RPOWER Options

Date: 31Jul2014 Expiry date: 31Jul2014

Underlying Price: 92.5 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
50.0 44.3 43.0 12000.0 2.0 1.0 -0.01 0.0 0.0 0.2 42.51
87.5 5.55 76.0 12000.0 3.0 0.982 -0.08 0.01786 0.258 0.34 5.04
90.0 2.3 42.5538790349 344000.0 38.0 0.852 -0.31 0.09313 1.346 0.3 2.72
92.5 0.15 6.0 548000.0 177.0 0.509 -0.51 0.16087 2.324 0.18 1.0
95.0 0.05 28.0 2144000.0 546.0 0.166 -0.31 0.10042 1.451 0.06 0.22
97.5 0.05 48.0 556000.0 136.0 0.026 -0.08 0.02451 0.354 0.01 0.02
100.0 0.05 66.0 2848000.0 168.0 0.002 -0.01 0.00251 0.036 0.0 0.0
102.5 0.05 83.0 128000.0 1.0 0.0 -0.0 0.00012 0.002 0.0 0.0
105.0 0.05 99.0 1372000.0 7.0 0.0 -0.0 0.0 0.0 0.0 0.0
107.5 0.05 42.5538790349 124000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
110.0 0.05 42.5538790349 2856000.0 22.0 0.0 -0.0 0.0 0.0 0.0 0.0
115.0 0.05 42.5538790349 1156000.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 42.5538790349 2148000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 42.5538790349 208000.0 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
90.0 0.05 29.5 868000.0 26.0 -0.148 -0.28 0.09313 1.346 -0.06 0.19
92.5 0.1 5.0 708000.0 315.0 -0.491 -0.48 0.16087 2.324 -0.18 0.98
95.0 2.5 37.0 636000.0 120.0 -0.834 -0.29 0.10042 1.451 -0.32 2.69
97.5 4.5 42.5538790349 32000.0 5.0 -0.974 -0.05 0.02451 0.354 -0.38 5.0
100.0 7.45 43.0 344000.0 22.0 -0.998 0.02 0.00251 0.036 -0.4 7.47
102.5 9.5 43.0 36000.0 6.0 -1.0 0.03 0.00012 0.002 -0.41 9.97
105.0 12.5 43.0 204000.0 10.0 -1.0 0.03 0.0 0.0 -0.42 12.47
107.5 14.25 42.5538790349 72000.0 1.0 -1.0 0.03 0.0 0.0 -0.43 14.97
110.0 17.5 43.0 164000.0 23.0 -1.0 0.03 0.0 0.0 -0.44 17.47
115.0 22.5 43.0 72000.0 11.0 -1.0 0.03 0.0 0.0 -0.46 22.47
117.5 23.15 42.5538790349 4000.0 1.0 -1.0 0.03 0.0 0.0 -0.47 24.97
120.0 25.7 42.5538790349 40000.0 4.0 -1.0 0.03 0.0 0.0 -0.48 27.47

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