RPOWER Options

Date: 31Mar2011 Expiry date: 31Mar2011

Underlying Price: 130.4 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
100.0 23.9 37.8132026432 6000.0 1.0 1.0 -0.03 0.0 0.0 0.4 30.43
110.0 18.2 37.8132026432 168000.0 1.0 1.0 -0.03 0.0 0.0 0.44 20.43
120.0 8.9 37.8132026432 676000.0 50.0 1.0 -0.03 0.00027 0.007 0.48 10.43
130.0 0.35 37.8132026432 614000.0 541.0 0.561 -0.63 0.12697 3.24 0.28 1.47
140.0 0.05 58.0 464000.0 4.0 0.002 -0.01 0.00161 0.041 0.0 0.0
150.0 0.05 37.8132026432 144000.0 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
100.0 0.05 37.8132026432 314000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
110.0 0.05 37.8132026432 462000.0 7.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
120.0 0.05 67.0 622000.0 79.0 -0.0 -0.0 0.00027 0.007 -0.0 0.0
130.0 0.5 22.0 82000.0 23.0 -0.439 -0.6 0.12697 3.24 -0.23 1.03
140.0 10.0 38.0 10000.0 10.0 -0.998 0.03 0.00161 0.041 -0.55 9.56
150.0 24.0 37.8132026432 2000.0 1.0 -1.0 0.04 0.0 0.0 -0.6 19.56

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