Time to Expiration

Exercise Price
Current Stock Price
Volatility
Risk-Free Rate
d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Put Option Value
Intrinsic Value
Speculative Prem.

4
0.0109589041
$7,900.00
$7,910.00
11.87%
10.00%

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

10
0.02739726
$7,800.00
$7,750.00
17.35%
10.00%

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

0.1961825729
0.1837546638
0.5777663661
0.5728970383
$49.20
$10.00
$39.20
$30.55
$0.00
$30.55

d1
-0.1142032
d2
-0.142915
N(d1)
0.45453837
N(d2)
0.44317866
Call Option Value
$75.34
Intrinsic Value
$0.00
Speculative Prem.
$75.34
Put Option Value
$104.00
Intrinsic Value
$50.00
Speculative Prem.
$54.00

d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Speculative Prem.
Put Option Value
Intrinsic Value
Speculative Prem.

Call
Delta
Gamma
Theta
Vega
Rho

0.5778
0.0040
-2207.3067
324.0505
49.544432255

Call
Delta
Gamma
Theta
Vega
Rho

0.4545
0.0018
-1954.2788
508.4324
94.4475583

Put
Delta
Gamma
Theta
Vega
Rho

-0.4222
0.0040
-1418.1720
324.0505
-36.936085091

Put
Delta
Gamma
Theta
Vega
Rho

-0.5455
0.0018
-1176.4128
508.4324
-118.6664

Time to Expiration
Exercise Price
Current Stock Price
Risk-Free Rate

16
0.043836
$72.50
$70.30
35.65%
10.00%

-0.316817
-0.391453
0.375691
0.347731
Call Option Value
$1.31
Intrinsic Value
$0.00
Speculative Prem.
$1.31
Put Option Value
$3.19
Intrinsic Value
$2.20
Speculative Prem.
$0.99
Call
Delta
Gamma
Theta
Vega
Rho

0.3757
0.0723
-25.2171
5.5845
1.100285

Put
Delta
Gamma
Theta
Vega
Rho

-0.6243
0.0723
-17.9988
5.5845
-2.063896

Goal Seek
Strike Price
Volatility
Risk Free Rate

December 31st Expiry

NIFTY
NIFTY
NIFTY
BankNIFTY
CE
CE
CE
CE
7900
7700
7650
17400
15.62
17.16 17.48% 18.60%
10.00% 10.00% 10.00% 10.00%

Black-Scholes Option Pricing Model

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

27
0.073973
$8,400.00
$7,975.00
15.16%
7.66%

d1
-1.101176
d2
-1.142408
N(d1)
0.13541
N(d2)
0.126642
Call Option Value
$22.11
Intrinsic Value
$0.00
Speculative Prem.
$22.11
Put Option Value
$399.65
Intrinsic Value
$425.00
Speculative Prem.
-$25.35

13
0.035616
$180.00
$169.00
37.89%
3.00%

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

d1
-0.831186
d2
-0.90269
N(d1)
0.202934
N(d2)
0.183345
Call Option Value
$1.33
Intrinsic Value
$0.00
Speculative Prem.
$1.33
Put Option Value
$12.14
Intrinsic Value
$11.00
Speculative Prem.
$1.14

d1
d2
N(d1)
N(d2)
Call Option Value
Intrinsic Value
Speculative Prem.
Put Option Value
Intrinsic Value
Speculative Prem.

Time to Expiration
Exercise Price
Current Stock Price
Volatility
Risk-Free Rate

Call
Delta
Gamma
Theta
Vega
Rho

0.1354
0.0007
-564.6017
471.9173
78.24703

Call
Delta
Gamma
Theta
Vega
Rho

0.2029
0.0234
-48.8991
9.0074
1.174163

Call
Delta
Gamma
Theta
Vega
Rho

Put
Delta
Gamma
Theta
Vega
Rho

-0.8646
0.0007
75.2027
471.9173
-539.6119

Put
Delta
Gamma
Theta
Vega
Rho

-0.7971
0.0234
-43.5049
9.0074
-5.229949

Put
Delta
Gamma
Theta
Vega
Rho

14
0.038356
$380.00
$354.00
49.17%
10.00%
-0.647947
-0.744253
0.25851
0.228362
$5.07
$0.00
$5.07
$29.61
$26.00
$3.61

0.2585
0.0095
-152.3709
22.4215
3.315708

-0.7415
0.0095
-114.5163
22.4215
-11.20384

December 31st Expiry

NIFTY
NIFTY
BOB
Lupin
CE
CE
PE
CE
Goal Seek
7900
8400
180
1850
Volatility
15.62
15.16 37.89% 27.09%
Risk Free
7.66
7.66
7.66
7.66