SIEMENS Options

Date: 26Jul2012 Expiry date: 26Jul2012

Underlying Price: 650.5 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
660.0 0.5 19.5 1500.0 2.0 0.146 -1.03 0.02626 9.393 0.37 0.65
700.0 0.05 47.5 5000.0 6.0 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 8.4 21.3055559756 500.0 1.0 -0.854 -0.84 0.02626 9.393 -2.24 9.97
680.0 20.8 21.3055559756 5500.0 10.0 -0.999 0.18 0.00021 0.076 -2.7 29.31
700.0 49.6 22.0 1000.0 3.0 -1.0 0.19 0.0 0.0 -2.78 49.31
760.0 100.45 21.3055559756 500.0 1.0 -1.0 0.21 0.0 0.0 -3.02 109.29
800.0 140.45 21.3055559756 500.0 1.0 -1.0 0.22 0.0 0.0 -3.17 149.28
880.0 225.0 22.0 1000.0 2.0 -1.0 0.24 0.0 0.0 -3.49 229.26

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