RPOWER Options

Date: 27Jan2011 Expiry date: 27Jan2011

Underlying Price: 140.55 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
130.0 13.9 32.1549192326 38000.0 1.0 1.0 -0.04 8e-05 0.002 0.52 10.59
140.0 0.25 32.1549192326 296000.0 544.0 0.586 -0.58 0.13688 3.45 0.32 1.45
150.0 0.05 53.0 982000.0 256.0 0.001 -0.0 0.00087 0.022 0.0 0.0
160.0 0.05 95.0 1138000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
170.0 0.05 32.1549192326 828000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
180.0 0.05 32.1549192326 490000.0 2.0 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
130.0 0.05 63.0 158000.0 7.0 -0.0 -0.0 8e-05 0.002 -0.0 0.0
140.0 0.05 6.75 358000.0 278.0 -0.414 -0.54 0.13688 3.45 -0.23 0.86
150.0 9.0 33.0 244000.0 132.0 -0.999 0.04 0.00087 0.022 -0.59 9.41
160.0 19.5 33.0 232000.0 23.0 -1.0 0.04 0.0 0.0 -0.63 19.41

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