RPOWER Options

Date: 27Nov2014 Expiry date: 27Nov2014

Underlying Price: 68.3 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
65.0 3.45 40.0 32000.0 5.0 0.979 -0.06 0.03011 0.218 0.25 3.33
67.5 0.75 39.1630564545 892000.0 408.0 0.692 -0.31 0.20885 1.514 0.18 1.16
70.0 0.05 28.5 2456000.0 648.0 0.165 -0.21 0.14751 1.069 0.04 0.15
72.5 0.05 57.0 1644000.0 38.0 0.008 -0.02 0.01344 0.097 0.0 0.0
75.0 0.05 81.0 3000000.0 43.0 0.0 -0.0 0.00019 0.001 0.0 0.0
77.5 0.05 39.1630564545 1732000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 39.1630564545 4124000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 39.1630564545 1580000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 39.1630564545 288000.0 1.0 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
65.0 0.05 50.0 2048000.0 267.0 -0.021 -0.04 0.03011 0.218 -0.01 0.01
67.5 0.05 17.5 972000.0 429.0 -0.308 -0.29 0.20885 1.514 -0.08 0.34
70.0 1.65 28.0 624000.0 85.0 -0.835 -0.19 0.14751 1.069 -0.23 1.83
72.5 4.1 40.0 392000.0 24.0 -0.992 0.0 0.01344 0.097 -0.29 4.18
75.0 6.75 40.0 404000.0 65.0 -1.0 0.02 0.00019 0.001 -0.3 6.68
77.5 9.3 40.0 76000.0 6.0 -1.0 0.02 0.0 0.0 -0.31 9.18
80.0 11.8 40.0 128000.0 27.0 -1.0 0.02 0.0 0.0 -0.32 11.68
85.0 16.35 40.0 60000.0 6.0 -1.0 0.02 0.0 0.0 -0.34 16.68
90.0 21.85 40.0 80000.0 1.0 -1.0 0.02 0.0 0.0 -0.36 21.68
95.0 26.25 40.0 4000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 26.67
100.0 31.7 40.0 56000.0 11.0 -1.0 0.03 0.0 0.0 -0.4 31.67

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