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 :563.24, Ask: 563.82
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
12 |
520.00 |
45.6875 |
44.2293 |
0.4375 |
0.1084 |
Jul-98 |
12 |
525.00 |
41.1250 |
39.3746 |
0.5313 |
0.2455 |
Jul-98 |
12 |
530.00 |
36.2500 |
34.5198 |
0.7188 |
0.3827 |
Jul-98 |
12 |
535.00 |
31.3750 |
29.7325 |
0.9375 |
0.5876 |
Jul-98 |
12 |
540.00 |
26.6250 |
25.0583 |
1.1875 |
0.9054 |
Jul-98 |
12 |
545.00 |
22.0000 |
20.3840 |
1.5625 |
1.2237 |
Jul-98 |
12 |
550.00 |
17.6250 |
16.0626 |
2.2188 |
1.8965 |
Jul-98 |
12 |
555.00 |
13.3125 |
12.3267 |
3.0625 |
3.1533 |
Jul-98 |
12 |
560.00 |
9.5625 |
8.5909 |
4.3125 |
4.4111 |
Jul-98 |
12 |
565.00 |
6.4375 |
5.5193 |
6.1875 |
6.3445 |
Jul-98 |
12 |
570.00 |
3.8125 |
4.0427 |
9.0625 |
9.8660 |
Jul-98 |
12 |
575.00 |
2.0938 |
2.5661 |
12.2500 |
13.3977 |
Jul-98 |
12 |
580.00 |
1.0313 |
1.2336 |
16.2500 |
17.1297 |
Jul-98 |
12 |
590.00 |
0.2813 |
0.5775 |
26.1250 |
26.5327 |
Jul-98 |
12 |
600.00 |
0.0938 |
0.1595 |
36.1250 |
36.4087 |
Aug-98 |
47 |
480.00 |
88.7500 |
85.9789 |
1.0625 |
0.4013 |
Aug-98 |
47 |
490.00 |
79.0000 |
76.2470 |
1.3438 |
0.6074 |
Aug-98 |
47 |
500.00 |
69.3750 |
66.6636 |
1.7500 |
0.9623 |
Aug-98 |
47 |
510.00 |
59.8750 |
57.2696 |
2.1875 |
1.5088 |
Aug-98 |
47 |
520.00 |
50.6250 |
48.1130 |
3.1250 |
2.2959 |
Aug-98 |
47 |
530.00 |
41.5000 |
39.5314 |
4.1250 |
3.6558 |
Aug-98 |
47 |
540.00 |
33.0000 |
31.2419 |
5.7500 |
5.3114 |
Aug-98 |
47 |
545.00 |
28.8750 |
27.1636 |
6.7500 |
6.2092 |
Aug-98 |
47 |
550.00 |
24.5625 |
23.3572 |
7.5000 |
7.3848 |
Aug-98 |
47 |
555.00 |
21.5000 |
20.0020 |
8.8750 |
9.0051 |
Aug-98 |
47 |
560.00 |
17.5625 |
16.6467 |
10.6250 |
10.6325 |
Aug-98 |
47 |
565.00 |
14.5000 |
13.6107 |
12.5000 |
12.5926 |
Aug-98 |
47 |
570.00 |
11.6250 |
11.3414 |
14.7500 |
15.3064 |
Aug-98 |
47 |
580.00 |
6.8750 |
6.9334 |
20.2500 |
20.9851 |
Aug-98 |
47 |
590.00 |
3.8750 |
4.4787 |
27.6250 |
28.6338 |
Sep-98 |
75 |
500.00 |
73.0000 |
69.5849 |
3.6875 |
2.6123 |
Sep-98 |
75 |
510.00 |
63.7500 |
60.5934 |
4.5625 |
3.5279 |
Sep-98 |
75 |
520.00 |
55.0000 |
51.8469 |
5.8750 |
4.6924 |
Sep-98 |
75 |
530.00 |
46.3750 |
43.6419 |
7.3750 |
6.3939 |
Sep-98 |
75 |
535.00 |
42.3750 |
39.6077 |
8.5000 |
7.3156 |
Sep-98 |
75 |
540.00 |
38.2500 |
35.6878 |
9.2500 |
8.3506 |
Sep-98 |
75 |
550.00 |
30.7500 |
28.0708 |
11.6250 |
10.6592 |
Sep-98 |
75 |
560.00 |
23.3750 |
21.4162 |
14.7500 |
13.9330 |
Sep-98 |
75 |
570.00 |
18.0000 |
15.8829 |
19.5000 |
18.3606 |
Sep-98 |
75 |
580.00 |
12.2500 |
11.0720 |
24.0000 |
23.6366 |