RPOWER Options

Date: 28Nov2013 Expiry date: 28Nov2013

Underlying Price: 70.1 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
70.0 0.25 11.0 724000.0 205.0 0.54 -0.27 0.30635 1.753 0.15 0.58
72.5 0.05 36.0 1468000.0 207.0 0.036 -0.05 0.06127 0.351 0.01 0.02
75.0 0.05 62.0 2552000.0 86.0 0.0 -0.0 0.00042 0.002 0.0 0.0
77.5 0.05 86.0 708000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 29.3428368791 3388000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 29.3428368791 1908000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 29.3428368791 284000.0 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
67.5 0.05 40.0 204000.0 1.0 -0.019 -0.03 0.03622 0.207 -0.01 0.01
70.0 0.1 8.5 852000.0 237.0 -0.46 -0.25 0.30635 1.753 -0.13 0.46
72.5 2.9 68.0 260000.0 31.0 -0.964 -0.03 0.06127 0.351 -0.28 2.4
75.0 4.85 30.0 488000.0 33.0 -1.0 0.02 0.00042 0.002 -0.3 4.88
77.5 6.9 29.3428368791 136000.0 7.0 -1.0 0.02 0.0 0.0 -0.31 7.38
80.0 9.85 30.0 160000.0 7.0 -1.0 0.02 0.0 0.0 -0.32 9.88
85.0 13.65 29.3428368791 40000.0 2.0 -1.0 0.02 0.0 0.0 -0.34 14.88
90.0 19.8 30.0 36000.0 4.0 -1.0 0.02 0.0 0.0 -0.36 19.88
95.0 23.65 29.3428368791 28000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 24.87

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