RPOWER Options

Date: 30Oct2014 Expiry date: 30Oct2014

Underlying Price: 72.75 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
57.5 15.1 36.0 12000.0 1.0 1.0 -0.02 0.0 0.0 0.23 15.27
65.0 7.45 36.0 60000.0 2.0 1.0 -0.02 0.0 0.0 0.26 7.77
67.5 5.05 36.0 4000.0 2.0 1.0 -0.02 0.00093 0.007 0.27 5.27
70.0 2.7 36.0 580000.0 76.0 0.958 -0.09 0.05456 0.411 0.27 2.8
72.5 0.15 35.9062475678 944000.0 522.0 0.57 -0.33 0.23876 1.801 0.16 0.8
75.0 0.05 33.0 2464000.0 272.0 0.093 -0.14 0.10106 0.762 0.03 0.07
77.5 0.05 59.0 436000.0 1.0 0.003 -0.01 0.00519 0.039 0.0 0.0
80.0 0.05 81.0 2044000.0 17.0 0.0 -0.0 4e-05 0.0 0.0 0.0
85.0 0.05 35.9062475678 732000.0 27.0 0.0 -0.0 0.0 0.0 0.0 0.0
87.5 0.05 35.9062475678 44000.0 1.0 0.0 -0.0 0.0 0.0 0.0 -0.0
90.0 0.05 35.9062475678 784000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
95.0 0.05 35.9062475678 96000.0 2.0 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
57.5 0.05 35.9062475678 8000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 0.05 68.0 304000.0 4.0 -0.0 -0.0 0.00093 0.007 -0.0 0.0
70.0 0.05 40.0 1384000.0 131.0 -0.042 -0.07 0.05456 0.411 -0.01 0.03
72.5 0.05 8.0 360000.0 131.0 -0.43 -0.31 0.23876 1.801 -0.13 0.53
75.0 2.3 36.0 200000.0 48.0 -0.907 -0.12 0.10106 0.762 -0.27 2.3
80.0 7.25 36.0 56000.0 10.0 -1.0 0.02 4e-05 0.0 -0.32 7.23
85.0 12.25 36.0 28000.0 21.0 -1.0 0.02 0.0 0.0 -0.34 12.23
87.5 14.95 36.0 4000.0 2.0 -1.0 0.02 0.0 0.0 -0.35 14.73
90.0 17.25 36.0 60000.0 39.0 -1.0 0.02 0.0 0.0 -0.36 17.23
95.0 22.4 36.0 28000.0 2.0 -1.0 0.03 0.0 0.0 -0.38 22.22
100.0 27.55 36.0 44000.0 6.0 -1.0 0.03 0.0 0.0 -0.4 27.22
110.0 37.5 36.0 12000.0 1.0 -1.0 0.03 0.0 0.0 -0.44 37.22

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