RPOWER Options

Date: 28Oct2010 Expiry date: 28Oct2010

Underlying Price: 152.95 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
150.0 3.75 44.0 70000.0 7.0 0.902 -0.24 0.0735 1.662 0.54 3.1
160.0 0.05 39.0 924000.0 262.0 0.002 -0.01 0.00245 0.056 0.0 0.0
170.0 0.05 79.0 1428000.0 57.0 0.0 -0.0 0.0 0.0 0.0 0.0
180.0 0.05 24.3555476438 886000.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
190.0 0.05 24.3555476438 402000.0 22.0 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
150.0 0.05 20.0 158000.0 12.0 -0.098 -0.2 0.0735 1.662 -0.06 0.11
160.0 8.0 72.0 430000.0 64.0 -0.998 0.04 0.00245 0.056 -0.63 7.01
170.0 11.8 24.3555476438 30000.0 1.0 -1.0 0.05 0.0 0.0 -0.67 17.0

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