TORNTPOWER Options

Date: 28Mar2018 Expiry date: 28Mar2018

Underlying Price: 229.25 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
220.0 9.75 30.0 12000.0 5.0 0.987 -0.13 0.00786 0.487 0.86 9.33
230.0 0.15 7.0 18000.0 11.0 0.44 -0.87 0.09186 5.698 0.4 1.39
240.0 0.05 37.0 90000.0 19.0 0.008 -0.05 0.00495 0.307 0.01 0.01
250.0 0.05 63.0 75000.0 2.0 0.0 -0.0 0.0 0.0 0.0 0.0
260.0 0.05 87.0 117000.0 17.0 0.0 -0.0 0.0 0.0 0.0 0.0
280.0 0.05 29.7394014543 141000.0 3.0 0.0 -0.0 0.0 0.0 0.0 0.0
290.0 0.05 29.7394014543 45000.0 1.0 0.0 -0.0 0.0 0.0 0.0 0.0
300.0 0.05 29.7394014543 93000.0 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 95.0 48000.0 12.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
220.0 1.3 79.0 87000.0 24.0 -0.013 -0.07 0.00786 0.487 -0.01 0.02
230.0 0.95 10.0 21000.0 4.0 -0.56 -0.81 0.09186 5.698 -0.52 2.08
260.0 32.7 29.7394014543 27000.0 1.0 -1.0 0.07 0.0 0.0 -1.03 30.68
280.0 52.0 30.0 0.0 2.0 -1.0 0.08 0.0 0.0 -1.11 50.67
290.0 60.5 30.0 0.0 2.0 -1.0 0.08 0.0 0.0 -1.15 60.67
300.0 71.05 30.0 3000.0 1.0 -1.0 0.08 0.0 0.0 -1.19 70.67

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