TATAMOTORS Options

Date: 30Jul2020 Expiry date: 30Jul2020

Underlying Price: 103.65 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 44.5 38.4865519637 0.0 0.0 1.0 -0.01 0.0 0.0 0.21 51.16
55.0 42.6 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.22 48.67
57.5 40.8 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.23 46.17
60.0 39.05 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.24 43.67
62.5 37.4 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.25 41.17
65.0 35.75 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.26 38.67
67.5 34.2 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.27 36.17
70.0 32.7 39.0 0.0 0.0 1.0 -0.02 0.0 0.0 0.28 33.67
72.5 31.25 39.0 0.0 0.0 1.0 -0.02 0.0 0.0 0.29 31.17
75.0 30.9 38.4865519637 5700.0 0.0 1.0 -0.02 0.0 0.0 0.3 28.67
77.5 28.55 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.31 26.17
80.0 24.9 39.0 17100.0 1.0 1.0 -0.02 0.0 0.0 0.32 23.67
82.5 26.05 38.4865519637 0.0 0.0 1.0 -0.02 0.0 0.0 0.33 21.17
85.0 22.6 38.4865519637 17100.0 0.0 1.0 -0.02 0.0 0.0 0.34 18.67
87.5 17.45 38.4865519637 5700.0 0.0 1.0 -0.02 0.0 0.0 0.35 16.17
90.0 13.5 39.0 68400.0 16.0 1.0 -0.02 0.0 0.0 0.36 13.67
92.5 10.5 38.4865519637 28500.0 0.0 1.0 -0.03 0.0 0.0 0.37 11.18
95.0 8.7 39.0 34200.0 7.0 1.0 -0.03 0.00023 0.004 0.38 8.68
97.5 5.95 39.0 45600.0 2.0 0.995 -0.05 0.0062 0.102 0.38 6.18
100.0 3.75 39.0 285000.0 69.0 0.933 -0.19 0.05137 0.843 0.37 3.75
102.5 1.25 20.0 62700.0 23.0 0.686 -0.47 0.14125 2.318 0.28 1.69
105.0 0.1 19.5 872100.0 797.0 0.305 -0.45 0.1394 2.287 0.12 0.48
107.5 0.05 35.0 518700.0 489.0 0.069 -0.17 0.05305 0.87 0.03 0.08
110.0 0.05 52.0 2969700.0 897.0 0.008 -0.03 0.00831 0.136 0.0 0.01
112.5 0.05 68.0 604200.0 127.0 0.0 -0.0 0.00057 0.009 0.0 0.0
115.0 0.05 83.0 2359800.0 240.0 0.0 -0.0 2e-05 0.0 0.0 0.0
117.5 0.05 97.0 285000.0 13.0 0.0 -0.0 0.0 0.0 0.0 0.0
120.0 0.05 38.4865519637 3135000.0 230.0 0.0 -0.0 0.0 0.0 0.0 0.0
122.5 0.05 38.4865519637 210900.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
125.0 0.05 38.4865519637 934800.0 20.0 0.0 -0.0 0.0 0.0 0.0 0.0
127.5 0.05 38.4865519637 176700.0 5.0 0.0 -0.0 0.0 0.0 0.0 0.0
130.0 0.05 38.4865519637 2183100.0 8.0 0.0 -0.0 0.0 0.0 0.0 0.0
132.5 0.05 38.4865519637 1767000.0 12.0 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
52.5 0.05 38.4865519637 11400.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
55.0 0.05 38.4865519637 74100.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
57.5 0.15 38.4865519637 5700.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
60.0 0.05 38.4865519637 456000.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
62.5 0.1 38.4865519637 17100.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
65.0 0.05 38.4865519637 205200.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
67.5 0.2 38.4865519637 22800.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
70.0 0.05 38.4865519637 1453500.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
72.5 9.6 38.4865519637 0.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
75.0 0.05 38.4865519637 473100.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
77.5 0.2 38.4865519637 125400.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
80.0 0.05 38.4865519637 1356600.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
82.5 0.05 38.4865519637 387600.0 0.0 0.0 -0.0 0.0 0.0 -0.0 0.0
85.0 0.05 38.4865519637 1995000.0 3.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
87.5 0.05 38.4865519637 205200.0 7.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
90.0 0.05 38.4865519637 2348400.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
92.5 0.05 91.0 171000.0 4.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
95.0 0.05 73.0 1048800.0 11.0 -0.0 -0.0 0.00023 0.004 -0.0 0.0
97.5 0.05 54.0 461700.0 11.0 -0.005 -0.02 0.0062 0.102 -0.0 0.0
100.0 0.05 35.0 1362300.0 168.0 -0.067 -0.16 0.05137 0.843 -0.03 0.07
102.5 0.05 14.75 336300.0 96.0 -0.314 -0.44 0.14125 2.318 -0.13 0.52
105.0 1.15 38.4865519637 450300.0 580.0 -0.695 -0.42 0.1394 2.287 -0.29 1.8
107.5 4.0 39.0 68400.0 64.0 -0.931 -0.14 0.05305 0.87 -0.4 3.9
110.0 6.2 39.0 387600.0 76.0 -0.992 0.0 0.00831 0.136 -0.43 6.33
112.5 8.9 39.0 74100.0 3.0 -1.0 0.03 0.00057 0.009 -0.45 8.82
115.0 11.05 39.0 57000.0 2.0 -1.0 0.03 2e-05 0.0 -0.46 11.32
117.5 9.9 38.4865519637 17100.0 0.0 -1.0 0.03 0.0 0.0 -0.47 13.82
120.0 16.3 39.0 62700.0 8.0 -1.0 0.03 0.0 0.0 -0.48 16.32
122.5 40.3 38.4865519637 0.0 0.0 -1.0 0.03 0.0 0.0 -0.49 18.82
125.0 18.75 38.4865519637 17100.0 0.0 -1.0 0.03 0.0 0.0 -0.5 21.32
127.5 23.8 39.0 5700.0 2.0 -1.0 0.04 0.0 0.0 -0.51 23.81
130.0 25.0 38.4865519637 22800.0 1.0 -1.0 0.04 0.0 0.0 -0.52 26.31
132.5 28.05 39.0 11400.0 0.0 -1.0 0.04 0.0 0.0 -0.53 28.81

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