RPOWER Options

Date: 28Mar2018 Expiry date: 28Mar2018

Underlying Price: 36.1 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
35.0 1.65 37.0927575526 130000.0 1.0 0.911 -0.08 0.1907 0.366 0.13 1.14
37.5 0.05 46.0 1963000.0 232.0 0.054 -0.05 0.13052 0.25 0.01 0.02
40.0 0.05 98.0 4290000.0 36.0 0.0 -0.0 3e-05 0.0 0.0 0.0
42.5 0.05 37.0927575526 3055000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
47.5 0.05 37.0927575526 2535000.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 37.0927575526 1781000.0 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
35.0 0.05 41.0 1469000.0 39.0 -0.089 -0.07 0.1907 0.366 -0.01 0.03
37.5 1.25 37.0927575526 962000.0 112.0 -0.946 -0.04 0.13052 0.25 -0.14 1.41
40.0 3.95 38.0 1339000.0 12.0 -1.0 0.01 3e-05 0.0 -0.16 3.89
42.5 6.35 38.0 442000.0 18.0 -1.0 0.01 0.0 0.0 -0.17 6.39
45.0 8.9 38.0 1053000.0 15.0 -1.0 0.01 0.0 0.0 -0.18 8.89
47.5 10.3 37.0927575526 663000.0 4.0 -1.0 0.01 0.0 0.0 -0.19 11.39
50.0 12.55 37.0927575526 65000.0 3.0 -1.0 0.01 0.0 0.0 -0.2 13.89
55.0 18.85 38.0 182000.0 6.0 -1.0 0.02 0.0 0.0 -0.22 18.88

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