TATAMOTORS Options

Date: 26Jun2014 Expiry date: 26Jun2014

Underlying Price: 438.0 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
340.0 100.45 25.0 3000.0 1.0 1.0 -0.09 0.0 0.0 1.35 98.09
350.0 89.0 25.0 4000.0 10.0 1.0 -0.1 0.0 0.0 1.39 88.1
360.0 79.1 25.0 5000.0 7.0 1.0 -0.1 0.0 0.0 1.43 78.1
370.0 71.0 25.0 3000.0 2.0 1.0 -0.1 0.0 0.0 1.47 68.1
380.0 62.0 42.25 13000.0 5.0 1.0 -0.11 0.0 0.0 1.51 58.11
390.0 50.5 25.0 6000.0 1.0 1.0 -0.11 0.0 0.0 1.55 48.11
400.0 37.0 25.0 28000.0 3.0 1.0 -0.11 0.0 0.0 1.59 38.11
420.0 18.05 25.0 101000.0 21.0 0.997 -0.15 0.0014 0.262 1.66 18.12
430.0 8.05 23.0 429000.0 71.0 0.888 -0.75 0.02809 5.259 1.51 8.49
440.0 0.35 9.5 770000.0 1185.0 0.394 -1.35 0.05672 10.619 0.68 1.88
450.0 0.05 21.25 1246000.0 2250.0 0.043 -0.31 0.01342 2.512 0.07 0.12
460.0 0.05 35.5 1236000.0 526.0 0.001 -0.01 0.00043 0.08 0.0 0.0
470.0 0.05 48.5 423000.0 82.0 0.0 -0.0 0.0 0.0 0.0 0.0
480.0 0.05 61.0 708000.0 69.0 0.0 -0.0 0.0 0.0 0.0 0.0
490.0 0.05 73.0 138000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
500.0 0.05 84.0 462000.0 26.0 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
350.0 0.1 24.5916337086 30000.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
360.0 0.05 24.5916337086 20000.0 7.0 0.0 -0.0 0.0 0.0 -0.0 0.0
370.0 0.05 24.5916337086 30000.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
380.0 0.05 91.0 152000.0 10.0 0.0 -0.0 0.0 0.0 -0.0 0.0
390.0 0.05 76.0 132000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
400.0 0.05 61.0 625000.0 4.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
410.0 0.05 46.5 203000.0 9.0 -0.0 -0.0 1e-05 0.001 -0.0 0.0
420.0 0.05 31.5 614000.0 24.0 -0.003 -0.03 0.0014 0.262 -0.01 0.01
430.0 0.05 15.75 490000.0 199.0 -0.112 -0.63 0.02809 5.259 -0.2 0.37
440.0 1.75 24.5916337086 382000.0 1659.0 -0.606 -1.23 0.05672 10.619 -1.07 3.75
450.0 11.5 25.0 164000.0 66.0 -0.957 -0.19 0.01342 2.512 -1.71 11.99
460.0 22.0 25.0 45000.0 4.0 -0.999 0.12 0.00043 0.08 -1.82 21.87
470.0 26.65 24.5916337086 77000.0 3.0 -1.0 0.13 0.0 0.0 -1.86 31.87
480.0 38.0 24.5916337086 6000.0 1.0 -1.0 0.13 0.0 0.0 -1.9 41.87
500.0 56.0 24.5916337086 3000.0 1.0 -1.0 0.14 0.0 0.0 -1.98 61.86

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