RPOWER Options

Date: 28May2015 Expiry date: 28May2015

Underlying Price: 53.0 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
50.0 3.65 36.8116260828 48000.0 2.0 0.994 -0.02 0.01302 0.053 0.2 3.02
52.5 0.6 23.0 172000.0 30.0 0.667 -0.23 0.29568 1.213 0.14 0.79
55.0 0.05 41.0 2444000.0 297.0 0.058 -0.07 0.0941 0.386 0.01 0.03
57.5 0.05 76.0 1288000.0 24.0 0.0 -0.0 0.00073 0.003 0.0 0.0
60.0 0.05 36.8116260828 2180000.0 33.0 0.0 -0.0 0.0 0.0 0.0 0.0
62.5 0.05 36.8116260828 568000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
65.0 0.05 36.8116260828 1500000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 36.8116260828 748000.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 36.8116260828 88000.0 3.0 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 60.0 548000.0 2.0 -0.006 -0.01 0.01302 0.053 -0.0 0.0
52.5 0.05 16.5 572000.0 60.0 -0.333 -0.22 0.29568 1.213 -0.07 0.27
55.0 1.95 37.0 716000.0 163.0 -0.942 -0.06 0.0941 0.386 -0.21 2.01
57.5 4.7 37.0 192000.0 32.0 -1.0 0.02 0.00073 0.003 -0.23 4.48
60.0 7.15 37.0 276000.0 54.0 -1.0 0.02 0.0 0.0 -0.24 6.98
62.5 8.4 36.8116260828 20000.0 2.0 -1.0 0.02 0.0 0.0 -0.25 9.48
65.0 11.45 37.0 72000.0 16.0 -1.0 0.02 0.0 0.0 -0.26 11.98
70.0 17.1 37.0 92000.0 38.0 -1.0 0.02 0.0 0.0 -0.28 16.98
75.0 21.7 37.0 40000.0 10.0 -1.0 0.02 0.0 0.0 -0.3 21.98
85.0 31.85 37.0 64000.0 3.0 -1.0 0.02 0.0 0.0 -0.34 31.98

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