SUNPHARMA Options

Date: 26May2011 Expiry date: 26May2011

Underlying Price: 110.175 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
440.0 0.8 30.1812076044 6875.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
460.0 1.0 30.1812076044 10625.0 2.0 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
440.0 0.1 30.1812076044 3125.0 3.0 -1.0 0.12 0.0 0.0 -1.75 329.7
460.0 16.1 30.1812076044 1875.0 1.0 -1.0 0.13 0.0 0.0 -1.82 349.7

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