SIEMENS Options
Date: 24Nov2011 Expiry date: 24Nov2011
Underlying Price: 686.15 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
