RPOWER Options

Date: 30Dec2010 Expiry date: 30Dec2010

Underlying Price: 154.45 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
130.0 20.65 26.5269705857 4000.0 2.0 1.0 -0.04 0.0 0.0 0.52 24.49
140.0 11.5 26.5269705857 36000.0 6.0 1.0 -0.04 0.0 0.0 0.56 14.49
150.0 4.2 26.5269705857 372000.0 99.0 0.962 -0.15 0.03202 0.804 0.57 4.53
160.0 0.05 31.5 1440000.0 112.0 0.018 -0.06 0.01749 0.439 0.01 0.02
170.0 0.05 73.0 1030000.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
180.0 0.05 26.5269705857 672000.0 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
150.0 0.05 28.0 602000.0 148.0 -0.038 -0.11 0.03202 0.804 -0.02 0.04
160.0 6.6 68.0 336000.0 49.0 -0.982 -0.01 0.01749 0.439 -0.62 5.52
180.0 27.0 26.5269705857 8000.0 4.0 -1.0 0.05 0.0 0.0 -0.71 25.5

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