TATAMOTORS Options

Date: 26Sep2019 Expiry date: 26Sep2019

Underlying Price: 124.5 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
75.0 49.1 73.0 3000.0 3.0 1.0 -0.02 0.0 0.0 0.3 49.52
80.0 45.0 73.0 3000.0 2.0 1.0 -0.02 0.0 0.0 0.32 44.52
85.0 38.5 73.0 6000.0 0.0 1.0 -0.02 0.0 0.0 0.34 39.52
90.0 40.5 72.0092036578 9000.0 0.0 1.0 -0.02 0.0 0.0 0.36 34.52
95.0 28.8 73.0 30000.0 0.0 1.0 -0.03 0.0 0.0 0.38 29.53
100.0 23.5 73.0 18000.0 17.0 1.0 -0.03 0.0 0.0 0.4 24.53
105.0 19.6 73.0 111000.0 14.0 1.0 -0.03 5e-05 0.002 0.42 19.53
110.0 14.65 73.0 81000.0 29.0 0.997 -0.06 0.00157 0.07 0.43 14.54
115.0 9.75 73.0 1101000.0 115.0 0.962 -0.26 0.01453 0.643 0.44 9.62
120.0 4.5 47.0 1233000.0 860.0 0.8 -0.82 0.04963 2.198 0.37 5.18
125.0 0.25 14.0 450000.0 1608.0 0.476 -1.14 0.07053 3.124 0.23 2.03
130.0 0.05 39.0 1503000.0 1358.0 0.178 -0.74 0.04609 2.042 0.09 0.53
135.0 0.05 65.0 1815000.0 224.0 0.04 -0.24 0.01511 0.669 0.02 0.09
140.0 0.05 89.0 1917000.0 189.0 0.005 -0.04 0.00268 0.119 0.0 0.01
145.0 0.05 72.0092036578 1479000.0 19.0 0.0 -0.0 0.00027 0.012 0.0 0.0
150.0 0.05 72.0092036578 3291000.0 29.0 0.0 -0.0 2e-05 0.001 0.0 0.0
155.0 0.05 72.0092036578 501000.0 29.0 0.0 -0.0 0.0 0.0 0.0 0.0
160.0 0.05 72.0092036578 1290000.0 9.0 0.0 -0.0 0.0 0.0 0.0 0.0
165.0 0.05 72.0092036578 198000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
170.0 0.05 72.0092036578 213000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
175.0 0.05 72.0092036578 27000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
180.0 0.05 72.0092036578 57000.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
185.0 9.4 72.0092036578 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
190.0 0.05 72.0092036578 63000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
195.0 0.05 72.0092036578 3000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
200.0 0.05 72.0092036578 30000.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
205.0 4.85 72.0092036578 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
210.0 0.05 72.0092036578 123000.0 16.0 0.0 -0.0 0.0 0.0 0.0 0.0
215.0 3.4 72.0092036578 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
220.0 0.15 72.0092036578 9000.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
225.0 2.35 72.0092036578 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
230.0 1.95 72.0092036578 0.0 0.0 0.0 -0.0 0.0 0.0 0.0 0.0
235.0 0.05 72.0092036578 3000.0 1.0 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
75.0 0.05 72.0092036578 333000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 72.0092036578 483000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 72.0092036578 234000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 72.0092036578 1221000.0 0.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 72.0092036578 432000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
100.0 0.05 72.0092036578 2280000.0 15.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
105.0 0.05 72.0092036578 1572000.0 2.0 -0.0 -0.0 5e-05 0.002 -0.0 0.0
110.0 0.05 95.0 1581000.0 82.0 -0.003 -0.02 0.00157 0.07 -0.0 0.0
115.0 0.05 65.0 1467000.0 279.0 -0.038 -0.23 0.01453 0.643 -0.02 0.09
120.0 0.15 45.0 1677000.0 1431.0 -0.2 -0.78 0.04963 2.198 -0.1 0.65
125.0 0.75 16.0 279000.0 1286.0 -0.524 -1.11 0.07053 3.124 -0.27 2.5
130.0 5.7 71.0 582000.0 565.0 -0.822 -0.7 0.04609 2.042 -0.43 6.0
135.0 10.15 73.0 540000.0 100.0 -0.96 -0.2 0.01511 0.669 -0.52 10.55
140.0 15.3 73.0 138000.0 60.0 -0.995 -0.0 0.00268 0.119 -0.55 15.47
145.0 20.25 73.0 72000.0 13.0 -1.0 0.04 0.00027 0.012 -0.58 20.46
150.0 26.15 73.0 33000.0 49.0 -1.0 0.04 2e-05 0.001 -0.6 25.46
155.0 30.75 73.0 30000.0 33.0 -1.0 0.04 0.0 0.0 -0.61 30.46
160.0 35.5 73.0 27000.0 6.0 -1.0 0.04 0.0 0.0 -0.63 35.46
165.0 41.2 73.0 6000.0 2.0 -1.0 0.05 0.0 0.0 -0.65 40.45
170.0 46.15 73.0 3000.0 4.0 -1.0 0.05 0.0 0.0 -0.67 45.45
175.0 50.0 73.0 12000.0 3.0 -1.0 0.05 0.0 0.0 -0.69 50.45
180.0 55.3 73.0 9000.0 12.0 -1.0 0.05 0.0 0.0 -0.71 55.45
185.0 60.05 73.0 3000.0 1.0 -1.0 0.05 0.0 0.0 -0.73 60.45
190.0 65.3 73.0 6000.0 5.0 -1.0 0.05 0.0 0.0 -0.75 65.45
195.0 70.85 73.0 3000.0 1.0 -1.0 0.05 0.0 0.0 -0.77 70.45
200.0 76.2 73.0 24000.0 17.0 -1.0 0.06 0.0 0.0 -0.79 75.44
205.0 40.55 72.0092036578 0.0 0.0 -1.0 0.06 0.0 0.0 -0.81 80.44
210.0 85.25 73.0 6000.0 8.0 -1.0 0.06 0.0 0.0 -0.83 85.44
215.0 48.95 72.0092036578 0.0 0.0 -1.0 0.06 0.0 0.0 -0.85 90.44
220.0 96.2 73.0 3000.0 2.0 -1.0 0.06 0.0 0.0 -0.87 95.44
225.0 100.7 73.0 0.0 1.0 -1.0 0.06 0.0 0.0 -0.89 100.44
230.0 106.0 73.0 3000.0 19.0 -1.0 0.06 0.0 0.0 -0.91 105.44
235.0 110.5 73.0 33000.0 7.0 -1.0 0.07 0.0 0.0 -0.93 110.43

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