TORNTPOWER Options

Date: 25May2017 Expiry date: 25May2017

Underlying Price: 198.7 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
195.0 2.0 35.6580151359 6000.0 1.0 0.805 -0.66 0.06174 3.449 0.62 4.24
200.0 0.05 8.0 18000.0 9.0 0.395 -0.88 0.08627 4.82 0.31 1.23
205.0 0.05 27.5 18000.0 5.0 0.086 -0.35 0.03517 1.965 0.07 0.17
210.0 0.1 50.0 24000.0 2.0 0.007 -0.05 0.00457 0.255 0.01 0.01

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
200.0 5.1 84.0 12000.0 3.0 -0.605 -0.83 0.08627 4.82 -0.49 2.48
210.0 11.0 36.0 9000.0 1.0 -0.993 0.01 0.00457 0.255 -0.83 11.25
220.0 25.0 35.6580151359 9000.0 7.0 -1.0 0.06 0.0 0.0 -0.87 21.24

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