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 : 545.18, Ask: 545.63
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
25 |
460.00 |
87.5000 |
86.4540 |
0.4063 |
0.0064 |
Jul-98 |
25 |
470.00 |
77.7500 |
76.5090 |
0.5938 |
0.0273 |
Jul-98 |
25 |
480.00 |
67.8750 |
66.6098 |
0.7813 |
0.0940 |
Jul-98 |
25 |
490.00 |
58.1250 |
56.8012 |
1.0313 |
0.2518 |
Jul-98 |
25 |
500.00 |
48.1875 |
47.2202 |
1.5000 |
0.6376 |
Jul-98 |
25 |
505.00 |
43.7500 |
42.6672 |
1.7813 |
1.0692 |
Jul-98 |
25 |
510.00 |
39.0000 |
38.2567 |
2.0313 |
1.6423 |
Jul-98 |
25 |
520.00 |
29.8750 |
29.4800 |
3.1250 |
2.8338 |
Jul-98 |
25 |
530.00 |
21.5000 |
20.7694 |
4.6875 |
4.0978 |
Jul-98 |
25 |
535.00 |
17.5000 |
16.9864 |
5.8125 |
5.3023 |
Jul-98 |
25 |
540.00 |
13.9375 |
13.2658 |
7.3125 |
6.5706 |
Jul-98 |
25 |
545.00 |
10.6875 |
9.5451 |
9.1250 |
7.8519 |
Jul-98 |
25 |
550.00 |
7.8125 |
7.3537 |
11.5000 |
10.6567 |
Jul-98 |
25 |
555.00 |
5.4375 |
5.2971 |
14.5000 |
13.5970 |
Jul-98 |
25 |
560.00 |
3.5625 |
3.2405 |
17.5000 |
16.5781 |
Jul-98 |
25 |
570.00 |
1.3125 |
1.7265 |
25.3750 |
25.1724 |
Jul-98 |
25 |
575.00 |
0.7500 |
1.0732 |
30.0000 |
29.6643 |
Jul-98 |
25 |
580.00 |
0.4063 |
0.7393 |
34.7500 |
34.4885 |
Jul-98 |
25 |
590.00 |
0.1563 |
0.3462 |
44.7500 |
44.4394 |
Aug-98 |
60 |
500.00 |
53.5000 |
51.3827 |
5.0625 |
3.1910 |
Aug-98 |
60 |
510.00 |
44.7500 |
43.3026 |
6.3750 |
5.0425 |
Aug-98 |
60 |
520.00 |
36.3750 |
35.4069 |
8.0000 |
7.0778 |
Aug-98 |
60 |
530.00 |
28.8750 |
27.5596 |
10.4375 |
9.1792 |
Aug-98 |
60 |
540.00 |
21.6875 |
20.4562 |
13.3750 |
12.0296 |
Aug-98 |
60 |
545.00 |
18.3750 |
16.9236 |
15.0000 |
13.4977 |
Aug-98 |
60 |
550.00 |
15.7500 |
14.2962 |
17.3750 |
15.8541 |
Aug-98 |
60 |
555.00 |
13.0000 |
11.7485 |
19.8750 |
18.2987 |
Aug-98 |
60 |
560.00 |
10.4375 |
9.2008 |
22.6250 |
20.7793 |
Aug-98 |
60 |
565.00 |
8.6250 |
7.6654 |
26.0000 |
24.2630 |
Aug-98 |
60 |
570.00 |
6.6250 |
6.3054 |
29.2500 |
27.9344 |
Aug-98 |
60 |
580.00 |
3.9375 |
4.0327 |
37.0000 |
35.8956 |
Sep-98 |
88 |
500.00 |
57.5000 |
55.0420 |
7.5000 |
5.5929 |
Sep-98 |
88 |
510.00 |
49.3750 |
47.2871 |
9.2500 |
7.7379 |
Sep-98 |
88 |
520.00 |
41.8750 |
39.6922 |
11.2500 |
10.0424 |
Sep-98 |
88 |
530.00 |
34.0000 |
32.1374 |
14.0000 |
12.4072 |
Sep-98 |
88 |
535.00 |
30.3750 |
28.6418 |
15.3750 |
13.8704 |
Sep-98 |
88 |
540.00 |
27.2500 |
25.1769 |
17.2500 |
15.3721 |
Sep-98 |
88 |
550.00 |
20.8750 |
18.9691 |
20.8750 |
19.1216 |
Sep-98 |
88 |
560.00 |
15.6250 |
13.6106 |
25.8750 |
23.7615 |
Sep-98 |
88 |
570.00 |
11.0000 |
10.1256 |
31.5000 |
30.3017 |
Sep-98 |
88 |
580.00 |
7.7500 |
7.2249 |
38.5000 |
37.6009 |