RPOWER Options

Date: 28Jan2010 Expiry date: 28Jan2010

Underlying Price: 144.15 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
140.0 5.0 56.0 2000.0 1.0 0.951 -0.17 0.0393 0.922 0.53 4.24
145.0 0.15 12.0 20000.0 6.0 0.381 -0.51 0.1475 3.46 0.22 0.68
150.0 0.05 35.5 244000.0 38.0 0.014 -0.05 0.01388 0.325 0.01 0.01
155.0 0.1 65.0 196000.0 2.0 0.0 -0.0 5e-05 0.001 0.0 0.0
160.0 0.05 79.0 764000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
165.0 0.05 98.0 304000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
170.0 0.05 28.4484587501 748000.0 31.0 0.0 -0.0 0.0 0.0 0.0 0.0
175.0 0.05 28.4484587501 76000.0 4.0 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
140.0 0.3 44.0 44000.0 4.0 -0.049 -0.13 0.0393 0.922 -0.03 0.05
145.0 0.8 6.0 36000.0 9.0 -0.619 -0.47 0.1475 3.46 -0.36 1.49
150.0 3.5 28.4484587501 116000.0 46.0 -0.986 -0.01 0.01388 0.325 -0.59 5.82
155.0 9.5 28.4484587501 86000.0 2.0 -1.0 0.04 5e-05 0.001 -0.61 10.81
160.0 16.9 28.4484587501 262000.0 5.0 -1.0 0.04 0.0 0.0 -0.63 15.81

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