SUNPHARMA Options
Date: 23Feb2012 Expiry date: 23Feb2012
Underlying Price: 136.45 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
