SUNPHARMA Options
Date: 26Oct2017 Expiry date: 26Oct2017
Underlying Price: 530.15 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
