RPOWER Options

Date: 29Apr2010 Expiry date: 29Apr2010

Underlying Price: 163.85 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 13.5 27.0 426000.0 31.0 1.0 -0.04 0.0 0.0 0.6 13.89
160.0 3.65 26.216352367 1020000.0 664.0 0.929 -0.23 0.05043 1.409 0.59 3.98
170.0 0.05 32.5 1238000.0 137.0 0.014 -0.05 0.01294 0.361 0.01 0.01
180.0 0.05 71.0 136000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
190.0 0.05 26.216352367 42000.0 8.0 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
140.0 0.05 26.216352367 238000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
150.0 0.05 69.0 322000.0 4.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 0.05 23.25 668000.0 314.0 -0.071 -0.18 0.05043 1.409 -0.05 0.09
170.0 6.5 35.0 12000.0 1.0 -0.986 -0.0 0.01294 0.361 -0.67 6.12

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