TORNTPOWER Options

Date: 25Jan2018 Expiry date: 25Jan2018

Underlying Price: 284.25 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
245.0 48.25 33.0638807073 0.0 1.0 1.0 -0.07 0.0 0.0 0.97 39.32
250.0 43.25 33.0638807073 3000.0 1.0 1.0 -0.07 0.0 0.0 0.99 34.32
270.0 14.35 34.0 3000.0 1.0 0.994 -0.13 0.00301 0.319 1.06 14.34
280.0 4.05 33.0638807073 21000.0 4.0 0.772 -0.95 0.05098 5.405 0.85 5.12
285.0 0.8 15.0 15000.0 6.0 0.459 -1.21 0.06704 7.107 0.51 2.04
290.0 0.5 32.0 42000.0 26.0 0.174 -0.77 0.04342 4.603 0.19 0.55
295.0 0.05 29.5 30000.0 13.0 0.039 -0.25 0.01436 1.522 0.04 0.09
300.0 0.05 41.0 204000.0 45.0 0.005 -0.04 0.00251 0.266 0.01 0.01
305.0 0.05 51.0 108000.0 15.0 0.0 -0.0 0.00024 0.025 0.0 0.0
310.0 0.1 68.0 105000.0 30.0 0.0 -0.0 1e-05 0.001 0.0 0.0
315.0 0.05 71.0 30000.0 20.0 0.0 -0.0 0.0 0.0 0.0 0.0
320.0 0.05 80.0 87000.0 15.0 0.0 -0.0 0.0 0.0 0.0 0.0
330.0 0.05 98.0 45000.0 1.0 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
260.0 0.05 64.0 48000.0 2.0 -0.0 -0.0 1e-05 0.001 -0.0 0.0
270.0 0.1 44.5 30000.0 4.0 -0.006 -0.05 0.00301 0.319 -0.01 0.01
275.0 0.05 27.5 21000.0 1.0 -0.053 -0.32 0.01838 1.948 -0.06 0.13
280.0 0.05 14.5 42000.0 5.0 -0.228 -0.88 0.05098 5.405 -0.26 0.79
290.0 5.0 33.0638807073 30000.0 23.0 -0.826 -0.69 0.04342 4.603 -0.96 6.22
295.0 5.2 33.0638807073 18000.0 3.0 -0.961 -0.17 0.01436 1.522 -1.13 10.76
310.0 25.05 34.0 9000.0 1.0 -1.0 0.09 1e-05 0.001 -1.23 25.66

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