SUNPHARMA Options

Date: 25Jul2013 Expiry date: 25Jul2013

Underlying Price: 273.825 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
960.0 128.0 28.60065254 3750.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
980.0 115.0 28.60065254 3250.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1000.0 95.4 28.60065254 15000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
1020.0 75.0 28.60065254 9250.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1040.0 53.65 28.60065254 8000.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1060.0 42.0 28.60065254 11750.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1080.0 12.3 28.60065254 9750.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
1100.0 1.0 28.60065254 15750.0 90.0 0.0 -0.0 0.0 0.0 0.0 0.0
1120.0 0.3 28.60065254 38250.0 333.0 0.0 -0.0 0.0 0.0 0.0 0.0
1140.0 0.05 28.60065254 26750.0 45.0 0.0 -0.0 0.0 0.0 0.0 0.0
1160.0 0.05 28.60065254 11000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
1180.0 0.05 28.60065254 9000.0 16.0 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
900.0 0.05 28.60065254 5750.0 1.0 -1.0 0.25 0.0 0.0 -3.57 625.93
920.0 0.05 28.60065254 4750.0 5.0 -1.0 0.26 0.0 0.0 -3.65 645.92
940.0 0.05 28.60065254 8750.0 6.0 -1.0 0.26 0.0 0.0 -3.73 665.91
960.0 0.1 28.60065254 15000.0 8.0 -1.0 0.27 0.0 0.0 -3.81 685.91
980.0 0.6 28.60065254 10500.0 11.0 -1.0 0.27 0.0 0.0 -3.89 705.9
1000.0 0.45 28.60065254 126750.0 12.0 -1.0 0.28 0.0 0.0 -3.97 725.9
1020.0 0.4 28.60065254 12500.0 12.0 -1.0 0.28 0.0 0.0 -4.05 745.89
1040.0 0.05 28.60065254 33750.0 13.0 -1.0 0.29 0.0 0.0 -4.13 765.89
1060.0 0.1 28.60065254 13000.0 12.0 -1.0 0.29 0.0 0.0 -4.21 785.88
1080.0 1.95 28.60065254 21500.0 29.0 -1.0 0.3 0.0 0.0 -4.28 805.88
1100.0 7.1 28.60065254 21750.0 113.0 -1.0 0.31 0.0 0.0 -4.36 825.87
1120.0 29.0 28.60065254 7750.0 109.0 -1.0 0.31 0.0 0.0 -4.44 845.86
1140.0 5.0 28.60065254 2250.0 3.0 -1.0 0.32 0.0 0.0 -4.52 865.86

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