RPOWER Options

Date: 30Jul2015 Expiry date: 30Jul2015

Underlying Price: 42.35 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
40.0 2.2 32.3140322107 184000.0 49.0 0.998 -0.01 0.00848 0.019 0.16 2.36
42.5 0.05 10.0 1536000.0 561.0 0.44 -0.18 0.45767 1.053 0.07 0.28
45.0 0.05 63.0 2736000.0 40.0 0.002 -0.0 0.00583 0.013 0.0 0.0
47.5 0.05 32.3140322107 2548000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 32.3140322107 3788000.0 17.0 0.0 -0.0 0.0 0.0 0.0 -0.0
52.5 0.05 32.3140322107 404000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 32.3140322107 1524000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
57.5 0.05 32.3140322107 104000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 32.3140322107 388000.0 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
35.0 0.05 32.3140322107 4000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
40.0 0.05 62.0 488000.0 82.0 -0.002 -0.0 0.00848 0.019 -0.0 0.0
42.5 0.2 12.0 336000.0 101.0 -0.56 -0.16 0.45767 1.053 -0.1 0.42
45.0 2.65 33.0 520000.0 87.0 -0.998 0.01 0.00583 0.013 -0.18 2.64
47.5 5.15 33.0 96000.0 58.0 -1.0 0.01 0.0 0.0 -0.19 5.14
50.0 8.0 33.0 248000.0 21.0 -1.0 0.01 0.0 0.0 -0.2 7.64
52.5 10.5 33.0 24000.0 6.0 -1.0 0.01 0.0 0.0 -0.21 10.14
55.0 12.8 33.0 88000.0 15.0 -1.0 0.02 0.0 0.0 -0.22 12.63
57.5 16.0 97.5 4000.0 1.0 -1.0 0.02 0.0 0.0 -0.23 15.13
60.0 17.75 33.0 68000.0 14.0 -1.0 0.02 0.0 0.0 -0.24 17.63
65.0 22.8 33.0 52000.0 4.0 -1.0 0.02 0.0 0.0 -0.26 22.63
75.0 33.0 33.0 40000.0 4.0 -1.0 0.02 0.0 0.0 -0.3 32.63
80.0 37.8 33.0 76000.0 4.0 -1.0 0.02 0.0 0.0 -0.32 37.63

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