RPOWER Options

Date: 28Jul2016 Expiry date: 28Jul2016

Underlying Price: 54.1 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
50.0 4.15 22.0 360000.0 8.0 1.0 -0.01 0.0 0.0 0.2 4.11
52.5 1.65 22.0 1104000.0 32.0 0.989 -0.02 0.04077 0.1 0.21 1.62
55.0 0.05 23.0 3504000.0 322.0 0.113 -0.07 0.26572 0.652 0.02 0.04
57.5 0.05 60.0 2172000.0 129.0 0.0 -0.0 2e-05 0.0 0.0 0.0
60.0 0.05 92.0 2496000.0 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
50.0 0.05 75.0 1452000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
52.5 0.05 36.0 780000.0 9.0 -0.011 -0.01 0.04077 0.1 -0.0 0.0
55.0 0.8 21.1123325774 1092000.0 85.0 -0.887 -0.06 0.26572 0.652 -0.19 0.92
57.5 3.25 22.0 132000.0 3.0 -1.0 0.02 2e-05 0.0 -0.23 3.38
60.0 5.5 21.1123325774 144000.0 1.0 -1.0 0.02 0.0 0.0 -0.24 5.88
67.5 12.45 21.1123325774 0.0 1.0 -1.0 0.02 0.0 0.0 -0.27 13.38

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