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 :553.93, Ask: 554.56
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
18 |
460.00 |
96.0000 |
94.9900 |
0.1563 |
0.0000 |
Jul-98 |
18 |
470.00 |
86.0000 |
85.0146 |
0.2188 |
0.0000 |
Jul-98 |
18 |
480.00 |
76.5000 |
75.0393 |
0.3125 |
0.0001 |
Jul-98 |
18 |
490.00 |
66.5000 |
65.0667 |
0.4375 |
0.0029 |
Jul-98 |
18 |
500.00 |
56.5000 |
55.1702 |
0.6250 |
0.0817 |
Jul-98 |
18 |
505.00 |
51.5000 |
50.2797 |
0.7500 |
0.1794 |
Jul-98 |
18 |
510.00 |
46.8750 |
45.3893 |
0.9375 |
0.2794 |
Jul-98 |
18 |
520.00 |
37.3750 |
36.0880 |
1.3125 |
0.9543 |
Jul-98 |
18 |
530.00 |
28.0000 |
26.9657 |
2.1563 |
1.8083 |
Jul-98 |
18 |
535.00 |
23.5000 |
22.4732 |
2.6875 |
2.3044 |
Jul-98 |
18 |
540.00 |
19.3750 |
18.1399 |
3.5000 |
2.9636 |
Jul-98 |
18 |
545.00 |
15.3750 |
14.5209 |
4.5000 |
4.3343 |
Jul-98 |
18 |
550.00 |
11.6250 |
10.9020 |
6.0000 |
5.7076 |
Jul-98 |
18 |
555.00 |
8.5000 |
7.5544 |
7.8750 |
7.3632 |
Jul-98 |
18 |
560.00 |
5.9375 |
5.7322 |
10.4375 |
10.5347 |
Jul-98 |
18 |
570.00 |
2.3125 |
2.1332 |
17.6250 |
17.0169 |
Jul-98 |
18 |
575.00 |
1.4063 |
1.6212 |
21.5000 |
21.5276 |
Jul-98 |
18 |
580.00 |
0.7813 |
1.1093 |
26.5000 |
26.0628 |
Jul-98 |
18 |
590.00 |
0.2813 |
0.4091 |
36.5000 |
35.6664 |
Aug-98 |
53 |
480.00 |
79.0000 |
76.6152 |
1.7500 |
0.0409 |
Aug-98 |
53 |
490.00 |
69.5000 |
66.8131 |
2.3750 |
0.1682 |
Aug-98 |
53 |
500.00 |
60.5000 |
57.4625 |
3.0625 |
0.7566 |
Aug-98 |
53 |
510.00 |
51.2500 |
48.7567 |
4.0625 |
2.0099 |
Aug-98 |
53 |
520.00 |
42.5000 |
40.6858 |
5.3125 |
3.8857 |
Aug-98 |
53 |
530.00 |
34.5000 |
32.7558 |
7.0000 |
5.9016 |
Aug-98 |
53 |
540.00 |
26.5000 |
25.0351 |
9.2500 |
8.1338 |
Aug-98 |
53 |
545.00 |
23.0000 |
21.6796 |
10.7500 |
9.7508 |
Aug-98 |
53 |
550.00 |
19.3750 |
18.3242 |
12.3750 |
11.3748 |
Aug-98 |
53 |
555.00 |
16.3750 |
15.1150 |
14.3750 |
13.1645 |
Aug-98 |
53 |
560.00 |
13.3750 |
12.7283 |
16.6250 |
15.7576 |
Aug-98 |
53 |
565.00 |
10.8750 |
10.3416 |
19.3750 |
18.3631 |
Aug-98 |
53 |
570.00 |
8.7500 |
7.9928 |
22.5000 |
21.0796 |
Aug-98 |
53 |
580.00 |
5.3125 |
5.4092 |
29.2500 |
28.5724 |
Aug-98 |
53 |
590.00 |
2.8125 |
3.3587 |
37.5000 |
36.7635 |
Sep-98 |
81 |
500.00 |
64.0000 |
60.2071 |
5.3125 |
2.2606 |
Sep-98 |
81 |
510.00 |
55.5000 |
52.0256 |
6.6875 |
4.0089 |
Sep-98 |
81 |
520.00 |
47.5000 |
44.3837 |
8.5000 |
6.2821 |
Sep-98 |
81 |
530.00 |
39.5000 |
36.8552 |
10.5000 |
8.6686 |
Sep-98 |
81 |
535.00 |
35.5000 |
33.1343 |
11.8750 |
9.9064 |
Sep-98 |
81 |
540.00 |
31.8750 |
29.4927 |
13.1250 |
11.2291 |
Sep-98 |
81 |
550.00 |
25.0000 |
22.9219 |
16.3750 |
14.5813 |
Sep-98 |
86 |
560.00 |
19.1250 |
17.2271 |
20.3750 |
18.8358 |
Sep-98 |
86 |
570.00 |
13.8750 |
12.2103 |
25.7500 |
23.8519 |
Sep-98 |
86 |
580.00 |
9.8125 |
9.0022 |
31.7500 |
30.7072 |
Sep-98 |
86 |
590.00 |
6.2500 |
6.3147 |
39.0000 |
38.2466 |
Sep-98 |
86 |
600.00 |
4.0625 |
4.3599 |
47.5000 |
46.5692 |