SIEMENS Options

Date: 31Mar2016 Expiry date: 31Mar2016

Underlying Price: 1099.7 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
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

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