RPOWER Options

Date: 30Aug2018 Expiry date: 30Aug2018

Underlying Price: 36.65 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
30.0 4.95 35.2120484737 338000.0 21.0 1.0 -0.01 0.0 0.0 0.12 6.66
32.5 3.95 35.2120484737 156000.0 22.0 1.0 -0.01 0.0 0.0 0.13 4.16
35.0 1.65 36.0 520000.0 547.0 0.982 -0.03 0.05407 0.101 0.14 1.67
37.5 0.05 32.0 858000.0 969.0 0.156 -0.1 0.29471 0.553 0.02 0.07
40.0 0.05 87.0 1716000.0 258.0 0.0 -0.0 0.00023 0.0 0.0 0.0
42.5 0.05 35.2120484737 429000.0 31.0 0.0 -0.0 0.0 0.0 0.0 0.0
45.0 0.05 35.2120484737 169000.0 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
27.5 0.05 35.2120484737 364000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
30.0 0.05 35.2120484737 1014000.0 9.0 0.0 -0.0 0.0 0.0 -0.0 0.0
32.5 0.05 35.2120484737 546000.0 14.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
35.0 0.05 54.0 624000.0 125.0 -0.018 -0.02 0.05407 0.101 -0.0 0.01
37.5 0.95 36.0 26000.0 40.0 -0.844 -0.09 0.29471 0.553 -0.13 0.91
45.0 8.55 36.0 13000.0 2.0 -1.0 0.01 0.0 0.0 -0.18 8.34
55.0 20.55 35.2120484737 13000.0 2.0 -1.0 0.02 0.0 0.0 -0.22 18.33

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