RPOWER Options

Date: 28Feb2013 Expiry date: 28Feb2013

Underlying Price: 71.9 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
75.0 0.05 43.0 280000.0 47.0 0.033 -0.06 0.04533 0.335 0.01 0.02
80.0 0.05 90.0 2428000.0 657.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 36.0402816225 1764000.0 301.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 36.0402816225 2092000.0 132.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 36.0402816225 2036000.0 26.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 36.0402816225 2336000.0 5.0 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 0.15 42.0 124000.0 57.0 -0.114 -0.16 0.11852 0.876 -0.03 0.09
75.0 3.15 37.0 272000.0 162.0 -0.967 -0.04 0.04533 0.335 -0.29 3.1
80.0 8.55 89.0 576000.0 105.0 -1.0 0.02 0.0 0.0 -0.32 8.08
85.0 12.5 37.0 280000.0 15.0 -1.0 0.02 0.0 0.0 -0.34 13.08
90.0 18.1 37.0 552000.0 36.0 -1.0 0.02 0.0 0.0 -0.36 18.08
95.0 23.1 37.0 204000.0 14.0 -1.0 0.03 0.0 0.0 -0.38 23.07
100.0 23.9 36.0402816225 112000.0 2.0 -1.0 0.03 0.0 0.0 -0.4 28.07
110.0 34.6 36.0402816225 84000.0 1.0 -1.0 0.03 0.0 0.0 -0.44 38.07

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