RPOWER Options

Date: 29Jan2015 Expiry date: 29Jan2015

Underlying Price: 63.45 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
57.5 5.2 26.4432691214 12000.0 1.0 1.0 -0.02 0.0 0.0 0.23 5.97
60.0 2.95 26.4432691214 440000.0 37.0 1.0 -0.02 0.00124 0.005 0.24 3.47
62.5 0.7 26.4432691214 804000.0 219.0 0.824 -0.15 0.24483 1.034 0.2 1.07
65.0 0.05 28.5 3072000.0 307.0 0.077 -0.08 0.13699 0.579 0.02 0.04
67.5 0.05 59.0 860000.0 41.0 0.0 -0.0 0.00042 0.002 0.0 0.0
70.0 0.05 86.0 2056000.0 19.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 26.4432691214 188000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 26.4432691214 664000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 26.4432691214 552000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 26.4432691214 76000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 26.4432691214 16000.0 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
57.5 0.05 88.0 516000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 56.0 732000.0 28.0 -0.0 -0.0 0.00124 0.005 -0.0 0.0
62.5 0.05 21.0 624000.0 152.0 -0.176 -0.13 0.24483 1.034 -0.04 0.1
65.0 1.8 43.0 436000.0 38.0 -0.923 -0.06 0.13699 0.579 -0.24 1.57
67.5 4.5 89.0 16000.0 3.0 -1.0 0.02 0.00042 0.002 -0.27 4.03
70.0 6.85 27.0 72000.0 18.0 -1.0 0.02 0.0 0.0 -0.28 6.53
72.5 10.0 26.4432691214 4000.0 1.0 -1.0 0.02 0.0 0.0 -0.29 9.03
75.0 11.8 27.0 28000.0 19.0 -1.0 0.02 0.0 0.0 -0.3 11.53
80.0 17.0 27.0 40000.0 2.0 -1.0 0.02 0.0 0.0 -0.32 16.53
85.0 21.8 27.0 24000.0 2.0 -1.0 0.02 0.0 0.0 -0.34 21.53
90.0 27.2 27.0 76000.0 7.0 -1.0 0.02 0.0 0.0 -0.36 26.53
95.0 32.05 27.0 4000.0 1.0 -1.0 0.03 0.0 0.0 -0.38 31.52
100.0 37.25 27.0 52000.0 1.0 -1.0 0.03 0.0 0.0 -0.4 36.52

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