TATAMOTORS Options

Date: 25Nov2010 Expiry date: 25Nov2010

Underlying Price: 241.16 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
1050.0 174.5 34.4661044291 2500.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1100.0 128.0 34.4661044291 3500.0 4.0 0.0 -0.0 0.0 0.0 0.0 0.0
1120.0 105.25 34.4661044291 4500.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
1150.0 57.5 34.4661044291 18500.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
1160.0 45.0 34.4661044291 36500.0 12.0 0.0 -0.0 0.0 0.0 0.0 0.0
1180.0 25.0 34.4661044291 30000.0 52.0 0.0 -0.0 0.0 0.0 0.0 0.0
1200.0 5.1 34.4661044291 338500.0 456.0 0.0 -0.0 0.0 0.0 0.0 0.0
1220.0 0.25 34.4661044291 590500.0 1954.0 0.0 -0.0 0.0 0.0 0.0 0.0
1240.0 0.2 34.4661044291 207750.0 3028.0 0.0 -0.0 0.0 0.0 0.0 0.0
1250.0 0.05 34.4661044291 241500.0 1708.0 0.0 -0.0 0.0 0.0 0.0 0.0
1260.0 0.05 34.4661044291 253000.0 1695.0 0.0 -0.0 0.0 0.0 0.0 0.0
1280.0 0.05 34.4661044291 257000.0 698.0 0.0 -0.0 0.0 0.0 0.0 0.0
1300.0 0.05 34.4661044291 631000.0 660.0 0.0 -0.0 0.0 0.0 0.0 0.0
1320.0 0.05 34.4661044291 145500.0 73.0 0.0 -0.0 0.0 0.0 0.0 0.0
1340.0 0.05 34.4661044291 109250.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
1350.0 0.05 34.4661044291 322250.0 93.0 0.0 -0.0 0.0 0.0 0.0 0.0
1360.0 0.05 34.4661044291 57250.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
1380.0 0.05 34.4661044291 71500.0 71.0 0.0 -0.0 0.0 0.0 0.0 0.0
1400.0 0.05 34.4661044291 531250.0 405.0 0.0 -0.0 0.0 0.0 0.0 0.0
1450.0 0.05 34.4661044291 57250.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
1500.0 0.1 34.4661044291 84000.0 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
1040.0 0.05 34.4661044291 1000.0 16.0 -1.0 0.29 0.0 0.0 -4.13 798.55
1060.0 0.05 34.4661044291 3750.0 10.0 -1.0 0.29 0.0 0.0 -4.21 818.55
1080.0 0.05 34.4661044291 11000.0 29.0 -1.0 0.3 0.0 0.0 -4.28 838.54
1100.0 0.05 34.4661044291 50500.0 15.0 -1.0 0.31 0.0 0.0 -4.36 858.53
1120.0 0.05 34.4661044291 31250.0 7.0 -1.0 0.31 0.0 0.0 -4.44 878.53
1140.0 0.05 34.4661044291 79000.0 10.0 -1.0 0.32 0.0 0.0 -4.52 898.52
1150.0 0.9 34.4661044291 64250.0 11.0 -1.0 0.32 0.0 0.0 -4.56 908.52
1160.0 0.2 34.4661044291 137000.0 28.0 -1.0 0.32 0.0 0.0 -4.6 918.52
1180.0 0.1 34.4661044291 108000.0 706.0 -1.0 0.33 0.0 0.0 -4.68 938.51
1200.0 0.05 34.4661044291 265000.0 1450.0 -1.0 0.33 0.0 0.0 -4.76 958.51
1220.0 14.0 34.4661044291 93250.0 2026.0 -1.0 0.34 0.0 0.0 -4.84 978.5
1240.0 33.0 34.4661044291 123500.0 1225.0 -1.0 0.34 0.0 0.0 -4.92 998.5
1250.0 42.05 34.4661044291 99000.0 166.0 -1.0 0.35 0.0 0.0 -4.96 1008.49
1260.0 50.0 34.4661044291 22500.0 193.0 -1.0 0.35 0.0 0.0 -5.0 1018.49
1280.0 67.0 34.4661044291 26500.0 7.0 -1.0 0.36 0.0 0.0 -5.08 1038.48
1300.0 82.0 34.4661044291 8750.0 7.0 -1.0 0.36 0.0 0.0 -5.16 1058.48
1320.0 110.0 34.4661044291 2000.0 1.0 -1.0 0.37 0.0 0.0 -5.24 1078.47

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