RPOWER Options

Date: 30Jun2016 Expiry date: 30Jun2016

Underlying Price: 51.35 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
45.0 5.9 21.2983625125 36000.0 1.0 1.0 -0.01 0.0 0.0 0.18 6.36
47.5 3.35 21.2983625125 120000.0 7.0 1.0 -0.01 0.0 0.0 0.19 3.86
50.0 1.3 17.0 756000.0 126.0 0.978 -0.03 0.07634 0.17 0.19 1.37
52.5 0.05 28.5 2148000.0 144.0 0.052 -0.04 0.15507 0.346 0.01 0.02
55.0 0.05 67.0 3120000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 0.05 21.2983625125 72000.0 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
47.5 0.05 75.0 516000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
50.0 0.05 33.0 1236000.0 138.0 -0.022 -0.02 0.07634 0.17 -0.0 0.01
52.5 1.25 29.0 552000.0 16.0 -0.948 -0.02 0.15507 0.346 -0.2 1.15
55.0 4.25 21.2983625125 132000.0 2.0 -1.0 0.02 0.0 0.0 -0.22 3.63
60.0 8.65 22.0 168000.0 1.0 -1.0 0.02 0.0 0.0 -0.24 8.63
67.5 16.35 22.0 0.0 1.0 -1.0 0.02 0.0 0.0 -0.27 16.13

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