RPOWER Options

Date: 28Apr2011 Expiry date: 28Apr2011

Underlying Price: 128.75 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
120.0 9.0 28.0 84000.0 5.0 1.0 -0.03 3e-05 0.001 0.48 8.78
130.0 0.1 15.0 428000.0 185.0 0.294 -0.39 0.1568 2.795 0.15 0.4
140.0 0.05 67.0 770000.0 29.0 0.0 -0.0 0.0 0.0 0.0 0.0
150.0 0.05 27.1009239126 392000.0 9.0 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 59.0 338000.0 4.0 -0.0 -0.0 3e-05 0.001 -0.0 0.0
130.0 1.6 28.0 142000.0 60.0 -0.706 -0.35 0.1568 2.795 -0.37 1.62
140.0 12.0 86.0 64000.0 4.0 -1.0 0.04 0.0 0.0 -0.56 11.21
150.0 21.55 28.0 18000.0 9.0 -1.0 0.04 0.0 0.0 -0.6 21.21

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