SIEMENS Options

Date: 29Aug2013 Expiry date: 29Aug2013

Underlying Price: 426.85 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
420.0 12.0 70.0 1500.0 1.0 0.728 -2.05 0.028 8.927 1.2 8.97
430.0 2.75 39.0 2500.0 4.0 0.405 -2.34 0.03269 10.422 0.67 3.38
440.0 0.15 28.5 3000.0 1.0 0.143 -1.35 0.01902 6.062 0.24 0.85
460.0 1.0 87.0 110000.0 1.0 0.004 -0.07 0.00096 0.304 0.01 0.01
480.0 0.1 83.0 216000.0 1.0 0.0 -0.0 0.0 0.002 0.0 0.0
490.0 0.05 87.0 4500.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
520.0 0.1 44.0887232229 4000.0 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
430.0 4.0 22.0 10000.0 1.0 -0.595 -2.23 0.03269 10.422 -1.03 6.41
440.0 10.0 44.0887232229 500.0 1.0 -0.857 -1.23 0.01902 6.062 -1.51 13.88

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