RPOWER Options

Date: 30Sep2010 Expiry date: 30Sep2010

Underlying Price: 160.8 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
150.0 10.85 20.0 368000.0 25.0 1.0 -0.04 0.0 0.0 0.6 10.84
160.0 0.65 19.2814040686 816000.0 411.0 0.67 -0.38 0.18548 3.669 0.42 1.27
170.0 0.05 46.0 1412000.0 54.0 0.0 -0.0 1e-05 0.0 0.0 0.0
180.0 0.05 83.0 662000.0 25.0 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
150.0 0.05 56.0 428000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 0.05 7.5 454000.0 144.0 -0.33 -0.34 0.18548 3.669 -0.21 0.43
170.0 10.5 91.0 12000.0 1.0 -1.0 0.05 1e-05 0.0 -0.67 9.15

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