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 |
31 |
500.00 |
43.5000 |
42.3289 |
3.4375 |
3.6081 |
Jul-98 |
31 |
505.00 |
39.6250 |
37.8712 |
4.0625 |
4.1305 |
Jul-98 |
31 |
510.00 |
35.0000 |
33.5314 |
4.4375 |
4.7721 |
Jul-98 |
31 |
520.00 |
26.8750 |
25.2984 |
6.2500 |
6.5019 |
Jul-98 |
31 |
530.00 |
19.2500 |
18.1664 |
8.7500 |
9.3380 |
Jul-98 |
31 |
535.00 |
16.0000 |
14.7902 |
10.5000 |
10.9506 |
Jul-98 |
31 |
540.00 |
12.3750 |
12.0016 |
11.8125 |
13.1592 |
Jul-98 |
31 |
545.00 |
9.8125 |
9.6957 |
14.5625 |
15.8446 |
Jul-98 |
31 |
550.00 |
7.0625 |
7.3897 |
16.8750 |
18.5495 |
Jul-98 |
31 |
555.00 |
5.5000 |
5.6552 |
20.6250 |
21.8488 |
Jul-98 |
31 |
560.00 |
3.5625 |
4.4310 |
24.0000 |
25.6414 |
Jul-98 |
31 |
570.00 |
1.4063 |
2.2812 |
32.5000 |
33.6571 |
Aug-98 |
66 |
500.00 |
49.8750 |
49.3389 |
7.3750 |
8.9887 |
Aug-98 |
66 |
510.00 |
41.7500 |
41.1066 |
9.2500 |
10.6780 |
Aug-98 |
66 |
520.00 |
34.0000 |
33.3117 |
11.5000 |
12.8082 |
Aug-98 |
66 |
530.00 |
26.2500 |
26.2920 |
13.7500 |
15.7225 |
Aug-98 |
66 |
540.00 |
20.6250 |
19.9394 |
18.0000 |
19.3283 |
Aug-98 |
66 |
545.00 |
17.7500 |
17.2914 |
20.6250 |
21.6577 |
Aug-98 |
66 |
550.00 |
14.8750 |
14.6434 |
22.6250 |
24.0104 |
Aug-98 |
66 |
555.00 |
11.8750 |
12.4257 |
24.7500 |
26.8105 |
Aug-98 |
66 |
560.00 |
10.1250 |
10.5926 |
28.1250 |
29.9818 |
Aug-98 |
66 |
565.00 |
7.8750 |
8.7594 |
31.1250 |
33.1966 |
Aug-98 |
66 |
570.00 |
6.2500 |
7.2215 |
34.8750 |
36.7419 |
Aug-98 |
66 |
580.00 |
3.5625 |
4.9534 |
42.5000 |
44.6294 |
Sep-98 |
94 |
470.00 |
79.6250 |
78.6870 |
5.5000 |
7.4031 |
Sep-98 |
94 |
480.00 |
71.6250 |
70.1844 |
7.5000 |
8.7785 |
Sep-98 |
94 |
490.00 |
63.0000 |
61.8704 |
8.8750 |
10.3432 |
Sep-98 |
94 |
500.00 |
54.6250 |
53.6954 |
10.5000 |
12.0498 |
Sep-98 |
94 |
510.00 |
46.6250 |
45.6938 |
12.5000 |
13.9368 |
Sep-98 |
94 |
520.00 |
39.1250 |
38.0715 |
15.1250 |
16.2086 |
Sep-98 |
94 |
530.00 |
31.5000 |
31.1050 |
17.5000 |
19.1470 |
Sep-98 |
94 |
535.00 |
28.2500 |
27.7347 |
19.2500 |
20.7401 |
Sep-98 |
94 |
540.00 |
25.6250 |
24.7000 |
21.6250 |
22.6755 |
Sep-98 |
94 |
550.00 |
20.3750 |
19.1821 |
26.5000 |
27.1140 |
Sep-98 |
94 |
560.00 |
14.7500 |
14.7350 |
31.1250 |
32.6655 |