RPOWER Options

Date: 28Jun2012 Expiry date: 28Jun2012

Underlying Price: 101.35 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
80.0 15.55 40.5986022743 0.0 1.0 1.0 -0.02 0.0 0.0 0.32 21.37
90.0 11.8 41.0 54000.0 15.0 1.0 -0.03 0.0 0.0 0.36 11.37
95.0 6.4 41.0 118000.0 14.0 0.995 -0.05 0.00591 0.098 0.37 6.38
100.0 1.3 40.5986022743 264000.0 111.0 0.708 -0.46 0.13247 2.192 0.28 1.86
105.0 0.05 34.5 638000.0 231.0 0.087 -0.21 0.06107 1.011 0.03 0.1
110.0 0.05 68.0 576000.0 22.0 0.001 -0.0 0.00098 0.016 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
90.0 0.05 95.0 326000.0 11.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 57.0 238000.0 14.0 -0.005 -0.02 0.00591 0.098 -0.0 0.0
100.0 0.05 17.0 382000.0 219.0 -0.292 -0.44 0.13247 2.192 -0.12 0.48
105.0 3.5 35.0 14000.0 3.0 -0.913 -0.18 0.06107 1.011 -0.38 3.72
110.0 9.0 41.0 112000.0 4.0 -0.999 0.03 0.00098 0.016 -0.44 8.62

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