TORNTPOWER Options

Date: 31May2018 Expiry date: 31May2018

Underlying Price: 262.3 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
230.0 34.3 42.5757810995 66000.0 3.0 1.0 -0.06 0.0 0.0 0.91 32.36
240.0 20.5 42.5757810995 186000.0 5.0 1.0 -0.07 0.00022 0.025 0.95 22.37
250.0 6.6 42.5757810995 84000.0 63.0 0.965 -0.34 0.01093 1.271 0.96 12.47
260.0 1.1 42.5757810995 90000.0 167.0 0.638 -1.36 0.05331 6.196 0.65 4.14
270.0 0.15 30.5 54000.0 13.0 0.146 -0.81 0.03251 3.779 0.15 0.52
280.0 0.05 48.5 24000.0 4.0 0.008 -0.08 0.0031 0.36 0.01 0.02

Put Options
Strike Price Option Price Implied Volatility Open Interest Number of Contracts Delta Theta Gamma Vega Rho Black Scholes Price
230.0 0.05 90.0 69000.0 1.0 -0.0 -0.0 0.0 0.0 -0.0 0.0
240.0 0.05 64.0 177000.0 11.0 -0.0 -0.01 0.00022 0.025 -0.0 0.0
250.0 0.05 38.0 54000.0 69.0 -0.035 -0.27 0.01093 1.271 -0.04 0.1
260.0 0.35 18.0 18000.0 11.0 -0.362 -1.29 0.05331 6.196 -0.38 1.77
280.0 27.2 42.5757810995 6000.0 3.0 -0.992 0.0 0.0031 0.36 -1.1 17.64

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