SIEMENS Options
Date: 31Dec2015 Expiry date: 31Dec2015
Underlying Price: 1200.65 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1200.0 | 1.8 | 4.0 | 40000.0 | 196.0 | 0.533 | -2.66 | 0.03177 | 30.072 | 2.52 | 5.5 |
| 1250.0 | 0.1 | 28.5 | 42000.0 | 48.0 | 0.0 | -0.0 | 2e-05 | 0.019 | 0.0 | 0.0 |
| 1300.0 | 0.05 | 48.0 | 25200.0 | 11.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1350.0 | 0.05 | 68.0 | 9200.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 1400.0 | 0.25 | 16.5451416337 | 4000.0 | 3.0 | 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 1100.0 | 0.05 | 53.0 | 19600.0 | 13.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 1200.0 | 0.5 | 3.0 | 14800.0 | 71.0 | -0.467 | -2.33 | 0.03177 | 30.072 | -2.24 | 4.51 |
| 1250.0 | 50.0 | 17.0 | 5600.0 | 14.0 | -1.0 | 0.35 | 2e-05 | 0.019 | -4.96 | 49.0 |
| 1300.0 | 100.0 | 17.0 | 4400.0 | 5.0 | -1.0 | 0.36 | 0.0 | 0.0 | -5.16 | 98.99 |
| 1400.0 | 194.0 | 17.0 | 1600.0 | 2.0 | -1.0 | 0.39 | 0.0 | 0.0 | -5.55 | 198.96 |
