TATAMOTORS Options
Date: 30Aug2012 Expiry date: 30Aug2012
Underlying Price: 236.75 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 160.0 | 76.65 | 32.0 | 0.0 | 36.0 | 1.0 | -0.04 | 0.0 | 0.0 | 0.63 | 76.79 |
| 180.0 | 53.0 | 31.7513342082 | 1000.0 | 1.0 | 1.0 | -0.05 | 0.0 | 0.0 | 0.71 | 56.8 |
| 200.0 | 35.25 | 32.0 | 74000.0 | 12.0 | 1.0 | -0.06 | 0.0 | 0.0 | 0.79 | 36.81 |
| 210.0 | 26.8 | 32.0 | 73000.0 | 67.0 | 1.0 | -0.06 | 0.0 | 0.0 | 0.83 | 26.81 |
| 220.0 | 16.7 | 32.0 | 555000.0 | 72.0 | 1.0 | -0.06 | 9e-05 | 0.007 | 0.87 | 16.81 |
| 230.0 | 6.5 | 20.0 | 801000.0 | 1461.0 | 0.929 | -0.38 | 0.0286 | 2.02 | 0.85 | 6.96 |
| 240.0 | 0.1 | 16.0 | 1610000.0 | 3371.0 | 0.255 | -0.78 | 0.06787 | 4.793 | 0.24 | 0.72 |
| 250.0 | 0.05 | 42.0 | 2222000.0 | 412.0 | 0.003 | -0.02 | 0.00221 | 0.156 | 0.0 | 0.01 |
| 260.0 | 0.05 | 67.0 | 1396000.0 | 7.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 280.0 | 0.05 | 31.7513342082 | 424000.0 | 14.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 290.0 | 0.05 | 31.7513342082 | 63000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 300.0 | 0.05 | 31.7513342082 | 64000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | 0.0 | 0.0 |
| 310.0 | 0.05 | 31.7513342082 | 15000.0 | 15.0 | 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 | 31.7513342082 | 147000.0 | 1.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 200.0 | 0.05 | 31.7513342082 | 947000.0 | 18.0 | 0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 210.0 | 0.05 | 85.0 | 705000.0 | 190.0 | -0.0 | -0.0 | 0.0 | 0.0 | -0.0 | 0.0 |
| 220.0 | 0.05 | 55.0 | 2085000.0 | 1959.0 | -0.0 | -0.0 | 9e-05 | 0.007 | -0.0 | 0.0 |
| 230.0 | 0.05 | 25.5 | 1595000.0 | 4009.0 | -0.071 | -0.32 | 0.0286 | 2.02 | -0.07 | 0.15 |
| 240.0 | 2.85 | 31.7513342082 | 529000.0 | 1121.0 | -0.745 | -0.71 | 0.06787 | 4.793 | -0.72 | 3.9 |
| 250.0 | 13.0 | 32.0 | 499000.0 | 137.0 | -0.997 | 0.04 | 0.00221 | 0.156 | -0.99 | 13.19 |
| 260.0 | 24.65 | 87.0 | 25000.0 | 12.0 | -1.0 | 0.07 | 0.0 | 0.0 | -1.03 | 23.18 |
| 280.0 | 44.0 | 32.0 | 10000.0 | 7.0 | -1.0 | 0.08 | 0.0 | 0.0 | -1.11 | 43.17 |
| 290.0 | 53.5 | 32.0 | 3000.0 | 1.0 | -1.0 | 0.08 | 0.0 | 0.0 | -1.15 | 53.17 |
| 300.0 | 63.0 | 32.0 | 5000.0 | 1.0 | -1.0 | 0.08 | 0.0 | 0.0 | -1.19 | 63.17 |
