RPOWER Options

Date: 27May2010 Expiry date: 27May2010

Underlying Price: 154.7 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
140.0 14.25 58.0 394000.0 22.0 0.997 -0.06 0.00141 0.077 0.55 14.74
150.0 4.3 57.0725916926 624000.0 659.0 0.812 -0.78 0.04854 2.631 0.48 5.33
160.0 0.05 30.5 904000.0 60.0 0.181 -0.74 0.04736 2.567 0.11 0.54
170.0 0.05 72.0 854000.0 2.0 0.005 -0.04 0.00246 0.133 0.0 0.01
190.0 0.05 57.0725916926 230000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
200.0 0.05 57.0725916926 184000.0 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
120.0 0.05 57.0725916926 202000.0 18.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
140.0 0.05 77.0 396000.0 15.0 -0.003 -0.02 0.00141 0.077 -0.0 0.0
150.0 0.05 29.0 262000.0 73.0 -0.188 -0.74 0.04854 2.631 -0.12 0.59
160.0 5.05 30.0 230000.0 13.0 -0.819 -0.7 0.04736 2.567 -0.53 5.79
170.0 28.5 57.0725916926 26000.0 1.0 -0.995 0.01 0.00246 0.133 -0.67 15.26

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