TORNTPOWER Options

Date: 27Oct2016 Expiry date: 27Oct2016

Underlying Price: 172.2 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
175.0 0.2 24.0 21000.0 5.0 0.187 -0.42 0.0884 2.915 0.13 0.31
180.0 0.05 37.5 51000.0 6.0 0.006 -0.03 0.00598 0.197 0.0 0.01
185.0 0.1 63.0 30000.0 1.0 0.0 -0.0 4e-05 0.001 0.0 0.0
195.0 0.1 99.0 0.0 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
165.0 0.05 37.0 24000.0 7.0 -0.007 -0.03 0.00662 0.218 -0.0 0.01
170.0 0.1 17.0 36000.0 10.0 -0.226 -0.45 0.09887 3.26 -0.16 0.4
175.0 2.8 23.0 9000.0 1.0 -0.813 -0.37 0.0884 2.915 -0.57 3.06

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