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 : 552.65, Ask: 553.09
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
22 |
460.00 |
95.2500 |
93.7818 |
0.2813 |
0.0005 |
Jul-98 |
22 |
470.00 |
85.2500 |
83.8134 |
0.3438 |
0.0020 |
Jul-98 |
22 |
480.00 |
75.2500 |
73.8484 |
0.4688 |
0.0069 |
Jul-98 |
22 |
490.00 |
65.6250 |
63.9043 |
0.6563 |
0.0327 |
Jul-98 |
22 |
500.00 |
55.8750 |
54.0221 |
0.9063 |
0.1206 |
Jul-98 |
22 |
505.00 |
51.0000 |
49.1085 |
1.0625 |
0.1921 |
Jul-98 |
22 |
510.00 |
46.1250 |
44.2495 |
1.2813 |
0.3187 |
Jul-98 |
22 |
520.00 |
36.5000 |
34.8565 |
1.8125 |
0.8966 |
Jul-98 |
22 |
530.00 |
27.3125 |
25.7997 |
2.7188 |
1.8124 |
Jul-98 |
22 |
535.00 |
23.0000 |
21.3449 |
3.4375 |
2.3455 |
Jul-98 |
22 |
540.00 |
18.8750 |
17.3229 |
4.4375 |
3.3154 |
Jul-98 |
22 |
545.00 |
15.0000 |
13.8306 |
5.5625 |
4.8115 |
Jul-98 |
22 |
550.00 |
11.3750 |
10.3383 |
7.0625 |
6.3115 |
Jul-98 |
22 |
555.00 |
8.4375 |
7.5497 |
9.1250 |
8.5301 |
Jul-98 |
22 |
560.00 |
6.0625 |
5.7092 |
11.8750 |
11.6875 |
Jul-98 |
22 |
570.00 |
2.5000 |
2.4154 |
18.6250 |
18.4993 |
Jul-98 |
22 |
575.00 |
1.5000 |
1.7945 |
22.7500 |
22.9129 |
Jul-98 |
22 |
580.00 |
0.9063 |
1.1737 |
27.2500 |
27.3616 |
Jul-98 |
22 |
590.00 |
0.2813 |
0.4567 |
37.0000 |
37.0170 |
Aug-98 |
57 |
480.00 |
79.0000 |
75.9680 |
2.1875 |
0.5956 |
Aug-98 |
57 |
490.00 |
69.6250 |
66.4635 |
2.7500 |
1.0174 |
Aug-98 |
57 |
500.00 |
60.2500 |
57.1861 |
3.4375 |
1.6698 |
Aug-98 |
57 |
510.00 |
51.2500 |
48.1852 |
4.5625 |
2.6045 |
Aug-98 |
57 |
520.00 |
42.5000 |
39.8053 |
5.8750 |
4.1575 |
Aug-98 |
57 |
530.00 |
34.2500 |
31.7364 |
7.7500 |
6.0274 |
Aug-98 |
57 |
540.00 |
26.5000 |
24.1071 |
10.1250 |
8.3567 |
Aug-98 |
57 |
545.00 |
23.1250 |
20.8154 |
11.8750 |
10.0389 |
Aug-98 |
57 |
550.00 |
19.3750 |
17.5237 |
13.1250 |
11.7337 |
Aug-98 |
57 |
555.00 |
16.6250 |
14.6342 |
15.5000 |
13.8433 |
Aug-98 |
57 |
560.00 |
13.6250 |
12.2868 |
17.7500 |
16.4803 |
Aug-98 |
57 |
565.00 |
11.3750 |
9.9394 |
20.7500 |
19.1459 |
Aug-98 |
57 |
570.00 |
8.5000 |
7.8979 |
23.1250 |
22.1922 |
Aug-98 |
57 |
580.00 |
5.3750 |
5.1312 |
30.5000 |
29.5680 |
Aug-98 |
57 |
590.00 |
2.7500 |
3.1419 |
38.3750 |
37.8701 |
Sep-98 |
85 |
500.00 |
64.5000 |
60.8234 |
6.0000 |
4.0493 |
Sep-98 |
85 |
510.00 |
55.8750 |
52.2673 |
7.5000 |
5.4004 |
Sep-98 |
85 |
520.00 |
47.3750 |
44.2710 |
9.1250 |
7.3047 |
Sep-98 |
85 |
530.00 |
39.2500 |
36.5332 |
11.1250 |
9.4744 |
Sep-98 |
85 |
535.00 |
35.5000 |
32.7209 |
12.5000 |
10.6229 |
Sep-98 |
85 |
540.00 |
32.5000 |
29.1506 |
14.5000 |
12.0202 |
Sep-98 |
85 |
550.00 |
25.0000 |
22.6022 |
17.1250 |
15.4028 |
Sep-98 |
86 |
560.00 |
19.6250 |
17.1168 |
22.0000 |
19.8754 |
Sep-98 |
86 |
570.00 |
14.1250 |
12.3149 |
26.7500 |
25.1560 |
Sep-98 |
86 |
580.00 |
10.8750 |
8.8678 |
33.6250 |
31.8388 |
Sep-98 |
86 |
590.00 |
6.7500 |
6.1719 |
39.8750 |
39.4049 |
Sep-98 |
86 |
600.00 |
4.0625 |
4.0645 |
47.6250 |
47.6797 |