TATAMOTORS Options

Date: 30Aug2012 Expiry date: 30Aug2012

Underlying Price: 236.75 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
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

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