RPOWER Options

Date: 28Dec2017 Expiry date: 28Dec2017

Underlying Price: 44.85 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
37.5 8.0 33.2725044272 720000.0 4.0 1.0 -0.01 0.0 0.0 0.15 7.36
40.0 4.75 34.0 1068000.0 111.0 1.0 -0.01 0.0 0.0 0.16 4.86
42.5 2.2 33.2725044272 1092000.0 128.0 0.995 -0.02 0.01477 0.039 0.17 2.36
45.0 0.1 14.0 3504000.0 1187.0 0.446 -0.19 0.42057 1.117 0.08 0.31
47.5 0.05 60.0 3240000.0 1129.0 0.003 -0.0 0.01064 0.028 0.0 0.0
50.0 0.05 99.0 1884000.0 264.0 0.0 -0.0 0.0 0.0 0.0 0.0
52.5 0.05 33.2725044272 192000.0 11.0 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
40.0 0.05 33.2725044272 1176000.0 11.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
42.5 0.05 58.0 996000.0 74.0 -0.005 -0.01 0.01477 0.039 -0.0 0.0
45.0 0.25 16.0 528000.0 278.0 -0.554 -0.18 0.42057 1.117 -0.1 0.45
47.5 1.9 33.2725044272 36000.0 2.0 -0.997 0.01 0.01064 0.028 -0.19 2.64

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