RPOWER Options

Date: 27Sep2012 Expiry date: 27Sep2012

Underlying Price: 97.95 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
80.0 18.15 37.0 194000.0 21.0 1.0 -0.02 0.0 0.0 0.32 17.97
85.0 13.0 37.0 126000.0 27.0 1.0 -0.02 0.0 0.0 0.34 12.97
90.0 8.0 37.0 340000.0 129.0 1.0 -0.03 0.00018 0.003 0.36 7.98
95.0 3.0 37.0 490000.0 383.0 0.912 -0.2 0.07082 0.983 0.34 3.07
100.0 0.1 27.5 986000.0 1689.0 0.19 -0.31 0.1206 1.674 0.07 0.23
105.0 0.05 60.0 398000.0 542.0 0.001 -0.0 0.00195 0.027 0.0 0.0
110.0 0.05 91.0 148000.0 65.0 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
70.0 0.05 36.4588412323 328000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 36.4588412323 402000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 36.4588412323 322000.0 14.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 36.4588412323 190000.0 14.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 72.0 374000.0 31.0 -0.0 -0.0 0.00018 0.003 -0.0 0.0
95.0 0.05 31.5 392000.0 407.0 -0.088 -0.18 0.07082 0.983 -0.03 0.09
100.0 1.9 36.4588412323 122000.0 130.0 -0.81 -0.28 0.1206 1.674 -0.32 2.25
105.0 5.35 36.4588412323 0.0 1.0 -0.999 0.02 0.00195 0.027 -0.42 7.02

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