SUNPHARMA Options

Date: 26Oct2017 Expiry date: 26Oct2017

Underlying Price: 530.15 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
460.0 68.8 25.0 3200.0 1.0 1.0 -0.13 0.0 0.0 1.82 70.28
480.0 49.55 25.0 36000.0 13.0 1.0 -0.13 0.0 0.0 1.9 50.28
500.0 29.45 25.0 87200.0 103.0 1.0 -0.14 4e-05 0.011 1.98 30.29
520.0 9.55 24.7722059921 128800.0 697.0 0.897 -0.87 0.02169 5.991 1.84 10.7
540.0 0.15 18.25 960000.0 3075.0 0.124 -0.87 0.02478 6.846 0.26 0.51
560.0 0.1 42.0 1185600.0 1042.0 0.0 -0.0 0.00011 0.031 0.0 0.0
580.0 0.05 58.5 266400.0 110.0 0.0 -0.0 0.0 0.0 0.0 0.0
600.0 0.05 77.5 350400.0 15.0 0.0 -0.0 0.0 0.0 0.0 -0.0
620.0 0.05 95.0 84000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
640.0 0.05 24.7722059921 20000.0 11.0 0.0 -0.0 0.0 0.0 0.0 0.0
660.0 0.05 24.7722059921 9600.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
680.0 0.05 24.7722059921 21600.0 32.0 0.0 -0.0 0.0 0.0 0.0 0.0
700.0 0.05 24.7722059921 47200.0 38.0 0.0 -0.0 0.0 0.0 0.0 0.0
720.0 0.05 24.7722059921 2400.0 6.0 0.0 -0.0 0.0 0.0 0.0 0.0
740.0 0.05 24.7722059921 10400.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
760.0 0.05 24.7722059921 11200.0 42.0 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 0.05 24.7722059921 84800.0 5.0 0.0 -0.0 0.0 0.0 -0.0 0.0
460.0 0.05 89.0 811200.0 48.0 0.0 -0.0 0.0 0.0 -0.0 0.0
480.0 0.05 65.0 1064000.0 97.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
500.0 0.05 41.0 437600.0 135.0 -0.0 -0.0 4e-05 0.011 -0.0 0.0
520.0 0.15 19.5 373600.0 897.0 -0.103 -0.73 0.02169 5.991 -0.22 0.41
540.0 9.4 18.0 258400.0 504.0 -0.876 -0.72 0.02478 6.846 -1.88 10.21
560.0 30.95 25.0 85600.0 188.0 -1.0 0.15 0.00011 0.031 -2.22 29.69
580.0 42.5 24.7722059921 26400.0 28.0 -1.0 0.16 0.0 0.0 -2.3 49.69
600.0 70.0 25.0 28000.0 6.0 -1.0 0.17 0.0 0.0 -2.38 69.68
620.0 86.0 25.0 800.0 2.0 -1.0 0.17 0.0 0.0 -2.46 89.68
640.0 108.0 25.0 7200.0 8.0 -1.0 0.18 0.0 0.0 -2.54 109.67
660.0 123.0 24.7722059921 6400.0 5.0 -1.0 0.18 0.0 0.0 -2.62 129.67
680.0 150.0 25.0 7200.0 24.0 -1.0 0.19 0.0 0.0 -2.7 149.66
700.0 169.05 25.0 6400.0 30.0 -1.0 0.19 0.0 0.0 -2.78 169.66
720.0 192.0 25.0 0.0 3.0 -1.0 0.2 0.0 0.0 -2.86 189.65
740.0 207.0 25.0 11200.0 9.0 -1.0 0.21 0.0 0.0 -2.94 209.64
760.0 228.0 25.0 17600.0 31.0 -1.0 0.21 0.0 0.0 -3.02 229.64

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