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

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play