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.
OEX Bid : 535.25, Ask: 535.77
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
29 |
500.00 |
39.7500 |
39.2726 |
3.3125 |
2.6527 |
Jul-98 |
29 |
505.00 |
35.2500 |
34.7273 |
3.8125 |
3.0892 |
Jul-98 |
29 |
510.00 |
31.0000 |
30.4329 |
4.5625 |
3.7769 |
Jul-98 |
29 |
520.00 |
22.7500 |
22.0341 |
6.3125 |
5.3457 |
Jul-98 |
29 |
530.00 |
15.2500 |
15.1600 |
9.1250 |
8.4416 |
Jul-98 |
29 |
535.00 |
12.3750 |
11.7723 |
11.0000 |
10.0542 |
Jul-98 |
29 |
540.00 |
9.3125 |
9.5090 |
12.8125 |
12.7838 |
Jul-98 |
29 |
545.00 |
6.8750 |
7.3036 |
15.7500 |
15.5785 |
Jul-98 |
29 |
550.00 |
4.8750 |
5.0983 |
19.0000 |
18.4223 |
Jul-98 |
29 |
555.00 |
3.3750 |
3.9702 |
22.7500 |
22.3160 |
Jul-98 |
29 |
560.00 |
2.0625 |
2.9091 |
26.6250 |
26.2972 |
Jul-98 |
29 |
570.00 |
0.6875 |
1.3635 |
35.7500 |
34.9741 |
Aug-98 |
64 |
470.00 |
72.1250 |
71.3333 |
3.8125 |
3.3248 |
Aug-98 |
64 |
480.00 |
63.1250 |
62.3488 |
4.8125 |
4.2566 |
Aug-98 |
64 |
490.00 |
54.2500 |
53.5812 |
6.0000 |
5.4053 |
Aug-98 |
64 |
500.00 |
45.8750 |
45.0157 |
7.6250 |
6.7583 |
Aug-98 |
64 |
510.00 |
37.3750 |
36.7291 |
9.1250 |
8.3950 |
Aug-98 |
64 |
520.00 |
30.6250 |
28.8123 |
12.0000 |
10.4103 |
Aug-98 |
64 |
530.00 |
23.1250 |
22.0153 |
14.7500 |
13.5490 |
Aug-98 |
64 |
540.00 |
17.1250 |
16.0615 |
18.7500 |
17.5623 |
Aug-98 |
64 |
545.00 |
14.8750 |
13.5096 |
21.6250 |
19.9997 |
Aug-98 |
64 |
550.00 |
12.0000 |
10.9577 |
23.8750 |
22.4894 |
Aug-98 |
64 |
555.00 |
9.8750 |
9.2356 |
26.8750 |
25.7787 |
Aug-98 |
64 |
560.00 |
8.1250 |
7.5651 |
30.3750 |
29.1478 |
Aug-98 |
64 |
565.00 |
6.6250 |
5.8946 |
34.0000 |
32.6076 |
Aug-98 |
64 |
570.00 |
5.0625 |
4.8457 |
37.7500 |
36.6482 |
Aug-98 |
64 |
580.00 |
2.6563 |
2.9718 |
46.0000 |
45.1103 |
Sep-98 |
92 |
470.00 |
75.6250 |
74.2756 |
5.7500 |
5.0720 |
Sep-98 |
92 |
480.00 |
66.8750 |
65.5870 |
7.0000 |
6.2638 |
Sep-98 |
92 |
490.00 |
58.3750 |
57.1131 |
8.5000 |
7.6705 |
Sep-98 |
92 |
500.00 |
50.3750 |
48.8289 |
10.5000 |
9.2699 |
Sep-98 |
92 |
510.00 |
42.2500 |
40.7973 |
12.3750 |
11.1287 |
Sep-98 |
92 |
520.00 |
35.2500 |
33.0967 |
15.3750 |
13.3306 |
Sep-98 |
92 |
530.00 |
28.3750 |
26.3579 |
18.3750 |
16.5005 |
Sep-98 |
92 |
535.00 |
25.7500 |
23.0197 |
20.7500 |
18.1434 |
Sep-98 |
92 |
540.00 |
22.8750 |
20.3288 |
23.0000 |
20.4182 |
Sep-98 |
92 |
550.00 |
17.1250 |
15.0137 |
27.3750 |
25.1272 |
Sep-98 |
92 |
560.00 |
12.7500 |
11.1609 |
33.2500 |
31.3203 |