TORNTPOWER Options

Date: 30Mar2017 Expiry date: 30Mar2017

Underlying Price: 236.5 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
200.0 26.2 36.0280512617 36000.0 1.0 1.0 -0.06 0.0 0.0 0.79 36.56
205.0 23.0 36.0280512617 15000.0 1.0 1.0 -0.06 0.0 0.0 0.81 31.56
210.0 19.85 36.0280512617 39000.0 4.0 1.0 -0.06 0.0 0.0 0.83 26.56
215.0 21.5 37.0 12000.0 1.0 1.0 -0.06 1e-05 0.001 0.85 21.56
220.0 10.0 36.0280512617 36000.0 5.0 0.999 -0.07 0.00043 0.034 0.87 16.56
225.0 7.9 36.0280512617 33000.0 27.0 0.987 -0.15 0.00632 0.506 0.88 11.59
230.0 2.45 36.0280512617 36000.0 57.0 0.895 -0.55 0.03397 2.716 0.81 6.84
235.0 1.1 36.0280512617 24000.0 14.0 0.619 -1.06 0.07098 5.676 0.57 3.01
240.0 0.25 22.0 9000.0 3.0 0.266 -0.9 0.0612 4.894 0.25 0.86

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
205.0 0.3 36.0280512617 18000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
210.0 0.2 36.0280512617 258000.0 2.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
215.0 0.4 99.0 18000.0 2.0 -0.0 -0.0 1e-05 0.001 -0.0 0.0
220.0 0.05 55.0 156000.0 55.0 -0.001 -0.01 0.00043 0.034 -0.0 0.0
225.0 0.3 57.0 21000.0 10.0 -0.013 -0.09 0.00632 0.506 -0.01 0.02
230.0 0.2 33.0 21000.0 7.0 -0.105 -0.48 0.03397 2.716 -0.1 0.27
235.0 0.3 14.5 30000.0 11.0 -0.381 -1.0 0.07098 5.676 -0.36 1.44

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