SIEMENS Options
Date: 22Feb2018 Expiry date: 22Feb2018
Underlying Price: 1193.2 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%
Click here to understand option greeks.Call Options
| Strike Price | Option Price | Implied Volatility | Open Interest | Number of Contracts | Delta | Theta | Gamma | Vega | Rho | Black Scholes Price |
|---|---|---|---|---|---|---|---|---|---|---|
| 1200.0 | 0.75 | 9.5 | 1000.0 | 2.0 | 0.369 | -3.66 | 0.02009 | 28.347 | 1.73 | 4.71 |
| 1220.0 | 0.4 | 22.0 | 3000.0 | 6.0 | 0.083 | -1.46 | 0.00813 | 11.468 | 0.39 | 0.7 |
| 1240.0 | 0.3 | 32.5 | 2500.0 | 12.0 | 0.008 | -0.2 | 0.00114 | 1.603 | 0.04 | 0.05 |
| 1260.0 | 0.05 | 34.0 | 15500.0 | 23.0 | 0.0 | -0.01 | 6e-05 | 0.081 | 0.0 | 0.0 |
| 1280.0 | 0.05 | 43.0 | 3000.0 | 2.0 | 0.0 | -0.0 | 0.0 | 0.002 | 0.0 | 0.0 |
| 1300.0 | 0.05 | 51.0 | 19000.0 | 6.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1320.0 | 0.05 | 59.0 | 6000.0 | 7.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1360.0 | 0.05 | 75.0 | 5500.0 | 2.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1380.0 | 0.05 | 82.0 | 5500.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1180.0 | 0.45 | 13.75 | 4500.0 | 12.0 | -0.232 | -2.79 | 0.01625 | 22.929 | -1.11 | 2.56 |
| 1200.0 | 4.95 | 24.9695733827 | 4500.0 | 8.0 | -0.631 | -3.33 | 0.02009 | 28.347 | -3.03 | 11.18 |
| 1240.0 | 32.5 | 24.9695733827 | 4500.0 | 13.0 | -0.992 | 0.14 | 0.00114 | 1.603 | -4.88 | 46.5 |
| 1300.0 | 77.0 | 24.9695733827 | 5000.0 | 1.0 | -1.0 | 0.36 | 0.0 | 0.0 | -5.16 | 106.44 |
| 1360.0 | 175.15 | 25.0 | 1000.0 | 2.0 | -1.0 | 0.38 | 0.0 | 0.0 | -5.4 | 166.42 |
