RPOWER Options

Date: 27Jun2013 Expiry date: 27Jun2013

Underlying Price: 61.15 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
95.0 0.05 30.3164147522 68000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 1.1 30.3164147522 128000.0 80.0 0.846 -0.15 0.20345 0.915 0.2 1.26
62.5 0.05 27.0 956000.0 197.0 0.131 -0.13 0.18261 0.821 0.03 0.08
65.0 0.05 59.0 1436000.0 58.0 0.001 -0.0 0.00222 0.01 0.0 0.0
67.5 0.05 87.0 884000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 30.3164147522 1852000.0 19.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 30.3164147522 408000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 30.3164147522 2132000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 30.3164147522 1720000.0 36.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 30.3164147522 588000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 30.3164147522 480000.0 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
95.0 34.25 31.0 24000.0 7.0 -1.0 0.03 0.0 0.0 -0.38 33.82
52.5 0.05 30.3164147522 0.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
55.0 0.05 94.0 176000.0 17.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
57.5 0.05 60.0 80000.0 20.0 -0.001 -0.0 0.00176 0.008 -0.0 0.0
60.0 0.05 25.0 500000.0 255.0 -0.154 -0.14 0.20345 0.915 -0.04 0.09
62.5 1.3 24.0 132000.0 70.0 -0.869 -0.11 0.18261 0.821 -0.22 1.41
65.0 3.8 31.0 392000.0 65.0 -0.999 0.02 0.00222 0.01 -0.26 3.83
67.5 6.0 30.3164147522 56000.0 9.0 -1.0 0.02 0.0 0.0 -0.27 6.33
70.0 8.95 31.0 400000.0 25.0 -1.0 0.02 0.0 0.0 -0.28 8.83
72.5 11.85 31.0 104000.0 1.0 -1.0 0.02 0.0 0.0 -0.29 11.33
75.0 13.95 31.0 208000.0 11.0 -1.0 0.02 0.0 0.0 -0.3 13.83
80.0 19.0 31.0 160000.0 26.0 -1.0 0.02 0.0 0.0 -0.32 18.83
85.0 24.0 31.0 8000.0 2.0 -1.0 0.02 0.0 0.0 -0.34 23.83
90.0 29.0 31.0 20000.0 8.0 -1.0 0.02 0.0 0.0 -0.36 28.83

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