RPOWER Options

Date: 27Oct2016 Expiry date: 27Oct2016

Underlying Price: 46.8 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
45.0 2.0 53.0 156000.0 1.0 0.953 -0.07 0.08784 0.287 0.17 1.83
47.5 0.05 22.0 708000.0 115.0 0.273 -0.19 0.30009 0.981 0.05 0.18
50.0 0.05 66.0 3564000.0 18.0 0.003 -0.0 0.00778 0.025 0.0 0.0
52.5 0.05 37.5960780325 2052000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 37.5960780325 1824000.0 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
45.0 0.1 55.0 804000.0 9.0 -0.047 -0.05 0.08784 0.287 -0.01 0.02
47.5 0.6 37.5960780325 624000.0 52.0 -0.727 -0.17 0.30009 0.981 -0.14 0.87
50.0 3.1 38.0 324000.0 12.0 -0.997 0.01 0.00778 0.025 -0.2 3.19
52.5 5.8 38.0 108000.0 4.0 -1.0 0.01 0.0 0.0 -0.21 5.69
55.0 8.3 38.0 60000.0 3.0 -1.0 0.02 0.0 0.0 -0.22 8.18
60.0 12.95 38.0 144000.0 7.0 -1.0 0.02 0.0 0.0 -0.24 13.18

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