SIEMENS Options

Date: 28Jan2016 Expiry date: 28Jan2016

Underlying Price: 984.1 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 1.9 29.0 4800.0 10.0 0.242 -3.46 0.01434 19.343 0.93 3.07
1020.0 0.05 24.0 3600.0 4.0 0.055 -1.23 0.00512 6.912 0.21 0.51
1040.0 0.05 35.5 3600.0 1.0 0.007 -0.2 0.00086 1.156 0.03 0.05
1050.0 0.3 52.0 7600.0 2.0 0.002 -0.06 0.00027 0.361 0.01 0.01
1100.0 0.05 66.0 14000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
1120.0 0.05 75.5 7200.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1150.0 0.1 96.0 14400.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
1180.0 2.0 35.099501014 1600.0 1.0 0.0 -0.0 0.0 0.0 0.0 -0.0
1200.0 0.2 35.099501014 36000.0 16.0 0.0 -0.0 0.0 0.0 0.0 0.0
1220.0 0.2 35.099501014 8000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1240.0 0.05 35.099501014 6000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1350.0 0.6 35.099501014 2400.0 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
940.0 0.05 30.5 2400.0 4.0 -0.018 -0.48 0.00203 2.743 -0.07 0.14
950.0 0.1 26.5 2400.0 3.0 -0.053 -1.16 0.00495 6.675 -0.21 0.49
1000.0 13.95 35.099501014 32000.0 81.0 -0.758 -3.18 0.01434 19.343 -3.04 18.69
1020.0 30.0 35.099501014 1200.0 2.0 -0.945 -0.94 0.00512 6.912 -3.83 36.12
1050.0 56.0 35.099501014 9200.0 2.0 -0.998 0.23 0.00027 0.361 -4.16 65.62
1100.0 90.0 35.099501014 4800.0 2.0 -1.0 0.31 0.0 0.0 -4.36 115.59
1120.0 113.5 35.099501014 2000.0 1.0 -1.0 0.31 0.0 0.0 -4.44 135.59
1150.0 148.0 35.099501014 16000.0 3.0 -1.0 0.32 0.0 0.0 -4.56 165.58
1180.0 179.0 35.099501014 400.0 2.0 -1.0 0.33 0.0 0.0 -4.68 195.57
1200.0 209.2 36.0 10000.0 30.0 -1.0 0.33 0.0 0.0 -4.76 215.57
1350.0 342.0 35.099501014 3200.0 1.0 -1.0 0.37 0.0 0.0 -5.36 365.53
1400.0 388.05 35.099501014 2800.0 1.0 -1.0 0.39 0.0 0.0 -5.55 415.51

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