SUNPHARMA Options

Date: 29Aug2013 Expiry date: 29Aug2013

Underlying Price: 510.65 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
490.0 4.65 45.1713303514 2500.0 2.0 0.93 -1.1 0.00926 4.327 1.8 21.24
500.0 9.0 45.1713303514 48000.0 183.0 0.778 -2.27 0.0205 9.581 1.53 12.67
510.0 1.45 8.0 24500.0 83.0 0.527 -2.97 0.02739 12.805 1.04 6.2
520.0 0.45 24.0 45500.0 42.0 0.27 -2.44 0.02275 10.632 0.54 2.36
530.0 0.1 30.5 15500.0 5.0 0.1 -1.29 0.01206 5.635 0.2 0.68
540.0 0.1 43.0 45000.0 2.0 0.026 -0.45 0.00418 1.955 0.05 0.14
550.0 0.05 49.5 60500.0 6.0 0.005 -0.1 0.00097 0.455 0.01 0.02
560.0 0.05 60.0 50500.0 15.0 0.001 -0.02 0.00015 0.072 0.0 0.0
570.0 0.05 70.0 26000.0 1.0 0.0 -0.0 2e-05 0.008 0.0 0.0
590.0 0.05 89.0 26500.0 7.0 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
420.0 0.05 45.1713303514 1000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
470.0 0.05 55.5 49500.0 2.0 -0.002 -0.04 0.00037 0.171 -0.0 0.01
490.0 0.75 51.0 7000.0 5.0 -0.07 -0.97 0.00926 4.327 -0.14 0.46
500.0 0.2 22.5 37000.0 69.0 -0.222 -2.13 0.0205 9.581 -0.46 1.88
510.0 0.8 9.0 9000.0 24.0 -0.473 -2.82 0.02739 12.805 -0.98 5.41
530.0 27.5 45.1713303514 4000.0 2.0 -0.9 -1.14 0.01206 5.635 -1.9 19.88
540.0 29.0 46.0 27000.0 2.0 -0.974 -0.3 0.00418 1.955 -2.09 29.34
550.0 47.0 45.1713303514 11500.0 1.0 -0.995 0.05 0.00097 0.455 -2.17 39.22
560.0 54.0 45.1713303514 5500.0 1.0 -0.999 0.14 0.00015 0.072 -2.22 49.2
570.0 65.0 45.1713303514 3000.0 1.0 -1.0 0.16 2e-05 0.008 -2.26 59.19

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