RPOWER Options

Date: 29Jun2017 Expiry date: 29Jun2017

Underlying Price: 43.0 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
37.5 4.8 18.5047126353 276000.0 34.0 1.0 -0.01 0.0 0.0 0.15 5.51
40.0 3.0 19.0 552000.0 36.0 1.0 -0.01 0.0 0.0 0.16 3.01
42.5 0.4 18.5047126353 1428000.0 403.0 0.849 -0.07 0.46687 0.634 0.14 0.55
45.0 0.05 51.0 2292000.0 51.0 0.0 -0.0 0.00044 0.001 0.0 0.0
47.5 0.05 93.0 1128000.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 18.5047126353 1572000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
57.5 0.05 18.5047126353 36000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 18.5047126353 276000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
62.5 0.05 18.5047126353 12000.0 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
37.5 0.05 18.5047126353 936000.0 8.0 0.0 -0.0 0.0 0.0 -0.0 0.0
40.0 0.05 74.0 1140000.0 24.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
42.5 0.05 20.0 360000.0 40.0 -0.151 -0.06 0.46687 0.634 -0.03 0.04
45.0 2.15 52.0 252000.0 19.0 -1.0 0.01 0.00044 0.001 -0.18 1.99
47.5 4.7 19.0 156000.0 5.0 -1.0 0.01 0.0 0.0 -0.19 4.49
50.0 7.2 19.0 132000.0 8.0 -1.0 0.01 0.0 0.0 -0.2 6.99
57.5 14.5 19.0 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.23 14.48
60.0 17.0 19.0 60000.0 4.0 -1.0 0.02 0.0 0.0 -0.24 16.98
62.5 19.5 19.0 0.0 1.0 -1.0 0.02 0.0 0.0 -0.25 19.48

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