TORNTPOWER Options

Date: 26Oct2017 Expiry date: 26Oct2017

Underlying Price: 265.05 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
190.0 79.0 36.0 0.0 1.0 1.0 -0.05 0.0 0.0 0.75 75.1
220.0 45.0 36.0 42000.0 4.0 1.0 -0.06 0.0 0.0 0.87 45.11
225.0 40.2 36.0 18000.0 2.0 1.0 -0.06 0.0 0.0 0.89 40.11
230.0 35.4 36.0 93000.0 1.0 1.0 -0.06 0.0 0.0 0.91 35.11
235.0 30.75 36.0 36000.0 1.0 1.0 -0.07 0.0 0.0 0.93 30.12
240.0 25.5 36.0 42000.0 2.0 1.0 -0.07 0.0 0.0 0.95 25.12
245.0 20.0 36.0 21000.0 5.0 1.0 -0.07 0.00014 0.014 0.97 20.12
250.0 14.7 36.0 177000.0 7.0 0.995 -0.11 0.0022 0.22 0.99 15.13
260.0 3.95 35.8595475073 27000.0 9.0 0.809 -0.87 0.04544 4.542 0.83 5.76
270.0 0.15 21.5 63000.0 19.0 0.213 -0.89 0.04856 4.855 0.22 0.72
275.0 0.05 30.0 15000.0 5.0 0.054 -0.33 0.0183 1.829 0.06 0.14
280.0 0.05 42.0 153000.0 51.0 0.008 -0.07 0.00369 0.369 0.01 0.02
285.0 0.05 53.0 15000.0 9.0 0.001 -0.01 0.00041 0.041 0.0 0.0
290.0 0.05 64.0 24000.0 3.0 0.0 -0.0 3e-05 0.003 0.0 0.0
295.0 0.05 74.0 3000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
300.0 0.05 84.0 3000.0 2.0 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
200.0 0.05 35.8595475073 18000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
215.0 0.05 35.8595475073 24000.0 1.0 0.0 -0.0 0.0 0.0 -0.0 0.0
220.0 0.05 35.8595475073 60000.0 5.0 -0.0 -0.0 0.0 0.0 -0.0 -0.0
240.0 0.3 94.0 33000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
245.0 0.3 78.0 24000.0 3.0 -0.0 -0.0 0.00014 0.014 -0.0 0.0
250.0 0.1 50.0 99000.0 3.0 -0.005 -0.04 0.0022 0.22 -0.0 0.01
255.0 0.05 31.5 9000.0 1.0 -0.041 -0.26 0.0148 1.479 -0.04 0.1
260.0 0.1 20.5 174000.0 34.0 -0.191 -0.8 0.04544 4.542 -0.2 0.64

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