SIEMENS Options

Date: 28Apr2016 Expiry date: 28Apr2016

Underlying Price: 1147.95 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
1000.0 150.0 25.0 9200.0 1.0 1.0 -0.28 0.0 0.0 3.97 148.23
1060.0 90.0 25.0 2000.0 2.0 1.0 -0.29 0.0 0.0 4.21 88.24
1080.0 81.0 24.0829386437 2400.0 1.0 1.0 -0.3 1e-05 0.008 4.28 68.25
1100.0 50.0 25.0 5200.0 5.0 0.998 -0.37 0.00041 0.514 4.35 48.27
1120.0 37.1 62.0 1200.0 3.0 0.951 -1.18 0.00587 7.388 4.22 28.62
1140.0 16.25 38.0 17200.0 5.0 0.686 -3.31 0.02038 25.664 3.08 11.83
1160.0 0.45 12.75 26000.0 11.0 0.254 -2.87 0.0184 23.169 1.15 2.63
1180.0 0.05 18.75 18400.0 26.0 0.037 -0.71 0.00462 5.822 0.17 0.25
1200.0 0.1 31.0 35600.0 14.0 0.002 -0.05 0.00034 0.434 0.01 0.01
1220.0 0.1 41.0 2800.0 4.0 0.0 -0.0 1e-05 0.01 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
1060.0 0.05 49.0 7600.0 6.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
1080.0 0.05 38.5 5600.0 3.0 -0.0 -0.0 1e-05 0.008 -0.0 0.0
1100.0 0.05 28.0 9200.0 13.0 -0.002 -0.06 0.00041 0.514 -0.01 0.01
1120.0 0.2 21.5 3600.0 6.0 -0.049 -0.87 0.00587 7.388 -0.23 0.36
1140.0 1.25 14.5 10400.0 8.0 -0.314 -2.99 0.02038 25.664 -1.45 3.56
1160.0 10.25 24.0829386437 9200.0 6.0 -0.746 -2.55 0.0184 23.169 -3.46 14.36
1180.0 18.55 24.0829386437 4800.0 9.0 -0.963 -0.38 0.00462 5.822 -4.51 31.98
1200.0 54.35 25.0 1200.0 2.0 -0.998 0.28 0.00034 0.434 -4.75 51.73

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