Fair values are calculated by Finite Difference Model using complete Volatility Surface.
Volatility surface has been calculated from the closing prices of out-the-money options presented in the table below.
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
32 |
500.00 |
36.3750 |
36.1448 |
5.5000 |
6.5229 |
Jul-98 |
32 |
505.00 |
32.3750 |
32.1048 |
6.3125 |
7.4629 |
Jul-98 |
32 |
510.00 |
28.1250 |
28.0649 |
7.0000 |
8.4044 |
Jul-98 |
32 |
520.00 |
20.5625 |
20.6545 |
9.5000 |
10.9610 |
Jul-98 |
32 |
530.00 |
14.0000 |
13.9878 |
12.8750 |
14.2744 |
Jul-98 |
32 |
535.00 |
10.9375 |
11.4167 |
15.3125 |
16.6908 |
Jul-98 |
32 |
540.00 |
8.1875 |
8.8457 |
17.6250 |
19.1188 |
Jul-98 |
32 |
545.00 |
6.3750 |
6.7344 |
21.0000 |
22.0290 |
Jul-98 |
32 |
550.00 |
4.6875 |
5.2858 |
24.6250 |
25.5848 |
Jul-98 |
32 |
555.00 |
3.1250 |
3.8372 |
28.3750 |
29.1736 |
Jul-98 |
32 |
560.00 |
2.1875 |
2.6860 |
32.6250 |
33.1171 |
Jul-98 |
32 |
570.00 |
0.9063 |
1.4562 |
41.8750 |
42.0587 |
Aug-98 |
67 |
500.00 |
42.6250 |
43.9644 |
9.7500 |
12.7133 |
Aug-98 |
67 |
510.00 |
34.5000 |
36.2640 |
11.5000 |
14.9350 |
Aug-98 |
67 |
520.00 |
28.7500 |
29.0045 |
15.7500 |
17.6067 |
Aug-98 |
67 |
530.00 |
21.1250 |
22.2325 |
18.1250 |
20.7850 |
Aug-98 |
67 |
540.00 |
15.3125 |
16.4546 |
22.6250 |
24.9671 |
Aug-98 |
67 |
545.00 |
13.6250 |
13.8988 |
26.0000 |
27.4168 |
Aug-98 |
67 |
550.00 |
11.1250 |
11.8231 |
28.6250 |
30.3318 |
Aug-98 |
67 |
555.00 |
9.2500 |
9.7474 |
31.8750 |
33.2785 |
Aug-98 |
67 |
560.00 |
8.0000 |
7.9549 |
35.8750 |
36.5488 |
Aug-98 |
67 |
565.00 |
6.2500 |
6.6728 |
39.5000 |
40.2954 |
Aug-98 |
67 |
570.00 |
4.4375 |
5.3908 |
42.8750 |
44.0971 |
Aug-98 |
67 |
580.00 |
2.9375 |
3.5225 |
52.2500 |
52.4808 |
Sep-98 |
95 |
470.00 |
72.1250 |
72.1166 |
7.5000 |
9.9197 |
Sep-98 |
95 |
480.00 |
63.6250 |
64.0074 |
9.0000 |
11.6895 |
Sep-98 |
95 |
490.00 |
55.3750 |
56.0584 |
10.7500 |
13.6220 |
Sep-98 |
95 |
500.00 |
48.0000 |
48.2634 |
13.5000 |
15.7119 |
Sep-98 |
95 |
510.00 |
40.0000 |
40.7067 |
15.3750 |
18.0441 |
Sep-98 |
95 |
520.00 |
33.3750 |
33.5211 |
18.7500 |
20.7581 |
Sep-98 |
95 |
530.00 |
26.5000 |
26.7445 |
21.8750 |
23.9025 |
Sep-98 |
95 |
535.00 |
24.0000 |
23.7722 |
24.5000 |
25.8882 |
Sep-98 |
95 |
540.00 |
20.1250 |
20.7998 |
25.7500 |
27.8905 |
Sep-98 |
95 |
550.00 |
15.8750 |
15.8339 |
31.6250 |
32.8933 |
Sep-98 |
95 |
560.00 |
11.6250 |
11.5346 |
37.7500 |
38.6488 |