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 :557.13, Ask: 557.59
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
19 |
460.00 |
100.3750 |
98.1442 |
0.1563 |
0.0003 |
Jul-98 |
19 |
470.00 |
90.5000 |
88.1712 |
0.2188 |
0.0012 |
Jul-98 |
19 |
480.00 |
80.5000 |
78.2023 |
0.2813 |
0.0063 |
Jul-98 |
19 |
490.00 |
70.6250 |
68.2481 |
0.4063 |
0.0262 |
Jul-98 |
19 |
500.00 |
60.7500 |
58.3242 |
0.5313 |
0.0764 |
Jul-98 |
19 |
505.00 |
55.8750 |
53.4207 |
0.6563 |
0.1599 |
Jul-98 |
19 |
510.00 |
51.0000 |
48.5172 |
0.8438 |
0.2436 |
Jul-98 |
19 |
520.00 |
41.2500 |
38.9411 |
1.1563 |
0.6422 |
Jul-98 |
19 |
530.00 |
31.7500 |
29.6348 |
1.7813 |
1.3119 |
Jul-98 |
19 |
535.00 |
27.2500 |
25.2197 |
2.3125 |
1.8848 |
Jul-98 |
19 |
540.00 |
22.7500 |
20.8047 |
2.8750 |
2.4591 |
Jul-98 |
19 |
545.00 |
18.4375 |
16.9681 |
3.6250 |
3.6144 |
Jul-98 |
19 |
550.00 |
15.1250 |
13.5569 |
4.6250 |
5.1932 |
Jul-98 |
19 |
555.00 |
11.1250 |
10.1457 |
6.3750 |
6.7769 |
Jul-98 |
19 |
560.00 |
8.0625 |
7.5711 |
8.6250 |
9.2090 |
Jul-98 |
19 |
570.00 |
3.5625 |
3.9175 |
14.2500 |
15.5724 |
Jul-98 |
19 |
575.00 |
2.1875 |
2.5522 |
18.0000 |
19.2664 |
Jul-98 |
19 |
580.00 |
1.2500 |
1.8964 |
23.0000 |
23.6375 |
Jul-98 |
19 |
590.00 |
0.4063 |
0.6686 |
32.3750 |
32.6201 |
Aug-98 |
54 |
480.00 |
83.7500 |
80.0534 |
1.5938 |
0.3269 |
Aug-98 |
54 |
490.00 |
74.2500 |
70.4381 |
2.1875 |
0.6400 |
Aug-98 |
54 |
500.00 |
64.5625 |
61.0007 |
2.7500 |
1.1338 |
Aug-98 |
54 |
510.00 |
55.6250 |
51.9708 |
3.5625 |
2.0353 |
Aug-98 |
54 |
520.00 |
46.7500 |
43.3196 |
4.8125 |
3.3196 |
Aug-98 |
54 |
530.00 |
38.0000 |
34.9981 |
6.1250 |
4.9403 |
Aug-98 |
54 |
540.00 |
30.2500 |
27.1528 |
8.5000 |
7.0437 |
Aug-98 |
54 |
545.00 |
26.5000 |
23.6424 |
9.5000 |
8.5150 |
Aug-98 |
54 |
550.00 |
22.6250 |
20.4352 |
11.0000 |
10.2843 |
Aug-98 |
54 |
555.00 |
19.1250 |
17.2281 |
12.6250 |
12.0659 |
Aug-98 |
54 |
560.00 |
16.0000 |
14.5016 |
14.5000 |
14.3377 |
Aug-98 |
54 |
565.00 |
13.2500 |
12.2047 |
17.0000 |
17.0277 |
Aug-98 |
54 |
570.00 |
10.7500 |
9.9079 |
19.7500 |
19.7433 |
Aug-98 |
54 |
580.00 |
6.3125 |
6.5724 |
25.8750 |
26.4926 |
Aug-98 |
54 |
590.00 |
3.5625 |
3.9015 |
33.5000 |
34.0575 |
Sep-98 |
82 |
500.00 |
68.8750 |
63.9783 |
5.0625 |
2.8466 |
Sep-98 |
82 |
510.00 |
59.7500 |
55.3865 |
6.0625 |
4.1554 |
Sep-98 |
82 |
520.00 |
51.6250 |
47.1425 |
8.0000 |
5.8172 |
Sep-98 |
82 |
530.00 |
43.2500 |
39.1877 |
9.8750 |
7.7764 |
Sep-98 |
82 |
535.00 |
39.5000 |
35.4111 |
11.1250 |
8.9562 |
Sep-98 |
82 |
540.00 |
35.5000 |
31.6346 |
12.1250 |
10.1452 |
Sep-98 |
82 |
550.00 |
28.1250 |
24.9903 |
14.8750 |
13.4309 |
Sep-98 |
86 |
560.00 |
21.7500 |
18.9761 |
18.6250 |
17.3759 |
Sep-98 |
86 |
570.00 |
16.1250 |
14.0371 |
23.2500 |
22.4126 |
Sep-98 |
86 |
580.00 |
11.5000 |
10.1685 |
28.8750 |
28.6074 |
Sep-98 |
86 |
590.00 |
7.6250 |
6.8795 |
35.2500 |
35.5523 |
Sep-98 |
86 |
600.00 |
5.5000 |
4.8055 |
43.5000 |
43.7046 |