RPOWER Options

Date: 29Oct2015 Expiry date: 29Oct2015

Underlying Price: 49.0 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 12.45 65.625 12000.0 2.0 1.0 -0.01 0.0 0.0 0.15 11.51
40.0 9.25 28.0 160000.0 8.0 1.0 -0.01 0.0 0.0 0.16 9.01
42.5 6.3 28.0 240000.0 20.0 1.0 -0.01 0.0 0.0 0.17 6.51
45.0 3.95 28.0 696000.0 43.0 1.0 -0.01 0.0 0.0 0.18 4.01
47.5 1.5 28.0 652000.0 28.0 0.966 -0.04 0.08859 0.231 0.18 1.52
50.0 0.05 27.0 1832000.0 459.0 0.125 -0.09 0.24453 0.637 0.02 0.05
52.5 0.05 68.0 1624000.0 62.0 0.0 -0.0 0.00017 0.0 0.0 0.0
55.0 0.05 27.3370949444 1420000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
57.5 0.05 27.3370949444 272000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 27.3370949444 1356000.0 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
30.0 0.05 27.3370949444 28000.0 6.0 0.0 -0.0 0.0 0.0 -0.0 0.0
37.5 0.05 27.3370949444 376000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
40.0 0.05 27.3370949444 904000.0 8.0 0.0 -0.0 0.0 0.0 -0.0 0.0
42.5 0.05 27.3370949444 540000.0 5.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
45.0 0.05 82.0 808000.0 12.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
47.5 0.05 38.0 1148000.0 65.0 -0.034 -0.03 0.08859 0.231 -0.01 0.01
50.0 1.0 28.0 288000.0 94.0 -0.875 -0.07 0.24453 0.637 -0.17 1.04
52.5 3.5 28.0 208000.0 9.0 -1.0 0.01 0.00017 0.0 -0.21 3.49
55.0 6.2 28.0 48000.0 6.0 -1.0 0.02 0.0 0.0 -0.22 5.98
60.0 10.3 27.3370949444 40000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 10.98
65.0 15.85 28.0 20000.0 12.0 -1.0 0.02 0.0 0.0 -0.26 15.98
67.5 18.35 28.0 24000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 18.48

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