TATAMOTORS Options

Date: 31Dec2015 Expiry date: 31Dec2015

Underlying Price: 391.3 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
300.0 93.0 23.0 4500.0 1.0 1.0 -0.08 0.0 0.0 1.19 91.38
340.0 51.5 23.0 16500.0 1.0 1.0 -0.09 0.0 0.0 1.35 51.39
350.0 40.15 23.0 24000.0 2.0 1.0 -0.1 0.0 0.0 1.39 41.4
360.0 31.5 23.0 48000.0 1.0 1.0 -0.1 0.0 0.0 1.43 31.4
370.0 21.25 23.0 142500.0 15.0 1.0 -0.1 2e-05 0.003 1.47 21.4
380.0 11.15 23.0 192000.0 168.0 0.984 -0.22 0.00754 1.012 1.48 11.44
390.0 1.2 22.0923464575 438000.0 1817.0 0.605 -1.11 0.07072 9.493 0.93 2.95
400.0 0.05 18.0 2910000.0 2685.0 0.06 -0.33 0.02193 2.944 0.09 0.14
410.0 0.05 34.5 1503000.0 591.0 0.0 -0.0 0.00029 0.039 0.0 0.0
420.0 0.05 49.0 1144500.0 52.0 0.0 -0.0 0.0 0.0 0.0 0.0
430.0 0.05 63.0 852000.0 14.0 0.0 -0.0 0.0 0.0 0.0 0.0
440.0 0.05 76.5 735000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
470.0 0.05 22.0923464575 244500.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
480.0 0.05 22.0923464575 247500.0 9.0 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
270.0 0.05 22.0923464575 4500.0 3.0 0.0 -0.0 0.0 0.0 -0.0 0.0
300.0 0.05 22.0923464575 9000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
350.0 0.05 74.5 651000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
360.0 0.05 58.0 771000.0 31.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
370.0 0.05 41.0 946500.0 45.0 -0.0 -0.0 2e-05 0.003 -0.0 0.0
380.0 0.05 23.5 874500.0 320.0 -0.016 -0.11 0.00754 1.012 -0.03 0.03
390.0 0.15 6.25 768000.0 1902.0 -0.395 -1.01 0.07072 9.493 -0.62 1.54
400.0 8.65 23.0 279000.0 202.0 -0.94 -0.22 0.02193 2.944 -1.49 8.73
410.0 18.6 23.0 202500.0 27.0 -1.0 0.11 0.00029 0.039 -1.63 18.59
420.0 28.9 23.0 69000.0 23.0 -1.0 0.12 0.0 0.0 -1.67 28.58
430.0 38.5 23.0 45000.0 4.0 -1.0 0.12 0.0 0.0 -1.71 38.58
440.0 47.85 23.0 52500.0 48.0 -1.0 0.12 0.0 0.0 -1.75 48.58
470.0 78.5 23.0 16500.0 20.0 -1.0 0.13 0.0 0.0 -1.86 78.57
480.0 87.7 23.0 24000.0 29.0 -1.0 0.13 0.0 0.0 -1.9 88.57

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