TATAMOTORS Options

Date: 25Oct2012 Expiry date: 25Oct2012

Underlying Price: 261.25 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
180.0 81.3 28.0 41000.0 20.0 1.0 -0.05 0.0 0.0 0.71 81.3
200.0 62.0 28.0 15000.0 4.0 1.0 -0.06 0.0 0.0 0.79 61.31
210.0 51.85 28.0 4000.0 3.0 1.0 -0.06 0.0 0.0 0.83 51.31
220.0 41.7 28.0 38000.0 23.0 1.0 -0.06 0.0 0.0 0.87 41.31
230.0 32.0 28.0 56000.0 43.0 1.0 -0.06 0.0 0.0 0.91 31.31
240.0 21.1 28.0 27000.0 21.0 1.0 -0.07 0.0 0.0 0.95 21.32
250.0 11.8 28.0 22000.0 31.0 0.995 -0.1 0.00312 0.23 0.99 11.33
260.0 1.15 27.2505400209 425000.0 626.0 0.619 -0.9 0.08495 6.27 0.63 2.52
270.0 0.05 27.25 1400000.0 1039.0 0.029 -0.15 0.01479 1.092 0.03 0.05
280.0 0.05 51.0 1781000.0 184.0 0.0 -0.0 3e-05 0.002 0.0 0.0
290.0 0.05 73.0 991000.0 355.0 0.0 -0.0 0.0 0.0 0.0 0.0
300.0 0.05 93.0 1394000.0 269.0 0.0 -0.0 0.0 0.0 0.0 -0.0
320.0 0.05 27.2505400209 318000.0 3.0 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
180.0 0.05 27.2505400209 4000.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
210.0 0.05 27.2505400209 21000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
220.0 0.05 27.2505400209 92000.0 23.0 0.0 -0.0 0.0 0.0 -0.0 0.0
230.0 0.05 88.0 253000.0 17.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
240.0 0.05 62.0 425000.0 8.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
250.0 0.05 35.5 639000.0 84.0 -0.005 -0.03 0.00312 0.23 -0.01 0.01
260.0 0.15 9.0 876000.0 1942.0 -0.381 -0.83 0.08495 6.27 -0.4 1.2
270.0 8.4 28.0 335000.0 409.0 -0.971 -0.08 0.01479 1.092 -1.04 8.73
280.0 18.5 28.0 607000.0 111.0 -1.0 0.08 3e-05 0.002 -1.11 18.67
290.0 26.0 27.2505400209 34000.0 2.0 -1.0 0.08 0.0 0.0 -1.15 28.67
300.0 39.0 28.0 7000.0 6.0 -1.0 0.08 0.0 0.0 -1.19 38.67
320.0 58.0 28.0 0.0 3.0 -1.0 0.09 0.0 0.0 -1.27 58.66

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