TATAMOTORS Options
Date: 25Oct2012 Expiry date: 25Oct2012
Underlying Price: 261.25 Trading Days to Expiry: 1.0 Risk Free Interest Rate: 7%
Click here to understand option greeks.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 |
