RPOWER Options

Date: 29Sep2016 Expiry date: 29Sep2016

Underlying Price: 46.85 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
47.5 0.15 33.0 84000.0 10.0 0.297 -0.2 0.29884 1.021 0.05 0.21
50.0 0.05 65.0 312000.0 39.0 0.005 -0.01 0.01144 0.039 0.0 0.0
52.5 0.05 39.2299057062 2376000.0 101.0 0.0 -0.0 1e-05 0.0 0.0 0.0
55.0 0.05 39.2299057062 4368000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 39.2299057062 3924000.0 4.0 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
45.0 0.05 46.0 708000.0 5.0 -0.049 -0.06 0.08778 0.3 -0.01 0.02
47.5 0.5 39.2299057062 636000.0 47.0 -0.703 -0.19 0.29884 1.021 -0.13 0.85
50.0 3.1 40.0 864000.0 68.0 -0.995 0.01 0.01144 0.039 -0.2 3.14
52.5 5.65 40.0 540000.0 30.0 -1.0 0.01 1e-05 0.0 -0.21 5.64
55.0 3.6 39.2299057062 372000.0 6.0 -1.0 0.02 0.0 0.0 -0.22 8.13
60.0 8.5 39.2299057062 84000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 13.13
62.5 14.5 39.2299057062 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.25 15.63

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