TATAMOTORS Options

Date: 27Aug2020 Expiry date: 27Aug2020

Underlying Price: 144.25 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
52.5 36.6 52.4210281253 0.0 0.0 1.0 -0.01 0.0 0.0 0.21 91.76
55.0 34.55 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.22 89.27
57.5 32.55 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.23 86.77
60.0 30.65 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.24 84.27
62.5 28.8 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.25 81.77
65.0 27.05 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.26 79.27
67.5 25.35 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.27 76.77
70.0 23.75 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.28 74.27
72.5 22.25 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.29 71.77
75.0 20.8 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.3 69.27
77.5 19.4 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.31 66.77
80.0 66.0 53.0 5700.0 1.0 1.0 -0.02 0.0 0.0 0.32 64.27
82.5 16.9 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.33 61.77
85.0 50.0 52.4210281253 28500.0 0.0 1.0 -0.02 0.0 0.0 0.34 59.27
87.5 14.65 52.4210281253 0.0 0.0 1.0 -0.02 0.0 0.0 0.35 56.77
90.0 50.3 52.4210281253 34200.0 2.0 1.0 -0.02 0.0 0.0 0.36 54.27
92.5 19.5 52.4210281253 11400.0 0.0 1.0 -0.03 0.0 0.0 0.37 51.78
95.0 49.0 53.0 57000.0 2.0 1.0 -0.03 0.0 0.0 0.38 49.28
97.5 47.15 53.0 22800.0 1.0 1.0 -0.03 0.0 0.0 0.39 46.78
100.0 45.2 53.0 108300.0 9.0 1.0 -0.03 0.0 0.0 0.4 44.28
102.5 38.8 52.4210281253 142500.0 2.0 1.0 -0.03 0.0 0.0 0.41 41.78
105.0 40.0 53.0 427500.0 26.0 1.0 -0.03 0.0 0.0 0.42 39.28
107.5 32.8 52.4210281253 125400.0 1.0 1.0 -0.03 0.0 0.0 0.43 36.78
110.0 34.1 53.0 661200.0 37.0 1.0 -0.03 0.0 0.0 0.44 34.28
112.5 31.55 53.0 387600.0 11.0 1.0 -0.03 0.0 0.0 0.45 31.78
115.0 29.0 53.0 222300.0 28.0 1.0 -0.03 0.0 0.0 0.46 29.28
117.5 26.5 53.0 324900.0 10.0 1.0 -0.03 0.0 0.0 0.47 26.78
120.0 24.85 53.0 957600.0 107.0 1.0 -0.03 0.0 0.0 0.48 24.28
122.5 22.85 53.0 285000.0 32.0 1.0 -0.03 0.0 0.0 0.49 21.78
125.0 19.25 53.0 461700.0 65.0 1.0 -0.03 1e-05 0.0 0.5 19.28
127.5 17.65 53.0 148200.0 39.0 1.0 -0.04 7e-05 0.003 0.51 16.79
130.0 14.65 53.0 655500.0 255.0 0.999 -0.04 0.00054 0.023 0.52 14.29
132.5 11.95 53.0 473100.0 145.0 0.995 -0.07 0.00287 0.124 0.52 11.79
135.0 9.2 53.0 883500.0 626.0 0.979 -0.16 0.01063 0.46 0.52 9.33
137.5 7.35 56.0 250800.0 370.0 0.93 -0.35 0.02817 1.22 0.5 6.94
140.0 4.7 53.0 319200.0 2513.0 0.824 -0.65 0.05433 2.352 0.45 4.75
142.5 2.25 35.0 199500.0 1111.0 0.653 -0.9 0.07749 3.354 0.36 2.92
145.0 0.35 18.0 427500.0 4612.0 0.447 -0.96 0.08304 3.594 0.25 1.57
147.5 0.1 26.0 461700.0 1089.0 0.258 -0.78 0.06782 2.936 0.14 0.73
150.0 0.05 35.0 1117200.0 2551.0 0.123 -0.49 0.0428 1.853 0.07 0.29
152.5 0.05 46.5 39900.0 11.0 0.049 -0.24 0.02114 0.915 0.03 0.09
155.0 0.05 58.0 68400.0 24.0 0.016 -0.09 0.00827 0.358 0.01 0.03
157.5 0.05 68.0 45600.0 10.0 0.004 -0.03 0.00259 0.112 0.0 0.01

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
52.5 0.05 52.4210281253 28500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
55.0 0.05 52.4210281253 11400.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
57.5 2.35 52.4210281253 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 52.4210281253 74100.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
62.5 0.05 52.4210281253 5700.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
65.0 0.1 52.4210281253 91200.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 5.05 52.4210281253 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
70.0 0.05 52.4210281253 216600.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
72.5 6.85 52.4210281253 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 52.4210281253 689700.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 8.95 52.4210281253 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 52.4210281253 666900.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 52.4210281253 114000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 52.4210281253 1020300.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
87.5 0.1 52.4210281253 148200.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 52.4210281253 2359800.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
92.5 0.05 52.4210281253 199500.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 52.4210281253 894900.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
97.5 0.05 52.4210281253 256500.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
100.0 0.05 52.4210281253 4029900.0 7.0 0.0 -0.0 0.0 0.0 -0.0 0.0
102.5 0.05 52.4210281253 387600.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
105.0 0.05 52.4210281253 1692900.0 23.0 0.0 -0.0 0.0 0.0 -0.0 0.0
107.5 0.05 52.4210281253 484500.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
110.0 0.05 52.4210281253 2017800.0 30.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
112.5 0.05 52.4210281253 604200.0 14.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
115.0 0.05 52.4210281253 1607400.0 67.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
117.5 0.05 52.4210281253 530100.0 22.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
120.0 0.05 52.4210281253 3260400.0 69.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
122.5 0.05 52.4210281253 729600.0 27.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
125.0 0.05 52.4210281253 1265400.0 62.0 -0.0 -0.0 1e-05 0.0 -0.0 0.0
127.5 0.05 93.0 330600.0 43.0 -0.0 -0.0 7e-05 0.003 -0.0 0.0
130.0 0.05 80.0 1345200.0 240.0 -0.001 -0.01 0.00054 0.023 -0.0 0.0
132.5 0.05 68.0 484500.0 150.0 -0.005 -0.03 0.00287 0.124 -0.0 0.01
135.0 0.05 55.0 1333800.0 1375.0 -0.021 -0.12 0.01063 0.46 -0.01 0.04
137.5 0.05 42.0 353400.0 603.0 -0.07 -0.32 0.02817 1.22 -0.04 0.15
140.0 0.05 28.5 712500.0 1617.0 -0.176 -0.61 0.05433 2.352 -0.1 0.46
142.5 0.05 14.5 290700.0 313.0 -0.347 -0.86 0.07749 3.354 -0.2 1.13
145.0 0.4 52.4210281253 188100.0 461.0 -0.553 -0.92 0.08304 3.594 -0.33 2.28
147.5 37.8 52.4210281253 0.0 0.0 -0.742 -0.74 0.06782 2.936 -0.44 3.94
150.0 6.25 53.0 5700.0 1.0 -0.877 -0.45 0.0428 1.853 -0.53 5.99
152.5 39.65 52.4210281253 0.0 0.0 -0.951 -0.2 0.02114 0.915 -0.58 8.3
155.0 39.8 52.4210281253 0.0 0.0 -0.984 -0.05 0.00827 0.358 -0.61 10.73
157.5 40.8 52.4210281253 0.0 0.0 -0.996 0.01 0.00259 0.112 -0.62 13.21

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