RPOWER Options

Date: 30Jan2014 Expiry date: 30Jan2014

Underlying Price: 60.75 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
60.0 1.4 59.0 20000.0 10.0 0.794 -0.15 0.30005 1.091 0.19 0.88
62.5 0.05 33.0 460000.0 261.0 0.037 -0.04 0.08461 0.308 0.01 0.01
65.0 0.05 64.0 948000.0 58.0 0.0 -0.0 4e-05 0.0 0.0 0.0
67.5 0.05 91.0 1204000.0 18.0 0.0 -0.0 0.0 0.0 0.0 0.0
70.0 0.05 24.8327562891 3788000.0 18.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.05 24.8327562891 1104000.0 32.0 0.0 -0.0 0.0 0.0 0.0 0.0
75.0 0.05 24.8327562891 3184000.0 32.0 0.0 -0.0 0.0 0.0 0.0 0.0
80.0 0.05 24.8327562891 2608000.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
85.0 0.05 24.8327562891 1096000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 24.8327562891 884000.0 1.0 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
57.5 0.05 55.0 8000.0 4.0 -0.0 -0.0 0.0008 0.003 -0.0 0.0
60.0 0.1 24.0 504000.0 192.0 -0.206 -0.13 0.30005 1.091 -0.05 0.11
62.5 1.65 24.8327562891 204000.0 152.0 -0.963 -0.02 0.08461 0.308 -0.24 1.75
65.0 4.1 25.0 476000.0 44.0 -1.0 0.02 4e-05 0.0 -0.26 4.23
67.5 6.85 25.0 920000.0 35.0 -1.0 0.02 0.0 0.0 -0.27 6.73
70.0 9.2 25.0 792000.0 65.0 -1.0 0.02 0.0 0.0 -0.28 9.23
72.5 11.4 25.0 364000.0 27.0 -1.0 0.02 0.0 0.0 -0.29 11.73
75.0 14.25 25.0 448000.0 43.0 -1.0 0.02 0.0 0.0 -0.3 14.23
80.0 19.25 25.0 132000.0 25.0 -1.0 0.02 0.0 0.0 -0.32 19.23
85.0 25.0 25.0 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.34 24.23
90.0 28.8 25.0 8000.0 3.0 -1.0 0.02 0.0 0.0 -0.36 29.23

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