TATAMOTORS Options
Date: 30Jul2020 Expiry date: 30Jul2020
Underlying Price: 103.65 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
