SIEMENS Options
Date: 31Mar2016 Expiry date: 31Mar2016
Underlying Price: 1099.7 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 980.0 | 115.55 | 25.0 | 4000.0 | 2.0 | 1.0 | -0.27 | 0.0 | 0.0 | 3.89 | 119.97 |
| 1000.0 | 95.5 | 25.0 | 13600.0 | 8.0 | 1.0 | -0.28 | 0.0 | 0.0 | 3.97 | 99.98 |
| 1020.0 | 76.0 | 24.7349171843 | 6400.0 | 7.0 | 1.0 | -0.28 | 0.0 | 0.0 | 4.05 | 79.98 |
| 1040.0 | 54.35 | 24.7349171843 | 23200.0 | 5.0 | 1.0 | -0.29 | 3e-05 | 0.041 | 4.13 | 59.99 |
| 1060.0 | 40.0 | 25.0 | 25200.0 | 3.0 | 0.991 | -0.49 | 0.00135 | 1.607 | 4.17 | 40.04 |
| 1080.0 | 15.0 | 24.7349171843 | 14400.0 | 6.0 | 0.882 | -1.96 | 0.01153 | 13.685 | 3.77 | 21.0 |
| 1100.0 | 1.15 | 4.0 | 32000.0 | 133.0 | 0.503 | -3.57 | 0.02328 | 27.64 | 2.17 | 6.84 |
| 1120.0 | 0.4 | 19.0 | 5200.0 | 4.0 | 0.125 | -1.81 | 0.01204 | 14.296 | 0.54 | 1.06 |
| 1140.0 | 0.1 | 26.25 | 8800.0 | 3.0 | 0.011 | -0.26 | 0.00171 | 2.035 | 0.05 | 0.07 |
Put Options
| Strike Price | Option Price | Implied Volatility | Open Interest | Number of Contracts | Delta | Theta | Gamma | Vega | Rho | Black Scholes Price |
|---|---|---|---|---|---|---|---|---|---|---|
| 900.0 | 0.05 | 24.7349171843 | 5200.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 940.0 | 0.1 | 97.0 | 6000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 960.0 | 0.1 | 85.0 | 4000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 1020.0 | 0.05 | 46.5 | 5200.0 | 2.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 1040.0 | 0.05 | 35.75 | 14400.0 | 1.0 | -0.0 | -0.01 | 3e-05 | 0.041 | -0.0 | 0.0 |
| 1060.0 | 0.95 | 41.0 | 8800.0 | 5.0 | -0.009 | -0.2 | 0.00135 | 1.607 | -0.04 | 0.05 |
| 1080.0 | 0.1 | 15.0 | 9600.0 | 5.0 | -0.118 | -1.66 | 0.01153 | 13.685 | -0.52 | 1.0 |
| 1100.0 | 0.6 | 2.25 | 3600.0 | 15.0 | -0.497 | -3.26 | 0.02328 | 27.64 | -2.19 | 6.83 |
| 1140.0 | 42.0 | 25.0 | 2800.0 | 9.0 | -0.989 | 0.06 | 0.00171 | 2.035 | -4.47 | 40.05 |
| 1160.0 | 70.05 | 94.0 | 0.0 | 1.0 | -1.0 | 0.31 | 7e-05 | 0.085 | -4.6 | 59.98 |
| 1200.0 | 107.6 | 96.0 | 0.0 | 2.0 | -1.0 | 0.33 | 0.0 | 0.0 | -4.76 | 99.97 |
