RPOWER Options

Date: 31Dec2015 Expiry date: 31Dec2015

Underlying Price: 56.8 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
45.0 13.35 32.0216726252 60000.0 2.0 1.0 -0.01 0.0 0.0 0.18 11.81
47.5 9.5 33.0 120000.0 5.0 1.0 -0.01 0.0 0.0 0.19 9.31
50.0 6.75 33.0 444000.0 22.0 1.0 -0.01 0.0 0.0 0.2 6.81
52.5 4.25 33.0 636000.0 45.0 1.0 -0.01 0.00016 0.001 0.21 4.31
55.0 1.75 31.0 1932000.0 552.0 0.947 -0.08 0.09371 0.384 0.21 1.84
57.5 0.1 23.5 3192000.0 1806.0 0.28 -0.2 0.29375 1.204 0.06 0.2
60.0 0.05 55.0 3468000.0 707.0 0.004 -0.01 0.00926 0.038 0.0 0.0
62.5 0.05 85.0 468000.0 52.0 0.0 -0.0 1e-05 0.0 0.0 0.0
65.0 0.05 32.0216726252 696000.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
67.5 0.05 32.0216726252 12000.0 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
45.0 0.05 32.0216726252 1200000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
50.0 0.05 32.0216726252 2124000.0 6.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
52.5 0.05 75.0 792000.0 13.0 -0.0 -0.0 0.00016 0.001 -0.0 0.0
55.0 0.05 37.0 2088000.0 296.0 -0.053 -0.06 0.09371 0.384 -0.01 0.03
57.5 0.75 23.0 360000.0 146.0 -0.72 -0.18 0.29375 1.204 -0.17 0.88
60.0 2.65 32.0216726252 204000.0 9.0 -0.996 0.01 0.00926 0.038 -0.24 3.18
62.5 5.45 33.0 48000.0 3.0 -1.0 0.02 1e-05 0.0 -0.25 5.68
65.0 6.8 32.0216726252 24000.0 1.0 -1.0 0.02 0.0 0.0 -0.26 8.18
67.5 9.2 32.0216726252 12000.0 1.0 -1.0 0.02 0.0 0.0 -0.27 10.68

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