RPOWER Options

Date: 28Jul2011 Expiry date: 28Jul2011

Underlying Price: 113.0 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
110.0 3.3 34.0 66000.0 5.0 0.984 -0.06 0.0277 0.283 0.43 3.04
120.0 0.05 52.0 836000.0 78.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 20.1503061093 362000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
140.0 0.05 20.1503061093 76000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
150.0 0.05 20.1503061093 20000.0 10.0 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
110.0 0.1 33.0 160000.0 10.0 -0.016 -0.03 0.0277 0.283 -0.01 0.01
120.0 7.0 21.0 64000.0 5.0 -1.0 0.03 0.0 0.0 -0.48 6.97

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