SUNPHARMA Options

Date: 29Jun2017 Expiry date: 29Jun2017

Underlying Price: 536.9 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
480.0 60.5 99.0 33600.0 75.0 1.0 -0.13 0.0 0.0 1.9 57.03
500.0 35.8 23.0 88900.0 295.0 1.0 -0.14 0.0 0.0 1.98 37.04
520.0 15.35 22.085441876 424900.0 290.0 0.99 -0.24 0.00357 0.903 2.04 17.07
540.0 0.35 10.0 668500.0 2105.0 0.349 -1.43 0.04956 12.522 0.74 1.74
560.0 0.1 33.5 1255800.0 759.0 0.001 -0.02 0.00059 0.15 0.0 0.0
580.0 0.05 51.0 624400.0 471.0 0.0 -0.0 0.0 0.0 0.0 0.0
600.0 0.05 70.0 919800.0 284.0 0.0 -0.0 0.0 0.0 0.0 0.0
620.0 0.05 88.0 508900.0 109.0 0.0 -0.0 0.0 0.0 0.0 0.0
640.0 0.1 22.085441876 219800.0 39.0 0.0 -0.0 0.0 0.0 0.0 0.0
660.0 0.05 22.085441876 296800.0 32.0 0.0 -0.0 0.0 0.0 0.0 0.0
680.0 0.05 22.085441876 113400.0 20.0 0.0 -0.0 0.0 0.0 0.0 0.0
700.0 0.05 22.085441876 159600.0 94.0 0.0 -0.0 0.0 0.0 0.0 0.0
720.0 0.05 22.085441876 37800.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
740.0 0.05 22.085441876 43400.0 51.0 0.0 -0.0 0.0 0.0 0.0 0.0
760.0 0.05 22.085441876 25200.0 64.0 0.0 -0.0 0.0 0.0 0.0 0.0
780.0 0.05 22.085441876 8400.0 16.0 0.0 -0.0 0.0 0.0 0.0 0.0
800.0 0.05 22.085441876 4900.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
820.0 0.05 22.085441876 0.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
880.0 0.15 22.085441876 9800.0 20.0 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 22.085441876 65800.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
440.0 0.05 22.085441876 47600.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
460.0 0.05 96.0 263200.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
480.0 0.05 72.0 338800.0 100.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
500.0 0.05 48.5 520800.0 188.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
520.0 0.1 27.0 538300.0 360.0 -0.01 -0.1 0.00357 0.903 -0.02 0.03
540.0 3.7 15.0 338800.0 1155.0 -0.651 -1.28 0.04956 12.522 -1.4 4.69
560.0 24.1 23.0 107100.0 145.0 -0.999 0.14 0.00059 0.15 -2.22 22.95
580.0 43.7 23.0 56000.0 94.0 -1.0 0.16 0.0 0.0 -2.3 42.94
600.0 64.3 23.0 112700.0 107.0 -1.0 0.17 0.0 0.0 -2.38 62.93
620.0 79.6 23.0 44100.0 17.0 -1.0 0.17 0.0 0.0 -2.46 82.93
640.0 104.0 23.0 66500.0 37.0 -1.0 0.18 0.0 0.0 -2.54 102.92
660.0 125.0 23.0 42000.0 10.0 -1.0 0.18 0.0 0.0 -2.62 122.92
680.0 143.85 23.0 11900.0 17.0 -1.0 0.19 0.0 0.0 -2.7 142.91
700.0 164.3 23.0 36400.0 81.0 -1.0 0.19 0.0 0.0 -2.78 162.91
720.0 180.0 23.0 14000.0 7.0 -1.0 0.2 0.0 0.0 -2.86 182.9
740.0 201.0 23.0 13300.0 31.0 -1.0 0.21 0.0 0.0 -2.94 202.89
760.0 219.0 23.0 13300.0 40.0 -1.0 0.21 0.0 0.0 -3.02 222.89
780.0 239.0 23.0 2800.0 14.0 -1.0 0.22 0.0 0.0 -3.09 242.88
800.0 261.0 23.0 11900.0 10.0 -1.0 0.22 0.0 0.0 -3.17 262.88
820.0 280.0 23.0 700.0 1.0 -1.0 0.23 0.0 0.0 -3.25 282.87
880.0 341.0 23.0 4900.0 29.0 -1.0 0.24 0.0 0.0 -3.49 342.86

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