RPOWER Options

Date: 28Apr2016 Expiry date: 28Apr2016

Underlying Price: 51.65 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
47.5 4.8 34.5232517796 108000.0 5.0 1.0 -0.01 0.00019 0.001 0.19 4.16
50.0 1.65 35.0 564000.0 47.0 0.935 -0.08 0.11248 0.411 0.18 1.7
52.5 0.1 29.0 1536000.0 167.0 0.234 -0.18 0.27274 0.997 0.05 0.15
55.0 0.05 62.0 4128000.0 105.0 0.002 -0.0 0.00585 0.021 0.0 0.0
62.5 0.05 34.5232517796 84000.0 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
47.5 0.05 80.0 516000.0 1.0 -0.0 -0.0 0.00019 0.001 -0.0 0.0
50.0 0.05 38.0 1404000.0 20.0 -0.065 -0.07 0.11248 0.411 -0.01 0.03
52.5 0.6 34.5232517796 924000.0 126.0 -0.766 -0.16 0.27274 0.997 -0.16 0.99
55.0 1.8 34.5232517796 72000.0 1.0 -0.998 0.01 0.00585 0.021 -0.22 3.34
60.0 8.05 35.0 132000.0 4.0 -1.0 0.02 0.0 0.0 -0.24 8.33
62.5 10.0 34.5232517796 12000.0 2.0 -1.0 0.02 0.0 0.0 -0.25 10.83
67.5 15.0 34.5232517796 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 15.83
70.0 18.05 35.0 72000.0 4.0 -1.0 0.02 0.0 0.0 -0.28 18.33

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