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 :558.87, Ask: 559.38
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
16 |
520.00 |
42.0000 |
40.0943 |
0.7188 |
0.1789 |
Jul-98 |
16 |
525.00 |
37.0000 |
35.2221 |
0.8438 |
0.2959 |
Jul-98 |
16 |
530.00 |
32.2500 |
30.3905 |
1.0938 |
0.4541 |
Jul-98 |
16 |
535.00 |
27.6875 |
25.7140 |
1.3438 |
0.7671 |
Jul-98 |
16 |
540.00 |
22.8750 |
21.0375 |
1.8750 |
1.0808 |
Jul-98 |
16 |
545.00 |
18.3125 |
16.5759 |
2.4688 |
1.6116 |
Jul-98 |
16 |
550.00 |
14.6250 |
12.8220 |
3.3125 |
2.8478 |
Jul-98 |
16 |
555.00 |
10.4375 |
9.0680 |
4.6875 |
4.0856 |
Jul-98 |
16 |
560.00 |
7.3125 |
5.7057 |
6.5000 |
5.7342 |
Jul-98 |
16 |
565.00 |
4.6875 |
4.1892 |
9.1250 |
9.2165 |
Jul-98 |
16 |
570.00 |
2.7188 |
2.6727 |
12.2500 |
12.7149 |
Jul-98 |
16 |
575.00 |
1.4688 |
1.1935 |
16.1250 |
16.3361 |
Jul-98 |
16 |
580.00 |
0.7188 |
0.8718 |
20.6250 |
21.0426 |
Aug-98 |
51 |
480.00 |
84.3750 |
81.4518 |
1.1875 |
0.0937 |
Aug-98 |
51 |
490.00 |
74.8750 |
71.6307 |
1.5625 |
0.2041 |
Aug-98 |
51 |
500.00 |
65.3750 |
61.8902 |
2.1563 |
0.3966 |
Aug-98 |
51 |
510.00 |
56.1250 |
52.4424 |
2.9375 |
0.8825 |
Aug-98 |
51 |
520.00 |
46.8750 |
43.4085 |
3.8125 |
1.7876 |
Aug-98 |
51 |
530.00 |
38.1250 |
34.7569 |
5.1875 |
3.0791 |
Aug-98 |
51 |
540.00 |
29.6250 |
26.5759 |
6.7500 |
4.8444 |
Aug-98 |
51 |
545.00 |
25.8750 |
22.6578 |
8.1250 |
5.9153 |
Aug-98 |
51 |
550.00 |
22.0000 |
19.3078 |
9.2500 |
7.5431 |
Aug-98 |
51 |
555.00 |
18.6250 |
15.9578 |
11.0000 |
9.1783 |
Aug-98 |
51 |
560.00 |
15.3750 |
12.7964 |
12.8750 |
11.0332 |
Aug-98 |
51 |
565.00 |
12.6875 |
10.5243 |
15.1250 |
13.7554 |
Aug-98 |
51 |
570.00 |
9.7500 |
8.2522 |
17.3750 |
16.5166 |
Aug-98 |
51 |
580.00 |
5.6250 |
4.8431 |
23.5000 |
23.2929 |
Aug-98 |
51 |
590.00 |
3.1250 |
2.5006 |
31.3750 |
31.3156 |
Sep-98 |
79 |
500.00 |
69.0000 |
64.2783 |
4.1875 |
1.5121 |
Sep-98 |
79 |
510.00 |
60.1250 |
55.3182 |
5.3750 |
2.4557 |
Sep-98 |
79 |
520.00 |
51.3750 |
46.7933 |
6.7500 |
3.8441 |
Sep-98 |
79 |
530.00 |
42.7500 |
38.6572 |
8.2500 |
5.6247 |
Sep-98 |
79 |
535.00 |
38.7500 |
34.7944 |
9.2500 |
6.7192 |
Sep-98 |
79 |
540.00 |
34.8750 |
30.9317 |
10.5000 |
7.8216 |
Sep-98 |
79 |
550.00 |
27.3750 |
23.9291 |
13.1250 |
10.7677 |
Sep-98 |
79 |
560.00 |
21.2500 |
17.5182 |
17.1250 |
14.3536 |
Sep-98 |
79 |
570.00 |
15.3750 |
12.5886 |
21.5000 |
19.4465 |
Sep-98 |
79 |
580.00 |
10.7500 |
8.5821 |
27.0000 |
25.6136 |
Sep-98 |
79 |
590.00 |
7.0000 |
5.4429 |
33.6250 |
32.8059 |
Sep-98 |
79 |
600.00 |
4.3125 |
3.6009 |
41.3750 |
41.3087 |