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 : 535.67, Ask: 536.08
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
26 |
500.00 |
40.8750 |
39.0519 |
2.5313 |
1.9437 |
Jul-98 |
26 |
505.00 |
36.2500 |
34.4454 |
3.0625 |
2.3206 |
Jul-98 |
26 |
510.00 |
31.7500 |
30.0571 |
3.6875 |
2.9163 |
Jul-98 |
26 |
520.00 |
23.3750 |
21.5639 |
5.2500 |
4.3926 |
Jul-98 |
26 |
530.00 |
16.0000 |
14.5632 |
7.6875 |
7.3656 |
Jul-98 |
26 |
535.00 |
12.5000 |
11.1666 |
9.6250 |
8.9662 |
Jul-98 |
26 |
540.00 |
9.5000 |
8.8208 |
11.6250 |
11.6196 |
Jul-98 |
26 |
545.00 |
6.9375 |
6.6979 |
14.2500 |
14.4966 |
Jul-98 |
26 |
550.00 |
4.8750 |
4.5750 |
17.2500 |
17.4126 |
Jul-98 |
26 |
555.00 |
3.1875 |
3.4145 |
20.7500 |
21.2898 |
Jul-98 |
26 |
560.00 |
1.9375 |
2.4770 |
24.6250 |
25.3911 |
Jul-98 |
26 |
570.00 |
0.6563 |
1.0575 |
34.0000 |
34.1997 |
Aug-98 |
61 |
470.00 |
72.8750 |
71.4524 |
3.1875 |
2.9442 |
Aug-98 |
61 |
480.00 |
64.0000 |
62.4273 |
4.3125 |
3.8397 |
Aug-98 |
61 |
490.00 |
54.8750 |
53.6473 |
5.1875 |
4.9802 |
Aug-98 |
61 |
500.00 |
46.6250 |
45.0676 |
7.0000 |
6.3234 |
Aug-98 |
61 |
510.00 |
38.1250 |
36.7638 |
8.5000 |
7.9480 |
Aug-98 |
61 |
520.00 |
30.3750 |
28.8868 |
10.7500 |
10.0069 |
Aug-98 |
61 |
530.00 |
23.2500 |
22.0608 |
13.6250 |
13.1240 |
Aug-98 |
61 |
540.00 |
17.0000 |
16.0470 |
17.3750 |
17.0876 |
Aug-98 |
61 |
545.00 |
14.5000 |
13.5145 |
20.1250 |
19.5482 |
Aug-98 |
61 |
550.00 |
12.2500 |
10.9820 |
23.1250 |
22.0550 |
Aug-98 |
61 |
555.00 |
9.7500 |
9.1668 |
25.8750 |
25.2690 |
Aug-98 |
61 |
560.00 |
7.6250 |
7.5178 |
29.0000 |
28.6593 |
Aug-98 |
61 |
565.00 |
6.1250 |
5.8688 |
32.7500 |
32.1271 |
Aug-98 |
61 |
570.00 |
4.5625 |
4.7451 |
36.3750 |
36.1063 |
Aug-98 |
61 |
580.00 |
2.3125 |
2.9186 |
44.6250 |
44.5684 |
Sep-98 |
89 |
470.00 |
76.8750 |
74.5943 |
5.6250 |
4.8931 |
Sep-98 |
89 |
480.00 |
68.0000 |
65.9132 |
6.7500 |
6.0974 |
Sep-98 |
89 |
490.00 |
59.3750 |
57.4744 |
8.1250 |
7.5440 |
Sep-98 |
89 |
500.00 |
50.8750 |
49.2213 |
9.6250 |
9.1801 |
Sep-98 |
89 |
510.00 |
42.8750 |
41.2141 |
11.6250 |
11.0706 |
Sep-98 |
89 |
520.00 |
35.3750 |
33.5803 |
14.1250 |
13.3460 |
Sep-98 |
89 |
530.00 |
29.0000 |
26.8225 |
17.7500 |
16.5079 |
Sep-98 |
89 |
535.00 |
25.7500 |
23.5045 |
19.5000 |
18.1741 |
Sep-98 |
89 |
540.00 |
22.8750 |
20.7297 |
21.6250 |
20.3771 |
Sep-98 |
89 |
550.00 |
17.3750 |
15.4105 |
26.3750 |
25.0792 |
Sep-98 |
89 |
560.00 |
13.1250 |
11.4334 |
32.3750 |
31.1512 |