RPOWER Options

Date: 27Mar2014 Expiry date: 27Mar2014

Underlying Price: 65.85 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
50.0 16.4 28.0 4000.0 4.0 1.0 -0.01 0.0 0.0 0.2 15.86
60.0 6.0 28.0 136000.0 13.0 1.0 -0.02 0.0 0.0 0.24 5.87
62.5 3.5 28.0 280000.0 19.0 0.999 -0.02 0.00307 0.014 0.25 3.37
65.0 0.9 21.0 1048000.0 254.0 0.784 -0.18 0.26061 1.216 0.2 1.01
67.5 0.05 29.0 2152000.0 648.0 0.077 -0.08 0.12865 0.6 0.02 0.04
70.0 0.05 58.0 2564000.0 127.0 0.0 -0.0 0.00064 0.003 0.0 0.0
75.0 0.05 27.1085266776 1076000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 27.1085266776 600000.0 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
50.0 0.05 27.1085266776 56000.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 83.0 860000.0 7.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
62.5 0.05 52.0 572000.0 3.0 -0.001 -0.0 0.00307 0.014 -0.0 0.0
65.0 0.05 18.5 1024000.0 83.0 -0.216 -0.16 0.26061 1.216 -0.06 0.14
67.5 1.7 28.0 392000.0 57.0 -0.923 -0.06 0.12865 0.6 -0.25 1.67
70.0 4.25 28.0 120000.0 19.0 -1.0 0.02 0.00064 0.003 -0.28 4.13
75.0 8.45 27.1085266776 156000.0 10.0 -1.0 0.02 0.0 0.0 -0.3 9.13
80.0 13.65 28.0 28000.0 21.0 -1.0 0.02 0.0 0.0 -0.32 14.13
95.0 28.9 28.0 36000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 29.12

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