SIEMENS Options
Date: 29Aug2013 Expiry date: 29Aug2013
Underlying Price: 426.85 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
