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 |
30 |
500.00 |
41.7500 |
40.7886 |
3.3750 |
2.5278 |
Jul-98 |
30 |
505.00 |
37.2500 |
36.2118 |
3.8125 |
2.9317 |
Jul-98 |
30 |
510.00 |
32.7500 |
31.7897 |
4.3125 |
3.4912 |
Jul-98 |
30 |
520.00 |
24.8750 |
23.3659 |
6.2500 |
5.0311 |
Jul-98 |
30 |
530.00 |
17.2500 |
16.2419 |
8.8750 |
7.8764 |
Jul-98 |
30 |
535.00 |
14.0000 |
12.8590 |
10.5000 |
9.4849 |
Jul-98 |
30 |
540.00 |
10.8125 |
10.2296 |
12.3750 |
11.8562 |
Jul-98 |
30 |
545.00 |
8.3125 |
8.0388 |
15.1250 |
14.6612 |
Jul-98 |
30 |
550.00 |
5.8750 |
5.8480 |
18.0000 |
17.4957 |
Jul-98 |
30 |
555.00 |
4.1250 |
4.3548 |
21.5000 |
21.0505 |
Jul-98 |
30 |
560.00 |
2.7813 |
3.3013 |
25.3750 |
25.0285 |
Jul-98 |
30 |
570.00 |
1.1250 |
1.5347 |
34.2500 |
33.4894 |
Aug-98 |
65 |
470.00 |
74.1250 |
73.0441 |
3.8125 |
3.4014 |
Aug-98 |
65 |
480.00 |
65.3750 |
64.0109 |
5.0625 |
4.2825 |
Aug-98 |
65 |
490.00 |
56.3750 |
55.1773 |
6.1250 |
5.3634 |
Aug-98 |
65 |
500.00 |
47.5000 |
46.4947 |
7.2500 |
6.5972 |
Aug-98 |
65 |
510.00 |
39.2500 |
38.0371 |
9.0000 |
8.0612 |
Aug-98 |
65 |
520.00 |
31.6250 |
30.0688 |
11.3750 |
10.0185 |
Aug-98 |
65 |
530.00 |
24.7500 |
23.0704 |
14.5000 |
12.9549 |
Aug-98 |
65 |
540.00 |
18.8750 |
16.8625 |
18.6250 |
16.7125 |
Aug-98 |
65 |
545.00 |
16.3750 |
14.3248 |
21.2500 |
19.1581 |
Aug-98 |
65 |
550.00 |
13.1250 |
11.7871 |
23.1250 |
21.6390 |
Aug-98 |
65 |
555.00 |
10.6250 |
9.7924 |
25.7500 |
24.6801 |
Aug-98 |
65 |
560.00 |
8.5000 |
8.1398 |
28.7500 |
28.0548 |
Aug-98 |
65 |
565.00 |
7.2500 |
6.4872 |
32.6250 |
31.4976 |
Aug-98 |
65 |
570.00 |
5.6250 |
5.2014 |
36.2500 |
35.3386 |
Aug-98 |
65 |
580.00 |
3.4375 |
3.3346 |
44.5000 |
43.7395 |
Sep-98 |
93 |
470.00 |
77.7500 |
76.0559 |
5.8750 |
5.2199 |
Sep-98 |
93 |
480.00 |
69.0000 |
67.3092 |
7.1250 |
6.3513 |
Sep-98 |
93 |
490.00 |
60.3750 |
58.7586 |
8.5000 |
7.6792 |
Sep-98 |
93 |
500.00 |
52.5000 |
50.3497 |
10.6250 |
9.1517 |
Sep-98 |
93 |
510.00 |
44.2500 |
42.1459 |
12.3750 |
10.8363 |
Sep-98 |
93 |
520.00 |
36.7500 |
34.3796 |
14.8750 |
12.9651 |
Sep-98 |
93 |
530.00 |
29.8750 |
27.4476 |
18.0000 |
15.9399 |
Sep-98 |
93 |
535.00 |
27.0000 |
24.0966 |
20.1250 |
17.5580 |
Sep-98 |
93 |
540.00 |
23.8750 |
21.1867 |
22.0000 |
19.6247 |
Sep-98 |
93 |
550.00 |
18.0000 |
15.8806 |
26.2500 |
24.3081 |
Sep-98 |
93 |
560.00 |
13.2500 |
11.8030 |
31.8750 |
30.2828 |