RPOWER Options

Date: 30Mar2017 Expiry date: 30Mar2017

Underlying Price: 47.75 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
42.5 5.2 26.0 60000.0 1.0 1.0 -0.01 0.0 0.0 0.17 5.26
45.0 2.75 26.0 312000.0 16.0 1.0 -0.01 0.00049 0.001 0.18 2.76
47.5 0.2 25.3763686021 732000.0 113.0 0.638 -0.15 0.49102 1.127 0.12 0.45
50.0 0.05 50.0 4812000.0 49.0 0.002 -0.0 0.00888 0.02 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
42.5 0.05 25.3763686021 852000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
45.0 0.05 62.0 1260000.0 4.0 -0.0 -0.0 0.00049 0.001 -0.0 0.0
47.5 0.05 12.0 684000.0 66.0 -0.362 -0.14 0.49102 1.127 -0.07 0.19
50.0 2.25 26.0 168000.0 14.0 -0.998 0.01 0.00888 0.02 -0.2 2.24
60.0 12.15 26.0 48000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 12.23

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