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 : 550.25, Ask: 550.64
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
23 |
460.00 |
93.6250 |
91.4008 |
0.2813 |
0.0010 |
Jul-98 |
23 |
470.00 |
83.7500 |
81.4360 |
0.4063 |
0.0047 |
Jul-98 |
23 |
480.00 |
74.0000 |
71.4779 |
0.5313 |
0.0151 |
Jul-98 |
23 |
490.00 |
64.1250 |
61.5524 |
0.7188 |
0.0583 |
Jul-98 |
23 |
500.00 |
54.3750 |
51.7460 |
0.9688 |
0.2207 |
Jul-98 |
23 |
505.00 |
49.5000 |
46.8644 |
1.1250 |
0.3236 |
Jul-98 |
23 |
510.00 |
44.7500 |
42.0642 |
1.4375 |
0.5082 |
Jul-98 |
23 |
520.00 |
35.3750 |
32.5343 |
2.2188 |
0.9489 |
Jul-98 |
23 |
530.00 |
26.3750 |
23.7302 |
3.1875 |
2.1161 |
Jul-98 |
23 |
535.00 |
22.1250 |
19.3577 |
4.2500 |
2.7324 |
Jul-98 |
23 |
540.00 |
18.0000 |
15.8847 |
5.1875 |
4.2481 |
Jul-98 |
23 |
545.00 |
14.5000 |
12.4885 |
6.5625 |
5.8416 |
Jul-98 |
23 |
550.00 |
11.2500 |
9.0922 |
8.0625 |
7.4519 |
Jul-98 |
23 |
555.00 |
8.1875 |
7.0756 |
10.2500 |
10.4382 |
Jul-98 |
23 |
560.00 |
5.6875 |
5.1937 |
13.2500 |
13.5632 |
Jul-98 |
23 |
570.00 |
2.3750 |
2.3850 |
20.1250 |
20.8590 |
Jul-98 |
23 |
575.00 |
1.5000 |
1.6736 |
24.3750 |
25.1972 |
Jul-98 |
23 |
580.00 |
0.8438 |
0.9622 |
29.3750 |
29.6103 |
Jul-98 |
23 |
590.00 |
0.3438 |
0.4124 |
39.3750 |
39.4285 |
Aug-98 |
58 |
480.00 |
77.7500 |
73.6415 |
2.4375 |
0.6465 |
Aug-98 |
58 |
490.00 |
68.1250 |
64.1821 |
3.0313 |
1.1119 |
Aug-98 |
58 |
500.00 |
59.2500 |
55.0828 |
3.9375 |
1.9399 |
Aug-98 |
58 |
510.00 |
50.1250 |
46.2366 |
4.9375 |
3.0234 |
Aug-98 |
58 |
520.00 |
41.3750 |
37.6195 |
6.3750 |
4.3429 |
Aug-98 |
58 |
530.00 |
33.3750 |
29.7538 |
8.5000 |
6.4151 |
Aug-98 |
58 |
540.00 |
25.7500 |
22.5934 |
11.0000 |
9.2102 |
Aug-98 |
58 |
545.00 |
22.2500 |
19.3903 |
12.5000 |
10.9835 |
Aug-98 |
58 |
550.00 |
18.8750 |
16.1872 |
14.2500 |
12.7840 |
Aug-98 |
58 |
555.00 |
16.1250 |
13.7734 |
16.5000 |
15.3627 |
Aug-98 |
58 |
560.00 |
13.2500 |
11.4367 |
18.8750 |
18.0321 |
Aug-98 |
58 |
565.00 |
11.1250 |
9.1001 |
22.0000 |
20.7626 |
Aug-98 |
58 |
570.00 |
8.2500 |
7.4699 |
24.6250 |
24.1836 |
Aug-98 |
58 |
580.00 |
4.9375 |
4.5281 |
31.6250 |
31.4543 |
Aug-98 |
58 |
590.00 |
2.9375 |
2.7704 |
40.0000 |
39.9839 |
Sep-98 |
86 |
500.00 |
63.3750 |
58.9901 |
6.5000 |
4.5906 |
Sep-98 |
86 |
510.00 |
54.6250 |
50.5697 |
7.8750 |
6.0679 |
Sep-98 |
86 |
520.00 |
46.3750 |
42.3544 |
9.7500 |
7.7584 |
Sep-98 |
86 |
530.00 |
38.8750 |
34.7700 |
12.3750 |
10.0808 |
Sep-98 |
86 |
535.00 |
34.7500 |
31.0035 |
13.3750 |
11.2822 |
Sep-98 |
86 |
540.00 |
31.3750 |
27.7529 |
14.8750 |
12.9899 |
Sep-98 |
86 |
550.00 |
24.7500 |
21.3396 |
18.5000 |
16.5307 |
Sep-98 |
86 |
560.00 |
18.7500 |
16.2309 |
22.6250 |
21.3974 |
Sep-98 |
86 |
570.00 |
14.2500 |
11.7660 |
28.3750 |
27.0272 |
Sep-98 |
86 |
580.00 |
9.7500 |
8.1472 |
34.1250 |
33.5996 |
Sep-98 |
86 |
590.00 |
5.8750 |
5.6443 |
40.8750 |
41.3484 |
Sep-98 |
86 |
600.00 |
3.9375 |
3.5806 |
49.3750 |
49.7604 |