TATAMOTORS Options

Date: 24Sep2020 Expiry date: 24Sep2020

Underlying Price: 122.8 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
65.0 41.15 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.26 57.82
67.5 39.05 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.27 55.32
70.0 37.0 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.28 52.82
72.5 35.05 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.29 50.32
75.0 33.15 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.3 47.82
77.5 31.35 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.31 45.32
80.0 29.55 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.32 42.82
82.5 27.9 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.33 40.32
85.0 40.4 77.9462890625 0.0 1.0 1.0 -0.02 0.0 0.0 0.34 37.82
87.5 24.7 49.7814477778 0.0 0.0 1.0 -0.02 0.0 0.0 0.35 35.32
90.0 32.0 50.0 5700.0 1.0 1.0 -0.02 0.0 0.0 0.36 32.82
92.5 21.8 49.7814477778 0.0 0.0 1.0 -0.03 0.0 0.0 0.37 30.33
95.0 32.0 49.7814477778 5700.0 1.0 1.0 -0.03 0.0 0.0 0.38 27.83
97.5 19.2 49.7814477778 0.0 0.0 1.0 -0.03 0.0 0.0 0.39 25.33
100.0 26.0 49.7814477778 5700.0 1.0 1.0 -0.03 0.0 0.0 0.4 22.83
102.5 16.85 49.7814477778 0.0 0.0 1.0 -0.03 0.0 0.0 0.41 20.33
105.0 27.0 49.7814477778 0.0 0.0 1.0 -0.03 0.0 0.0 0.42 17.83
107.5 14.75 50.0 0.0 0.0 1.0 -0.03 1e-05 0.0 0.43 15.33
110.0 16.1 49.7814477778 57000.0 3.0 1.0 -0.03 0.0002 0.006 0.44 12.83
112.5 12.15 49.7814477778 0.0 1.0 0.998 -0.05 0.00195 0.058 0.45 10.33
115.0 19.0 49.7814477778 11400.0 0.0 0.983 -0.11 0.01102 0.328 0.45 7.86
117.5 10.75 49.7814477778 0.0 0.0 0.924 -0.31 0.0372 1.108 0.43 5.47
120.0 2.6 49.7814477778 205200.0 43.0 0.776 -0.6 0.07762 2.312 0.37 3.34
122.5 0.75 19.0 28500.0 4.0 0.541 -0.78 0.10307 3.07 0.26 1.71
125.0 0.05 19.0 393300.0 615.0 0.294 -0.67 0.08947 2.665 0.14 0.7
127.5 0.05 35.0 216600.0 260.0 0.12 -0.39 0.05206 1.551 0.06 0.23
130.0 0.05 49.0 1504800.0 1061.0 0.037 -0.16 0.02079 0.619 0.02 0.06
132.5 0.05 62.0 359100.0 190.0 0.008 -0.04 0.00582 0.173 0.0 0.01
135.0 0.05 74.0 1835400.0 582.0 0.001 -0.01 0.00117 0.035 0.0 0.0
137.5 0.05 86.0 541500.0 89.0 0.0 -0.0 0.00017 0.005 0.0 0.0
140.0 0.05 98.0 2325600.0 274.0 0.0 -0.0 2e-05 0.001 0.0 0.0
142.5 0.05 49.7814477778 712500.0 66.0 0.0 -0.0 0.0 0.0 0.0 0.0
145.0 0.05 49.7814477778 2086200.0 142.0 0.0 -0.0 0.0 0.0 0.0 0.0
147.5 0.05 49.7814477778 604200.0 28.0 0.0 -0.0 0.0 0.0 0.0 0.0
150.0 0.05 49.7814477778 5443500.0 226.0 0.0 -0.0 0.0 0.0 0.0 0.0
152.5 0.05 49.7814477778 1128600.0 29.0 0.0 -0.0 0.0 0.0 0.0 0.0
155.0 0.05 49.7814477778 3351600.0 49.0 0.0 -0.0 0.0 0.0 0.0 0.0
157.5 0.05 49.7814477778 621300.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
160.0 0.05 49.7814477778 4451700.0 36.0 0.0 -0.0 0.0 0.0 0.0 0.0
162.5 0.05 49.7814477778 319200.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
165.0 0.05 49.7814477778 2166000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
167.5 0.05 49.7814477778 302100.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
170.0 0.05 49.7814477778 3556800.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
172.5 0.05 49.7814477778 661200.0 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
65.0 0.05 49.7814477778 22800.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 1.95 49.7814477778 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
70.0 0.05 49.7814477778 11400.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
72.5 0.1 49.7814477778 34200.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 3.5 49.7814477778 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.05 49.7814477778 96900.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 49.7814477778 22800.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 5.6 49.7814477778 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 49.7814477778 148200.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
87.5 7.4 49.7814477778 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 49.7814477778 68400.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
92.5 9.45 49.7814477778 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 49.7814477778 34200.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
97.5 11.8 49.7814477778 0.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
100.0 0.05 49.7814477778 564300.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
102.5 0.05 49.7814477778 57000.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
105.0 0.05 49.7814477778 245100.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
107.5 0.05 49.7814477778 11400.0 0.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
110.0 0.05 86.0 1276800.0 226.0 -0.0 -0.0 0.0002 0.006 -0.0 0.0
112.5 0.05 71.0 114000.0 7.0 -0.002 -0.01 0.00195 0.058 -0.0 0.0
115.0 0.05 56.0 456000.0 69.0 -0.017 -0.08 0.01102 0.328 -0.01 0.02
117.5 0.05 40.0 165300.0 37.0 -0.076 -0.27 0.0372 1.108 -0.04 0.13
120.0 0.05 24.0 1151400.0 747.0 -0.224 -0.57 0.07762 2.312 -0.11 0.5
122.5 0.15 9.5 102600.0 289.0 -0.459 -0.75 0.10307 3.07 -0.23 1.37
125.0 2.25 28.0 353400.0 1101.0 -0.706 -0.64 0.08947 2.665 -0.36 2.87
127.5 4.8 50.0 216600.0 222.0 -0.88 -0.35 0.05206 1.551 -0.45 4.89
130.0 7.1 50.0 353400.0 626.0 -0.963 -0.12 0.02079 0.619 -0.5 7.22
132.5 9.35 50.0 165300.0 43.0 -0.992 -0.01 0.00582 0.173 -0.52 9.67
135.0 12.1 50.0 575700.0 160.0 -0.999 0.03 0.00117 0.035 -0.53 12.16
137.5 14.5 50.0 233700.0 12.0 -1.0 0.04 0.00017 0.005 -0.55 14.66
140.0 17.15 50.0 558600.0 100.0 -1.0 0.04 2e-05 0.001 -0.56 17.16
142.5 19.55 50.0 188100.0 37.0 -1.0 0.04 0.0 0.0 -0.57 19.66
145.0 22.05 50.0 461700.0 72.0 -1.0 0.04 0.0 0.0 -0.58 22.16
147.5 24.5 50.0 324900.0 11.0 -1.0 0.04 0.0 0.0 -0.59 24.66
150.0 27.0 50.0 997500.0 93.0 -1.0 0.04 0.0 0.0 -0.6 27.16
152.5 29.0 50.0 148200.0 7.0 -1.0 0.04 0.0 0.0 -0.6 29.66
155.0 32.2 50.0 199500.0 14.0 -1.0 0.04 0.0 0.0 -0.61 32.16
157.5 27.0 49.7814477778 39900.0 0.0 -1.0 0.04 0.0 0.0 -0.62 34.66
160.0 37.0 50.0 182400.0 5.0 -1.0 0.04 0.0 0.0 -0.63 37.16
162.5 40.6 50.0 0.0 0.0 -1.0 0.05 0.0 0.0 -0.64 39.65
165.0 31.4 49.7814477778 45600.0 0.0 -1.0 0.05 0.0 0.0 -0.65 42.15
167.5 16.25 49.7814477778 11400.0 0.0 -1.0 0.05 0.0 0.0 -0.66 44.65
170.0 38.5 49.7814477778 0.0 0.0 -1.0 0.05 0.0 0.0 -0.67 47.15
172.5 36.35 49.7814477778 0.0 0.0 -1.0 0.05 0.0 0.0 -0.68 49.65

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