RPOWER Options

Date: 28Mar2013 Expiry date: 28Mar2013

Underlying Price: 61.5 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
60.0 1.3 47.3530446932 740000.0 628.0 0.803 -0.27 0.15129 1.075 0.19 1.72
65.0 0.05 54.0 1300000.0 28.0 0.034 -0.07 0.04066 0.289 0.01 0.02
70.0 0.05 47.3530446932 1500000.0 6.0 0.0 -0.0 2e-05 0.0 0.0 0.0
75.0 0.05 47.3530446932 1620000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 47.3530446932 2348000.0 23.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 47.3530446932 936000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 47.3530446932 1440000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 47.3530446932 328000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 47.3530446932 388000.0 2.0 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
55.0 0.05 98.0 328000.0 22.0 -0.0 -0.0 0.00018 0.001 -0.0 0.0
60.0 0.05 30.0 428000.0 192.0 -0.197 -0.25 0.15129 1.075 -0.05 0.2
65.0 3.75 61.0 100000.0 12.0 -0.966 -0.05 0.04066 0.289 -0.25 3.51
70.0 8.55 48.0 180000.0 12.0 -1.0 0.02 2e-05 0.0 -0.28 8.48
75.0 13.6 48.0 556000.0 21.0 -1.0 0.02 0.0 0.0 -0.3 13.48
80.0 18.6 48.0 236000.0 23.0 -1.0 0.02 0.0 0.0 -0.32 18.48
85.0 24.0 48.0 52000.0 2.0 -1.0 0.02 0.0 0.0 -0.34 23.48
90.0 28.5 48.0 52000.0 9.0 -1.0 0.02 0.0 0.0 -0.36 28.48
95.0 36.0 89.15625 68000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 33.47
100.0 40.0 48.0 28000.0 2.0 -1.0 0.03 0.0 0.0 -0.4 38.47

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