RPOWER Options

Date: 31May2018 Expiry date: 31May2018

Underlying Price: 36.4 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
32.5 3.85 53.0 494000.0 7.0 1.0 -0.01 0.00095 0.003 0.13 3.91
35.0 1.3 52.978570417 1820000.0 98.0 0.885 -0.13 0.15983 0.445 0.12 1.48
37.5 0.05 39.0 4836000.0 407.0 0.193 -0.17 0.22553 0.628 0.03 0.13
40.0 0.05 92.0 5447000.0 71.0 0.003 -0.0 0.0065 0.018 0.0 0.0
42.5 0.05 52.978570417 2262000.0 23.0 0.0 -0.0 1e-05 0.0 0.0 0.0
45.0 0.05 52.978570417 2587000.0 22.0 0.0 -0.0 0.0 0.0 0.0 0.0
47.5 0.05 52.978570417 1092000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
55.0 0.05 52.978570417 65000.0 2.0 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
32.5 0.05 52.978570417 2405000.0 4.0 -0.0 -0.0 0.00095 0.003 -0.0 0.0
35.0 0.05 49.0 2470000.0 224.0 -0.115 -0.12 0.15983 0.445 -0.02 0.07
37.5 1.35 63.0 689000.0 20.0 -0.807 -0.16 0.22553 0.628 -0.12 1.22
40.0 4.15 52.978570417 715000.0 9.0 -0.997 0.01 0.0065 0.018 -0.16 3.59
42.5 6.6 52.978570417 39000.0 1.0 -1.0 0.01 1e-05 0.0 -0.17 6.09
45.0 8.85 53.0 117000.0 15.0 -1.0 0.01 0.0 0.0 -0.18 8.59
55.0 18.85 53.0 104000.0 2.0 -1.0 0.02 0.0 0.0 -0.22 18.58

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