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 : 552.90, Ask: 553.15
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
23 |
460.00 |
95.2500 |
93.9788 |
0.3438 |
0.0013 |
Jul-98 |
23 |
470.00 |
85.2500 |
84.0137 |
0.4063 |
0.0047 |
Jul-98 |
23 |
480.00 |
75.3750 |
74.0559 |
0.5313 |
0.0154 |
Jul-98 |
23 |
490.00 |
65.6250 |
64.1340 |
0.7188 |
0.0622 |
Jul-98 |
23 |
500.00 |
55.8750 |
54.3024 |
1.0313 |
0.1994 |
Jul-98 |
23 |
505.00 |
51.0000 |
49.4282 |
1.2188 |
0.3097 |
Jul-98 |
23 |
510.00 |
46.2500 |
44.6136 |
1.5000 |
0.4804 |
Jul-98 |
23 |
520.00 |
36.8750 |
35.4014 |
2.2188 |
1.2379 |
Jul-98 |
23 |
530.00 |
28.6250 |
26.5078 |
3.1875 |
2.3161 |
Jul-98 |
23 |
535.00 |
23.7500 |
22.1358 |
3.9375 |
2.9317 |
Jul-98 |
23 |
540.00 |
19.6875 |
18.1460 |
4.8125 |
3.9338 |
Jul-98 |
23 |
545.00 |
16.3125 |
14.6852 |
6.1875 |
5.4610 |
Jul-98 |
23 |
550.00 |
12.5000 |
11.2244 |
7.8125 |
6.9931 |
Jul-98 |
23 |
555.00 |
9.3125 |
8.3661 |
10.0625 |
9.1400 |
Jul-98 |
23 |
560.00 |
6.8750 |
6.4307 |
12.7500 |
12.1996 |
Jul-98 |
23 |
570.00 |
3.0625 |
2.9095 |
19.2500 |
18.7655 |
Jul-98 |
23 |
575.00 |
1.9375 |
2.1991 |
23.1250 |
23.0849 |
Jul-98 |
23 |
580.00 |
1.1563 |
1.4887 |
27.7500 |
27.4437 |
Jul-98 |
23 |
590.00 |
0.4063 |
0.6264 |
37.2500 |
36.8604 |
Aug-98 |
58 |
480.00 |
79.2500 |
76.2973 |
2.4375 |
0.7270 |
Aug-98 |
58 |
490.00 |
69.7500 |
66.8828 |
2.9375 |
1.2377 |
Aug-98 |
58 |
500.00 |
60.6250 |
57.7231 |
3.8125 |
2.0073 |
Aug-98 |
58 |
510.00 |
51.7500 |
48.8614 |
5.0625 |
3.0815 |
Aug-98 |
58 |
520.00 |
42.7500 |
40.6488 |
6.2500 |
4.8007 |
Aug-98 |
58 |
530.00 |
34.7500 |
32.7047 |
8.2500 |
6.7957 |
Aug-98 |
58 |
540.00 |
27.1250 |
25.1426 |
10.7500 |
9.1917 |
Aug-98 |
58 |
545.00 |
23.3750 |
21.8440 |
12.1250 |
10.8676 |
Aug-98 |
58 |
550.00 |
20.6250 |
18.5454 |
14.3750 |
12.5539 |
Aug-98 |
58 |
555.00 |
16.8750 |
15.6025 |
15.8750 |
14.6101 |
Aug-98 |
58 |
560.00 |
14.3750 |
13.2042 |
18.6250 |
17.1933 |
Aug-98 |
58 |
565.00 |
12.0000 |
10.8060 |
21.3750 |
19.7976 |
Aug-98 |
58 |
570.00 |
9.5000 |
8.6802 |
24.1250 |
22.7248 |
Aug-98 |
58 |
580.00 |
5.7500 |
5.7925 |
30.8750 |
29.9451 |
Aug-98 |
58 |
590.00 |
3.3125 |
3.6567 |
38.8750 |
38.0651 |
Sep-98 |
86 |
500.00 |
64.3750 |
61.4646 |
6.0000 |
4.4942 |
Sep-98 |
86 |
510.00 |
55.7500 |
53.0191 |
7.5000 |
5.9559 |
Sep-98 |
86 |
520.00 |
47.3750 |
45.1431 |
9.2500 |
7.9792 |
Sep-98 |
86 |
530.00 |
39.5000 |
37.4880 |
11.3750 |
10.2317 |
Sep-98 |
86 |
535.00 |
35.5000 |
33.7123 |
12.5000 |
11.4157 |
Sep-98 |
86 |
540.00 |
32.2500 |
30.1410 |
14.3750 |
12.8115 |
Sep-98 |
86 |
550.00 |
26.1250 |
23.5638 |
18.2500 |
16.1623 |
Sep-98 |
86 |
560.00 |
20.1250 |
17.9900 |
22.6250 |
20.5377 |
Sep-98 |
86 |
570.00 |
14.1250 |
13.0816 |
26.7500 |
25.6586 |
Sep-98 |
86 |
580.00 |
10.7500 |
9.5561 |
33.6250 |
32.2212 |
Sep-98 |
86 |
590.00 |
6.7500 |
6.7533 |
40.0000 |
39.6485 |
Sep-98 |
86 |
600.00 |
4.5625 |
4.5555 |
48.2500 |
47.7942 |