RPOWER Options

Date: 30Nov2017 Expiry date: 30Nov2017

Underlying Price: 38.0 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
35.0 3.2 77.0 696000.0 3.0 1.0 -0.01 0.00126 0.003 0.14 3.01
37.5 0.5 15.0 384000.0 34.0 0.716 -0.16 0.36842 0.812 0.11 0.68
40.0 0.05 57.0 4068000.0 82.0 0.018 -0.02 0.04838 0.107 0.0 0.01
42.5 0.05 38.4495272718 4536000.0 14.0 0.0 -0.0 1e-05 0.0 0.0 0.0
45.0 0.05 38.4495272718 2772000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
50.0 0.05 38.4495272718 2064000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 38.4495272718 24000.0 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
37.5 0.05 23.0 1212000.0 53.0 -0.284 -0.15 0.36842 0.812 -0.04 0.16
40.0 2.0 39.0 840000.0 23.0 -0.982 -0.01 0.04838 0.107 -0.16 1.99
42.5 3.95 38.4495272718 444000.0 27.0 -1.0 0.01 1e-05 0.0 -0.17 4.49
45.0 6.5 38.4495272718 144000.0 9.0 -1.0 0.01 0.0 0.0 -0.18 6.99
50.0 11.55 39.0 144000.0 7.0 -1.0 0.01 0.0 0.0 -0.2 11.99
60.0 21.95 39.0 12000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 21.98

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