RPOWER Options

Date: 29May2014 Expiry date: 29May2014

Underlying Price: 94.5 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
50.0 45.85 49.0 24000.0 4.0 1.0 -0.01 0.0 0.0 0.2 44.51
67.5 27.5 49.0 44000.0 1.0 1.0 -0.02 0.0 0.0 0.27 27.02
70.0 24.25 49.0 380000.0 9.0 1.0 -0.02 0.0 0.0 0.28 24.52
72.5 21.7 49.0 192000.0 4.0 1.0 -0.02 0.0 0.0 0.29 22.02
75.0 19.6 49.0 540000.0 50.0 1.0 -0.02 0.0 0.0 0.3 19.52
77.5 18.0 48.807054853 128000.0 3.0 1.0 -0.02 0.0 0.0 0.31 17.02
80.0 14.65 49.0 592000.0 37.0 1.0 -0.02 0.0 0.0 0.32 14.52
82.5 11.7 49.0 188000.0 3.0 1.0 -0.02 1e-05 0.0 0.33 12.02
85.0 9.4 49.0 376000.0 34.0 1.0 -0.03 0.00033 0.006 0.34 9.52
87.5 6.6 48.807054853 64000.0 2.0 0.994 -0.05 0.00563 0.097 0.34 7.03
90.0 4.6 49.0 1644000.0 53.0 0.946 -0.18 0.0375 0.649 0.34 4.59
92.5 2.0 26.0 92000.0 9.0 0.764 -0.47 0.10596 1.833 0.28 2.43
95.0 0.15 14.0 1536000.0 797.0 0.441 -0.58 0.13585 2.35 0.16 0.94
97.5 0.05 32.0 644000.0 581.0 0.161 -0.36 0.08395 1.452 0.06 0.24
100.0 0.05 51.0 2948000.0 939.0 0.035 -0.11 0.02642 0.457 0.01 0.04
102.5 0.05 68.0 400000.0 99.0 0.004 -0.02 0.00445 0.077 0.0 0.0
105.0 0.05 85.0 1836000.0 69.0 0.0 -0.0 0.00042 0.007 0.0 0.0
107.5 0.05 48.807054853 208000.0 11.0 0.0 -0.0 2e-05 0.0 0.0 0.0
110.0 0.05 48.807054853 1572000.0 12.0 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
70.0 0.05 48.807054853 872000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
72.5 0.05 48.807054853 208000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 48.807054853 548000.0 5.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.05 48.807054853 164000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 48.807054853 628000.0 18.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 48.807054853 132000.0 2.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
85.0 0.2 48.807054853 380000.0 21.0 -0.0 -0.0 0.00033 0.006 -0.0 0.0
87.5 0.05 67.0 176000.0 22.0 -0.006 -0.02 0.00563 0.097 -0.0 0.01
90.0 0.1 53.0 1464000.0 238.0 -0.054 -0.16 0.0375 0.649 -0.02 0.07
92.5 0.1 29.0 300000.0 135.0 -0.236 -0.44 0.10596 1.833 -0.09 0.41
95.0 0.5 8.0 684000.0 593.0 -0.559 -0.56 0.13585 2.35 -0.22 1.41
97.5 3.2 49.0 80000.0 22.0 -0.839 -0.33 0.08395 1.452 -0.33 3.22
100.0 5.6 49.0 344000.0 51.0 -0.965 -0.08 0.02642 0.457 -0.38 5.51
102.5 8.0 49.0 136000.0 4.0 -0.996 0.01 0.00445 0.077 -0.4 7.98
105.0 10.55 49.0 240000.0 6.0 -1.0 0.03 0.00042 0.007 -0.42 10.47

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