 0.03319 0.295 0.35 3.04
95.0 0.05 23.5 2654000.0 997.0 0.101 -0.14 0.11608 1.032 0.04 0.07
100.0 0.05 63.0 5586000.0 191.0 0.0 -0.0 1e-05 0.0 0.0 0.0
105.0 0.05 96.0 2500000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
110.0 0.05 25.9050401944 1396000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
150.0 1.5 25.9050401944 12000.0 6.0 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
90.0 0.05 34.0 1092000.0 82.0 -0.021 -0.04 0.03319 0.295 -0.01 0.01
95.0 1.85 25.9050401944 1044000.0 181.0 -0.899 -0.11 0.11608 1.032 -0.34 2.05
100.0 6.75 26.0 422000.0 100.0 -1.0 0.03 1e-05 0.0 -0.4 6.97
105.0 10.8 25.9050401944 48000.0 3.0 -1.0 0.03 0.0 0.0 -0.42 11.97
110.0 16.15 25.9050401944 28000.0 1.0 -1.0 0.03 0.0 0.0 -0.44 16.97

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