RPOWER Options

Date: 30May2013 Expiry date: 30May2013

Underlying Price: 71.85 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 11.85 41.0 16000.0 3.0 1.0 -0.02 0.0 0.0 0.24 11.87
65.0 6.85 41.0 100000.0 1.0 1.0 -0.02 9e-05 0.001 0.26 6.87
70.0 1.95 41.0 124000.0 42.0 0.852 -0.23 0.12596 1.047 0.23 2.01
75.0 0.05 43.0 2020000.0 230.0 0.049 -0.09 0.05524 0.459 0.01 0.04
80.0 0.05 90.0 2492000.0 122.0 0.0 -0.0 3e-05 0.0 0.0 0.0
85.0 0.05 40.5788336381 2236000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
90.0 0.05 40.5788336381 1860000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
72.5 0.1 18.0 396000.0 267.0 0.371 -0.35 0.20582 1.711 0.1 0.46
77.5 0.05 68.0 756000.0 58.0 0.002 -0.0 0.0029 0.024 0.0 0.0
82.5 0.05 40.5788336381 824000.0 4.0 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
60.0 0.05 40.5788336381 200000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
65.0 0.05 87.0 336000.0 1.0 -0.0 -0.0 9e-05 0.001 -0.0 0.0
70.0 0.05 30.0 700000.0 155.0 -0.148 -0.21 0.12596 1.047 -0.04 0.14
75.0 3.05 41.0 588000.0 73.0 -0.951 -0.07 0.05524 0.459 -0.28 3.17
80.0 8.15 41.0 336000.0 61.0 -1.0 0.02 3e-05 0.0 -0.32 8.13
85.0 12.5 40.5788336381 96000.0 9.0 -1.0 0.02 0.0 0.0 -0.34 13.13
90.0 17.5 41.0 40000.0 10.0 -1.0 0.02 0.0 0.0 -0.36 18.13
67.5 0.05 59.0 76000.0 3.0 -0.007 -0.02 0.01036 0.086 -0.0 0.0
72.5 0.5 40.5788336381 120000.0 118.0 -0.629 -0.33 0.20582 1.711 -0.18 1.09
77.5 5.65 41.0 96000.0 14.0 -0.998 0.02 0.0029 0.024 -0.31 5.63
82.5 9.9 40.5788336381 24000.0 2.0 -1.0 0.02 0.0 0.0 -0.33 10.63

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