RPOWER Options

Date: 31Aug2017 Expiry date: 31Aug2017

Underlying Price: 40.45 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
37.5 3.1 33.0 192000.0 2.0 1.0 -0.01 0.0005 0.001 0.15 2.96
40.0 0.45 12.0 900000.0 147.0 0.715 -0.15 0.40833 0.865 0.11 0.61
42.5 0.05 55.0 3132000.0 38.0 0.009 -0.01 0.02819 0.06 0.0 0.0
45.0 0.05 99.0 4080000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
47.5 0.05 32.6365279841 1728000.0 1.0 0.0 -0.0 0.0 0.0 0.0 -0.0
50.0 0.05 32.6365279841 2496000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 32.6365279841 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 78.0 888000.0 8.0 -0.0 -0.0 0.0005 0.001 -0.0 0.0
40.0 0.05 20.0 1044000.0 113.0 -0.285 -0.14 0.40833 0.865 -0.05 0.15
42.5 2.1 33.0 588000.0 15.0 -0.991 0.0 0.02819 0.06 -0.17 2.04
45.0 4.6 33.0 360000.0 14.0 -1.0 0.01 0.0 0.0 -0.18 4.54
47.5 6.9 33.0 108000.0 3.0 -1.0 0.01 0.0 0.0 -0.19 7.04
50.0 9.4 33.0 156000.0 3.0 -1.0 0.01 0.0 0.0 -0.2 9.54
55.0 14.6 33.0 108000.0 1.0 -1.0 0.02 0.0 0.0 -0.22 14.53
60.0 19.5 33.0 12000.0 2.0 -1.0 0.02 0.0 0.0 -0.24 19.53

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