SIEMENS Options

Date: 31Dec2015 Expiry date: 31Dec2015

Underlying Price: 1200.65 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
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

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