RPOWER Options

Date: 27Jul2017 Expiry date: 27Jul2017

Underlying Price: 44.95 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
37.5 7.6 17.0 108000.0 31.0 1.0 -0.01 0.0 0.0 0.15 7.46
40.0 4.85 17.0 120000.0 4.0 1.0 -0.01 0.0 0.0 0.16 4.96
42.5 2.4 17.0 372000.0 14.0 1.0 -0.01 0.0 0.0 0.17 2.46
45.0 0.1 10.0 2988000.0 368.0 0.47 -0.1 0.86434 1.127 0.08 0.17
47.5 0.05 58.0 3312000.0 42.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 97.0 2604000.0 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
37.5 0.05 16.255308478 684000.0 25.0 0.0 -0.0 0.0 0.0 -0.0 0.0
42.5 0.05 60.0 528000.0 7.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
45.0 0.15 12.0 204000.0 86.0 -0.53 -0.08 0.86434 1.127 -0.1 0.2
50.0 5.5 46.0 144000.0 6.0 -1.0 0.01 0.0 0.0 -0.2 5.04
60.0 15.1 17.0 24000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 15.03

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