RPOWER Options

Date: 27Sep2018 Expiry date: 27Sep2018

Underlying Price: 26.1 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
27.5 0.1 78.0 130000.0 20.0 0.083 -0.07 0.15812 0.251 0.01 0.04
30.0 0.05 58.7487295133 754000.0 3.0 0.0 -0.0 0.00038 0.001 0.0 0.0
32.5 0.05 58.7487295133 1794000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
35.0 0.05 58.7487295133 3341000.0 9.0 0.0 -0.0 0.0 0.0 0.0 -0.0
37.5 0.05 58.7487295133 2535000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
40.0 0.05 58.7487295133 4641000.0 21.0 0.0 -0.0 0.0 0.0 0.0 0.0
42.5 0.05 58.7487295133 1209000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
45.0 0.05 58.7487295133 1365000.0 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
25.0 0.15 81.0 65000.0 2.0 -0.117 -0.09 0.2036 0.323 -0.01 0.06
27.5 1.7 58.7487295133 156000.0 6.0 -0.917 -0.07 0.15812 0.251 -0.1 1.43
30.0 3.9 59.0 429000.0 3.0 -1.0 0.01 0.00038 0.001 -0.12 3.89
32.5 6.5 59.0 416000.0 27.0 -1.0 0.01 0.0 0.0 -0.13 6.39
35.0 8.9 59.0 364000.0 23.0 -1.0 0.01 0.0 0.0 -0.14 8.89
37.5 11.65 59.0 130000.0 1.0 -1.0 0.01 0.0 0.0 -0.15 11.39
40.0 13.95 59.0 65000.0 27.0 -1.0 0.01 0.0 0.0 -0.16 13.89
45.0 18.5 59.0 13000.0 1.0 -1.0 0.01 0.0 0.0 -0.18 18.89
47.5 21.7 59.0 13000.0 2.0 -1.0 0.01 0.0 0.0 -0.19 21.39
55.0 28.4 59.0 13000.0 4.0 -1.0 0.02 0.0 0.0 -0.22 28.88

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