SIEMENS Options
Date: 24Feb2011 Expiry date: 24Feb2011
Underlying Price: 841.9 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 820.0 | 0.3 | 55.4797770116 | 1000.0 | 2.0 | 0.782 | -4.51 | 0.01001 | 15.616 | 2.51 | 25.86 |
| 840.0 | 0.45 | 55.4797770116 | 10500.0 | 7.0 | 0.536 | -5.97 | 0.01351 | 21.075 | 1.74 | 12.82 |
| 860.0 | 0.05 | 15.75 | 156000.0 | 28.0 | 0.28 | -5.02 | 0.01144 | 17.851 | 0.92 | 5.01 |
| 900.0 | 0.05 | 42.5 | 73000.0 | 44.0 | 0.03 | -1.0 | 0.0023 | 3.587 | 0.1 | 0.33 |
| 920.0 | 0.15 | 63.0 | 5500.0 | 10.0 | 0.006 | -0.25 | 0.00058 | 0.9 | 0.02 | 0.06 |
| 940.0 | 0.05 | 66.5 | 1000.0 | 1.0 | 0.001 | -0.04 | 0.0001 | 0.159 | 0.0 | 0.01 |
Put Options
| Strike Price | Option Price | Implied Volatility | Open Interest | Number of Contracts | Delta | Theta | Gamma | Vega | Rho | Black Scholes Price |
|---|---|---|---|---|---|---|---|---|---|---|
| 700.0 | 0.5 | 55.4797770116 | 3500.0 | 2.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 760.0 | 0.5 | 86.0 | 18000.0 | 9.0 | -0.002 | -0.07 | 0.00017 | 0.27 | -0.01 | 0.01 |
| 800.0 | 0.1 | 37.5 | 197000.0 | 37.0 | -0.069 | -1.93 | 0.00449 | 7.014 | -0.23 | 0.9 |
| 820.0 | 0.1 | 21.5 | 62000.0 | 25.0 | -0.218 | -4.28 | 0.01001 | 15.616 | -0.74 | 3.73 |
| 840.0 | 0.6 | 6.75 | 40500.0 | 25.0 | -0.464 | -5.73 | 0.01351 | 21.075 | -1.59 | 10.69 |
| 860.0 | 17.0 | 55.4797770116 | 3000.0 | 1.0 | -0.72 | -4.78 | 0.01144 | 17.851 | -2.5 | 22.87 |
