SUNPHARMA Options
Date: 25Jul2013 Expiry date: 25Jul2013
Underlying Price: 273.825 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
