RPOWER Options

Date: 29Jul2010 Expiry date: 29Jul2010

Underlying Price: 168.5 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
160.0 10.0 92.0 34000.0 1.0 1.0 -0.04 5e-05 0.001 0.63 8.54
170.0 0.05 10.5 984000.0 349.0 0.253 -0.36 0.14832 3.397 0.17 0.33
180.0 0.05 52.0 2988000.0 153.0 0.0 -0.0 0.0 0.0 0.0 0.0
190.0 0.05 87.0 1820000.0 42.0 0.0 -0.0 0.0 0.0 0.0 0.0
200.0 0.05 20.3307363762 2312000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
210.0 0.05 20.3307363762 446000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
220.0 0.05 20.3307363762 386000.0 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
150.0 0.05 86.0 238000.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 0.05 43.5 634000.0 4.0 -0.0 -0.0 5e-05 0.001 -0.0 0.0
170.0 1.3 20.3307363762 674000.0 373.0 -0.747 -0.31 0.14832 3.397 -0.51 1.78
180.0 10.9 20.3307363762 680000.0 61.0 -1.0 0.05 0.0 0.0 -0.71 11.45
190.0 15.7 20.3307363762 14000.0 3.0 -1.0 0.05 0.0 0.0 -0.75 21.45

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