RPOWER Options

Date: 31Mar2016 Expiry date: 31Mar2016

Underlying Price: 49.4 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
40.0 8.2 27.5541911772 24000.0 1.0 1.0 -0.01 0.0 0.0 0.16 9.41
42.5 5.6 27.5541911772 168000.0 3.0 1.0 -0.01 0.0 0.0 0.17 6.91
45.0 4.0 27.5541911772 516000.0 21.0 1.0 -0.01 0.0 0.0 0.18 4.41
47.5 1.7 27.5541911772 2160000.0 309.0 0.989 -0.03 0.03425 0.091 0.19 1.92
50.0 0.05 19.0 4284000.0 361.0 0.251 -0.14 0.37157 0.991 0.05 0.13
52.5 0.05 61.0 828000.0 1.0 0.0 -0.0 0.00108 0.003 0.0 0.0
55.0 0.05 96.0 1620000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
60.0 0.05 27.5541911772 888000.0 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 88.0 1188000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
47.5 0.05 45.0 960000.0 98.0 -0.011 -0.01 0.03425 0.091 -0.0 0.0
50.0 0.6 18.0 96000.0 9.0 -0.749 -0.13 0.37157 0.991 -0.15 0.71
52.5 3.6 27.5541911772 36000.0 1.0 -1.0 0.01 0.00108 0.003 -0.21 3.09
55.0 6.4 27.5541911772 48000.0 2.0 -1.0 0.02 0.0 0.0 -0.22 5.58
60.0 11.4 84.0 48000.0 10.0 -1.0 0.02 0.0 0.0 -0.24 10.58

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