RPOWER Options

Date: 28Jan2016 Expiry date: 28Jan2016

Underlying Price: 50.35 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 2.95 55.0 276000.0 19.0 0.956 -0.09 0.05321 0.294 0.18 2.89
50.0 0.3 54.9648552233 1728000.0 410.0 0.59 -0.35 0.22306 1.233 0.11 0.89
52.5 0.05 46.0 3360000.0 181.0 0.119 -0.17 0.11377 0.629 0.02 0.1
55.0 0.05 82.0 3288000.0 4.0 0.006 -0.01 0.00942 0.052 0.0 0.0
57.5 0.05 54.9648552233 2700000.0 4.0 0.0 -0.0 0.00016 0.001 0.0 0.0
60.0 0.05 54.9648552233 8112000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
62.5 0.05 54.9648552233 2760000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 54.9648552233 444000.0 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 60.0 1368000.0 9.0 -0.044 -0.08 0.05321 0.294 -0.01 0.03
50.0 0.1 19.0 948000.0 168.0 -0.41 -0.33 0.22306 1.233 -0.08 0.53
52.5 2.3 55.0 312000.0 23.0 -0.881 -0.16 0.11377 0.629 -0.18 2.24
55.0 4.7 55.0 744000.0 30.0 -0.994 0.0 0.00942 0.052 -0.22 4.64
57.5 6.7 54.9648552233 492000.0 11.0 -1.0 0.02 0.00016 0.001 -0.23 7.13
60.0 9.6 55.0 612000.0 14.0 -1.0 0.02 0.0 0.0 -0.24 9.63
62.5 12.3 55.0 24000.0 2.0 -1.0 0.02 0.0 0.0 -0.25 12.13
67.5 17.35 55.0 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 17.13
72.5 22.0 55.0 0.0 1.0 -1.0 0.02 0.0 0.0 -0.29 22.13

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