RPOWER Options

Date: 30Apr2015 Expiry date: 30Apr2015

Underlying Price: 56.65 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
55.0 1.55 33.9969126666 336000.0 19.0 0.92 -0.1 0.12276 0.531 0.2 1.71
57.5 0.05 21.0 1132000.0 155.0 0.251 -0.2 0.26245 1.136 0.06 0.18
60.0 0.05 57.0 1868000.0 206.0 0.004 -0.01 0.00959 0.042 0.0 0.0
62.5 0.05 87.0 1448000.0 114.0 0.0 -0.0 1e-05 0.0 0.0 0.0
65.0 0.05 33.9969126666 2160000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 0.05 33.9969126666 248000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 33.9969126666 1264000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 33.9969126666 280000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 33.9969126666 228000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 33.9969126666 12000.0 2.0 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
55.0 0.05 35.0 840000.0 103.0 -0.08 -0.09 0.12276 0.531 -0.02 0.04
57.5 0.9 27.0 656000.0 67.0 -0.749 -0.18 0.26245 1.136 -0.17 1.01
60.0 3.4 34.0 296000.0 57.0 -0.996 0.01 0.00959 0.042 -0.24 3.33
62.5 6.0 34.0 196000.0 17.0 -1.0 0.02 1e-05 0.0 -0.25 5.83
65.0 8.3 34.0 164000.0 24.0 -1.0 0.02 0.0 0.0 -0.26 8.33
70.0 13.45 34.0 104000.0 5.0 -1.0 0.02 0.0 0.0 -0.28 13.33
75.0 18.35 34.0 64000.0 21.0 -1.0 0.02 0.0 0.0 -0.3 18.33
80.0 23.2 34.0 40000.0 2.0 -1.0 0.02 0.0 0.0 -0.32 23.33
85.0 28.25 34.0 60000.0 8.0 -1.0 0.02 0.0 0.0 -0.34 28.33

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