RPOWER Options

Date: 30Aug2012 Expiry date: 30Aug2012

Underlying Price: 77.75 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
75.0 2.3 37.2162778365 4000.0 12.0 0.941 -0.13 0.06487 0.579 0.28 2.82
80.0 0.1 37.0 318000.0 401.0 0.116 -0.18 0.10741 0.959 0.04 0.1
85.0 0.05 76.0 604000.0 70.0 0.0 -0.0 0.00017 0.002 0.0 0.0
90.0 0.05 37.2162778365 830000.0 24.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 37.2162778365 1010000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
100.0 0.05 37.2162778365 1274000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
105.0 0.05 37.2162778365 388000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
110.0 0.05 37.2162778365 360000.0 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
75.0 0.1 45.0 202000.0 127.0 -0.059 -0.11 0.06487 0.579 -0.02 0.05
80.0 2.4 38.0 72000.0 260.0 -0.884 -0.16 0.10741 0.959 -0.28 2.33
85.0 7.2 38.0 148000.0 97.0 -1.0 0.02 0.00017 0.002 -0.34 7.23
90.0 12.3 38.0 134000.0 45.0 -1.0 0.02 0.0 0.0 -0.36 12.23
95.0 17.3 38.0 76000.0 15.0 -1.0 0.03 0.0 0.0 -0.38 17.22
100.0 22.5 38.0 58000.0 3.0 -1.0 0.03 0.0 0.0 -0.4 22.22
105.0 27.45 38.0 20000.0 2.0 -1.0 0.03 0.0 0.0 -0.42 27.22
110.0 32.4 38.0 98000.0 4.0 -1.0 0.03 0.0 0.0 -0.44 32.22
120.0 42.2 38.0 22000.0 4.0 -1.0 0.03 0.0 0.0 -0.48 42.22

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