SUNPHARMA Options

Date: 23Feb2012 Expiry date: 23Feb2012

Underlying Price: 136.45 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
520.0 28.5 22.25264548 3500.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
540.0 6.35 22.25264548 12500.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
560.0 0.05 22.25264548 47500.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
580.0 0.2 22.25264548 11500.0 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
520.0 1.25 22.25264548 34000.0 1.0 -1.0 0.14 0.0 0.0 -2.06 383.41
540.0 1.0 22.25264548 8500.0 6.0 -1.0 0.15 0.0 0.0 -2.14 403.4
560.0 15.6 22.25264548 4500.0 2.0 -1.0 0.16 0.0 0.0 -2.22 423.39

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