TATAMOTORS Options
Date: 31Dec2015 Expiry date: 31Dec2015
Underlying Price: 391.3 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 |
|---|---|---|---|---|---|---|---|---|---|---|
| 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 |
