RPOWER Options

Date: 30Jun2011 Expiry date: 30Jun2011

Underlying Price: 115.9 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
110.0 5.7 28.0 114000.0 31.0 0.999 -0.03 0.00174 0.025 0.44 5.93
120.0 0.05 33.0 720000.0 36.0 0.022 -0.05 0.02676 0.387 0.01 0.02
130.0 0.05 88.0 606000.0 3.0 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
90.0 0.05 27.130226222 84000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
110.0 0.05 47.0 216000.0 30.0 -0.001 -0.0 0.00174 0.025 -0.0 0.0
120.0 5.0 72.0 104000.0 13.0 -0.978 -0.02 0.02676 0.387 -0.47 4.08
130.0 15.1 27.130226222 4000.0 2.0 -1.0 0.04 0.0 0.0 -0.52 14.06

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