TATAMOTORS Options

Date: 30Jan2020 Expiry date: 30Jan2020

Underlying Price: 186.2 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
120.0 67.25 43.0 43000.0 2.0 1.0 -0.03 0.0 0.0 0.48 66.23
125.0 69.0 42.7866188348 0.0 0.0 1.0 -0.03 0.0 0.0 0.5 61.23
130.0 58.5 43.0 12900.0 2.0 1.0 -0.04 0.0 0.0 0.52 56.24
135.0 47.0 42.7866188348 4300.0 0.0 1.0 -0.04 0.0 0.0 0.54 51.24
140.0 46.75 43.0 21500.0 7.0 1.0 -0.04 0.0 0.0 0.56 46.24
145.0 41.0 43.0 17200.0 4.0 1.0 -0.04 0.0 0.0 0.58 41.24
150.0 37.1 43.0 43000.0 2.0 1.0 -0.04 0.0 0.0 0.6 36.24
155.0 30.0 43.0 30100.0 2.0 1.0 -0.04 0.0 0.0 0.61 31.24
160.0 26.1 43.0 25800.0 9.0 1.0 -0.04 0.0 0.0 0.63 26.24
165.0 21.9 43.0 21500.0 2.0 1.0 -0.05 0.0 0.0 0.65 21.25
170.0 16.0 43.0 90300.0 9.0 1.0 -0.05 0.00024 0.014 0.67 16.25
175.0 11.1 43.0 258000.0 58.0 0.99 -0.12 0.00532 0.313 0.69 11.27
180.0 6.9 46.0 288100.0 331.0 0.9 -0.49 0.03503 2.062 0.64 6.49
185.0 1.3 11.0 361200.0 2900.0 0.604 -1.0 0.07679 4.52 0.44 2.68
190.0 0.1 22.5 2438100.0 5688.0 0.234 -0.78 0.06109 3.596 0.17 0.68
195.0 0.05 38.0 1569500.0 5555.0 0.046 -0.24 0.01908 1.123 0.03 0.09
200.0 0.05 55.0 5327700.0 4878.0 0.004 -0.03 0.00251 0.148 0.0 0.01
205.0 0.05 71.0 1788800.0 631.0 0.0 -0.0 0.00015 0.009 0.0 0.0
210.0 0.05 86.0 2657400.0 407.0 0.0 -0.0 0.0 0.0 0.0 0.0
215.0 0.05 42.7866188348 688000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
220.0 0.05 42.7866188348 1539400.0 14.0 0.0 -0.0 0.0 0.0 0.0 0.0
225.0 0.05 42.7866188348 524600.0 10.0 0.0 -0.0 0.0 0.0 0.0 0.0
230.0 0.05 42.7866188348 1027700.0 14.0 0.0 -0.0 0.0 0.0 0.0 0.0
235.0 0.05 42.7866188348 159100.0 0.0 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
120.0 0.05 42.7866188348 292400.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
125.0 0.1 42.7866188348 8600.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
130.0 0.05 42.7866188348 81700.0 2.0 0.0 -0.0 0.0 0.0 -0.0 0.0
135.0 0.1 42.7866188348 68800.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
140.0 0.05 42.7866188348 447200.0 5.0 0.0 -0.0 0.0 0.0 -0.0 0.0
145.0 0.05 42.7866188348 103200.0 4.0 0.0 -0.0 0.0 0.0 -0.0 0.0
150.0 0.05 42.7866188348 550400.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
155.0 0.05 42.7866188348 210700.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
160.0 0.05 42.7866188348 645000.0 9.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
165.0 0.05 88.0 279500.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
170.0 0.05 69.0 838500.0 80.0 -0.0 -0.0 0.00024 0.014 -0.0 0.0
175.0 0.05 50.0 915900.0 333.0 -0.01 -0.07 0.00532 0.313 -0.01 0.02
180.0 0.05 30.0 1277100.0 1361.0 -0.1 -0.44 0.03503 2.062 -0.08 0.24
185.0 0.1 10.5 627800.0 2834.0 -0.396 -0.95 0.07679 4.52 -0.3 1.43
190.0 4.05 37.0 447200.0 1438.0 -0.766 -0.73 0.06109 3.596 -0.58 4.42
195.0 9.0 43.0 275200.0 185.0 -0.954 -0.19 0.01908 1.123 -0.74 8.84
200.0 13.75 43.0 232200.0 250.0 -0.996 0.02 0.00251 0.148 -0.79 13.75
205.0 20.35 42.7866188348 34400.0 4.0 -1.0 0.06 0.00015 0.009 -0.81 18.74
210.0 24.6 43.0 47300.0 14.0 -1.0 0.06 0.0 0.0 -0.83 23.74
215.0 26.1 42.7866188348 12900.0 1.0 -1.0 0.06 0.0 0.0 -0.85 28.74
220.0 34.0 43.0 4300.0 2.0 -1.0 0.06 0.0 0.0 -0.87 33.74
225.0 33.4 42.7866188348 8600.0 0.0 -1.0 0.06 0.0 0.0 -0.89 38.74
230.0 44.3 43.0 17200.0 4.0 -1.0 0.06 0.0 0.0 -0.91 43.74
235.0 48.5 43.0 4300.0 1.0 -1.0 0.07 0.0 0.0 -0.93 48.73

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