RPOWER Options

Date: 28Aug2014 Expiry date: 28Aug2014

Underlying Price: 74.55 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
72.5 0.55 35.9821036199 8000.0 1.0 0.895 -0.17 0.1076 0.854 0.26 2.16
75.0 0.05 10.25 900000.0 534.0 0.404 -0.34 0.22931 1.82 0.12 0.48
77.5 0.05 40.0 1052000.0 298.0 0.046 -0.08 0.05676 0.45 0.01 0.03
80.0 0.05 64.0 1280000.0 104.0 0.001 -0.0 0.002 0.016 0.0 0.0
82.5 0.05 85.0 468000.0 4.0 0.0 -0.0 1e-05 0.0 0.0 0.0
85.0 0.05 35.9821036199 1092000.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
87.5 0.05 35.9821036199 900000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 35.9821036199 2512000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
92.5 0.05 35.9821036199 1816000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 35.9821036199 1860000.0 33.0 0.0 -0.0 0.0 0.0 0.0 0.0
97.5 0.05 35.9821036199 160000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 35.9821036199 552000.0 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
70.0 0.05 59.0 180000.0 4.0 -0.003 -0.01 0.00466 0.037 -0.0 0.0
72.5 0.05 31.0 328000.0 95.0 -0.105 -0.15 0.1076 0.854 -0.03 0.09
75.0 0.45 9.0 484000.0 537.0 -0.596 -0.31 0.22931 1.82 -0.18 0.91
77.5 3.0 36.0 156000.0 19.0 -0.954 -0.06 0.05676 0.45 -0.29 2.96
80.0 5.45 36.0 432000.0 38.0 -0.999 0.02 0.002 0.016 -0.32 5.43
82.5 7.5 35.9821036199 284000.0 10.0 -1.0 0.02 1e-05 0.0 -0.33 7.93
85.0 10.35 36.0 400000.0 21.0 -1.0 0.02 0.0 0.0 -0.34 10.43
87.5 13.2 36.0 148000.0 6.0 -1.0 0.02 0.0 0.0 -0.35 12.93
90.0 15.35 36.0 424000.0 25.0 -1.0 0.02 0.0 0.0 -0.36 15.43
92.5 18.0 36.0 120000.0 4.0 -1.0 0.03 0.0 0.0 -0.37 17.92
95.0 20.5 36.0 220000.0 37.0 -1.0 0.03 0.0 0.0 -0.38 20.42
97.5 21.95 36.0 60000.0 2.0 -1.0 0.03 0.0 0.0 -0.39 22.92
100.0 24.65 36.0 120000.0 12.0 -1.0 0.03 0.0 0.0 -0.4 25.42
105.0 30.85 36.0 28000.0 5.0 -1.0 0.03 0.0 0.0 -0.42 30.42
107.5 32.0 36.0 28000.0 3.0 -1.0 0.03 0.0 0.0 -0.43 32.92
110.0 35.2 36.0 44000.0 13.0 -1.0 0.03 0.0 0.0 -0.44 35.42

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