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 :559.92, Ask: 560.60
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
17 |
520.00 |
42.0000 |
41.3447 |
0.7500 |
0.2460 |
Jul-98 |
17 |
525.00 |
37.1250 |
36.5244 |
0.9375 |
0.4142 |
Jul-98 |
17 |
530.00 |
32.3750 |
31.7041 |
1.1875 |
0.5832 |
Jul-98 |
17 |
535.00 |
28.0000 |
27.1198 |
1.5313 |
0.9877 |
Jul-98 |
17 |
540.00 |
23.0000 |
22.5373 |
1.9375 |
1.3946 |
Jul-98 |
17 |
545.00 |
18.6250 |
17.9652 |
2.5625 |
1.8155 |
Jul-98 |
17 |
550.00 |
14.5625 |
14.2519 |
3.5625 |
3.0919 |
Jul-98 |
17 |
555.00 |
10.8125 |
10.5385 |
4.9375 |
4.3694 |
Jul-98 |
17 |
560.00 |
7.5625 |
6.8251 |
6.9375 |
5.6597 |
Jul-98 |
17 |
565.00 |
4.9375 |
5.0938 |
9.2500 |
8.9289 |
Jul-98 |
17 |
570.00 |
3.0625 |
3.4712 |
12.5000 |
12.3113 |
Jul-98 |
17 |
575.00 |
1.6875 |
1.8486 |
16.2500 |
15.7411 |
Jul-98 |
17 |
580.00 |
0.9063 |
1.2075 |
20.6250 |
20.1657 |
Aug-98 |
52 |
480.00 |
84.5000 |
82.8516 |
1.2500 |
0.3200 |
Aug-98 |
52 |
490.00 |
75.1250 |
73.1298 |
1.8750 |
0.5301 |
Aug-98 |
52 |
500.00 |
65.6250 |
63.5324 |
2.4375 |
0.8656 |
Aug-98 |
52 |
510.00 |
56.3750 |
54.2156 |
3.0625 |
1.4834 |
Aug-98 |
52 |
520.00 |
47.2500 |
45.2435 |
4.1875 |
2.4511 |
Aug-98 |
52 |
530.00 |
38.5000 |
36.6413 |
5.5000 |
3.7910 |
Aug-98 |
52 |
540.00 |
29.6250 |
28.5499 |
6.7500 |
5.6427 |
Aug-98 |
52 |
545.00 |
25.8750 |
24.5126 |
8.0000 |
6.5907 |
Aug-98 |
52 |
550.00 |
22.3750 |
21.0924 |
9.6250 |
8.1442 |
Aug-98 |
52 |
555.00 |
19.0000 |
17.6722 |
11.2500 |
9.7053 |
Aug-98 |
52 |
560.00 |
15.6875 |
14.2520 |
13.1250 |
11.2866 |
Aug-98 |
52 |
565.00 |
12.8750 |
11.8521 |
15.3750 |
13.8730 |
Aug-98 |
52 |
570.00 |
10.2500 |
9.5082 |
17.7500 |
16.5279 |
Aug-98 |
52 |
580.00 |
5.8750 |
5.7022 |
23.6250 |
22.8587 |
Aug-98 |
52 |
590.00 |
3.0625 |
3.2251 |
31.1250 |
30.6518 |
Sep-98 |
80 |
500.00 |
69.6250 |
66.5691 |
4.8125 |
2.6390 |
Sep-98 |
80 |
510.00 |
60.5000 |
57.6978 |
5.7500 |
3.6712 |
Sep-98 |
80 |
520.00 |
51.7500 |
49.1556 |
7.0000 |
5.0388 |
Sep-98 |
80 |
530.00 |
43.3750 |
40.9572 |
8.7500 |
6.7508 |
Sep-98 |
80 |
535.00 |
39.2500 |
37.0705 |
9.7500 |
7.8173 |
Sep-98 |
80 |
540.00 |
35.2500 |
33.1854 |
10.7500 |
8.8903 |
Sep-98 |
80 |
550.00 |
28.2500 |
25.9164 |
13.8750 |
11.5498 |
Sep-98 |
80 |
560.00 |
21.5000 |
19.1368 |
17.2500 |
14.7274 |
Sep-98 |
80 |
570.00 |
15.8750 |
13.9895 |
21.8750 |
19.5463 |
Sep-98 |
80 |
580.00 |
11.3750 |
9.6241 |
27.5000 |
25.3038 |
Sep-98 |
80 |
590.00 |
7.5000 |
6.3712 |
34.0000 |
32.3161 |
Sep-98 |
80 |
600.00 |
4.6875 |
4.2421 |
41.5000 |
40.5389 |