SIEMENS Options

Date: 24Nov2011 Expiry date: 24Nov2011

Underlying Price: 686.15 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
680.0 2.5 30.7073352354 250.0 2.0 0.688 -2.48 0.02667 15.299 1.84 9.04
700.0 0.3 21.5 3750.0 11.0 0.156 -1.62 0.01807 10.365 0.42 1.08
720.0 0.05 32.75 1500.0 3.0 0.007 -0.13 0.00144 0.826 0.02 0.03
900.0 0.05 30.7073352354 1250.0 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
660.0 3.0 69.0 1250.0 2.0 -0.021 -0.33 0.00381 2.185 -0.06 0.1
680.0 6.9 55.0 3000.0 7.0 -0.312 -2.29 0.02667 15.299 -0.86 2.7
700.0 10.75 30.7073352354 10000.0 5.0 -0.844 -1.43 0.01807 10.365 -2.36 14.73
720.0 31.9 30.7073352354 3500.0 8.0 -0.993 0.07 0.00144 0.826 -2.84 33.68

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