SUNPHARMA Options

Date: 30Apr2020 Expiry date: 30Apr2020

Underlying Price: 464.45 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
230.0 187.45 57.8713197436 0.0 0.0 1.0 -0.06 0.0 0.0 0.91 234.51
240.0 186.1 57.8713197436 0.0 0.0 1.0 -0.07 0.0 0.0 0.95 224.52
250.0 187.85 57.8713197436 0.0 0.0 1.0 -0.07 0.0 0.0 0.99 214.52
260.0 185.85 57.8713197436 0.0 0.0 1.0 -0.07 0.0 0.0 1.03 204.52
270.0 176.0 57.8713197436 0.0 0.0 1.0 -0.07 0.0 0.0 1.07 194.52
280.0 166.1 57.8713197436 0.0 0.0 1.0 -0.08 0.0 0.0 1.11 184.53
290.0 156.25 57.8713197436 0.0 0.0 1.0 -0.08 0.0 0.0 1.15 174.53
300.0 140.0 57.8713197436 1250.0 0.0 1.0 -0.08 0.0 0.0 1.19 164.53
310.0 67.8 57.8713197436 1250.0 0.0 1.0 -0.09 0.0 0.0 1.23 154.54
320.0 153.35 96.25 0.0 0.0 1.0 -0.09 0.0 0.0 1.27 144.54
330.0 137.2 58.0 75000.0 1.0 1.0 -0.09 0.0 0.0 1.31 134.54
340.0 132.0 68.0795898438 41250.0 4.0 1.0 -0.09 0.0 0.0 1.35 124.54
350.0 116.1 58.0 98750.0 11.0 1.0 -0.1 0.0 0.0 1.39 114.55
360.0 108.85 58.0 63750.0 7.0 1.0 -0.1 0.0 0.0 1.43 104.55
370.0 99.3 58.0 313750.0 6.0 1.0 -0.1 0.0 0.0 1.47 94.55
380.0 86.5 58.0 98750.0 10.0 1.0 -0.11 0.0 0.0 1.51 84.56
390.0 71.95 58.0 38750.0 9.0 1.0 -0.11 0.0 0.0 1.55 74.56
400.0 65.0 58.0 193750.0 31.0 1.0 -0.11 0.0 0.002 1.59 64.56
410.0 58.6 57.8713197436 82500.0 11.0 1.0 -0.12 6e-05 0.031 1.63 54.57
420.0 44.95 58.0 445000.0 24.0 0.997 -0.19 0.00049 0.241 1.66 44.58
430.0 35.45 58.0 142500.0 93.0 0.984 -0.46 0.00239 1.183 1.68 34.67
440.0 28.75 96.0 147500.0 79.0 0.934 -1.2 0.00754 3.737 1.62 25.06
450.0 14.85 47.0 465000.0 114.0 0.814 -2.37 0.01582 7.836 1.44 16.33
460.0 5.15 21.0 161250.0 286.0 0.614 -3.32 0.0226 11.193 1.1 9.26
470.0 0.15 13.25 118750.0 749.0 0.382 -3.28 0.02253 11.16 0.69 4.43
480.0 0.05 25.0 247500.0 934.0 0.19 -2.32 0.01603 7.943 0.34 1.74
490.0 0.05 38.0 155000.0 479.0 0.074 -1.2 0.00832 4.121 0.14 0.56
500.0 0.05 50.0 988750.0 615.0 0.023 -0.46 0.00321 1.588 0.04 0.14
510.0 0.05 61.5 212500.0 126.0 0.006 -0.13 0.00093 0.463 0.01 0.03
520.0 0.05 72.5 396250.0 16.0 0.001 -0.03 0.00021 0.104 0.0 0.0
530.0 0.05 83.0 336250.0 21.0 0.0 -0.01 4e-05 0.018 0.0 0.0
540.0 0.05 93.0 403750.0 3.0 0.0 -0.0 1e-05 0.003 0.0 0.0
550.0 0.05 57.8713197436 352500.0 58.0 0.0 -0.0 0.0 0.0 0.0 0.0
560.0 0.05 57.8713197436 402500.0 106.0 0.0 -0.0 0.0 0.0 0.0 0.0
570.0 0.05 57.8713197436 2500.0 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
230.0 0.05 57.8713197436 3750.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
240.0 0.05 57.8713197436 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
250.0 0.05 57.8713197436 33750.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
260.0 0.1 57.8713197436 11250.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
270.0 0.05 57.8713197436 2500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
280.0 0.05 57.8713197436 17500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
290.0 0.05 57.8713197436 22500.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
300.0 0.05 57.8713197436 200000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
310.0 0.05 57.8713197436 26250.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
320.0 0.05 57.8713197436 41250.0 16.0 0.0 -0.0 0.0 0.0 -0.0 0.0
330.0 0.05 57.8713197436 137500.0 13.0 0.0 -0.0 0.0 0.0 -0.0 0.0
340.0 0.05 57.8713197436 161250.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
350.0 0.05 57.8713197436 270000.0 23.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
360.0 0.05 57.8713197436 203750.0 11.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
370.0 0.05 57.8713197436 265000.0 6.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
380.0 0.05 57.8713197436 97500.0 19.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
390.0 0.05 57.8713197436 106250.0 12.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
400.0 0.05 95.0 427500.0 36.0 -0.0 -0.0 0.0 0.002 -0.0 0.0
410.0 0.05 81.0 96250.0 8.0 -0.0 -0.01 6e-05 0.031 -0.0 0.0
420.0 0.05 67.0 188750.0 22.0 -0.003 -0.07 0.00049 0.241 -0.0 0.01
430.0 0.05 53.0 102500.0 106.0 -0.016 -0.34 0.00239 1.183 -0.03 0.1
440.0 0.05 39.0 148750.0 179.0 -0.066 -1.07 0.00754 3.737 -0.12 0.49
450.0 0.05 24.5 336250.0 474.0 -0.186 -2.24 0.01582 7.836 -0.35 1.75
460.0 0.1 10.75 165000.0 653.0 -0.386 -3.19 0.0226 11.193 -0.73 4.68
470.0 4.65 57.8713197436 72500.0 714.0 -0.618 -3.15 0.02253 11.16 -1.18 9.84
480.0 14.3 57.8713197436 80000.0 142.0 -0.81 -2.19 0.01603 7.943 -1.56 17.16
490.0 25.4 58.0 82500.0 34.0 -0.926 -1.07 0.00832 4.121 -1.81 25.97
500.0 35.35 58.0 98750.0 132.0 -0.977 -0.32 0.00321 1.588 -1.94 35.55
510.0 34.55 57.8713197436 5000.0 0.0 -0.994 0.01 0.00093 0.463 -2.01 45.44
520.0 44.0 57.8713197436 1250.0 0.0 -0.999 0.11 0.00021 0.104 -2.06 55.41
530.0 74.15 57.8713197436 2500.0 1.0 -1.0 0.14 4e-05 0.018 -2.1 65.4
540.0 90.75 57.8713197436 0.0 0.0 -1.0 0.15 1e-05 0.003 -2.14 75.4
550.0 72.4 23.125 0.0 0.0 -1.0 0.15 0.0 0.0 -2.18 85.4
560.0 80.8 57.8713197436 3750.0 0.0 -1.0 0.16 0.0 0.0 -2.22 95.39
570.0 119.9 57.8713197436 0.0 0.0 -1.0 0.16 0.0 0.0 -2.26 105.39

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