TATAMOTORS Options
Date: 26Jun2014 Expiry date: 26Jun2014
Underlying Price: 438.0 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
