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 :562.92, Ask: 563.29
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
11 |
520.00 |
44.6250 |
43.7005 |
0.4063 |
0.0534 |
Jul-98 |
11 |
525.00 |
40.7500 |
38.7783 |
0.4688 |
0.1238 |
Jul-98 |
11 |
530.00 |
35.7500 |
33.8561 |
0.5625 |
0.1941 |
Jul-98 |
11 |
535.00 |
31.0000 |
29.0309 |
0.8438 |
0.3618 |
Jul-98 |
11 |
540.00 |
26.2500 |
24.3224 |
1.0625 |
0.6460 |
Jul-98 |
11 |
545.00 |
21.5000 |
19.6139 |
1.4063 |
0.9306 |
Jul-98 |
11 |
550.00 |
17.2500 |
15.3399 |
2.0625 |
1.6510 |
Jul-98 |
11 |
555.00 |
13.0000 |
11.5789 |
2.9375 |
2.8833 |
Jul-98 |
11 |
560.00 |
9.1250 |
7.8179 |
4.4375 |
4.1176 |
Jul-98 |
11 |
565.00 |
5.8750 |
4.9542 |
6.3125 |
6.2604 |
Jul-98 |
11 |
570.00 |
3.3750 |
3.5608 |
8.7500 |
9.8660 |
Jul-98 |
11 |
575.00 |
1.8438 |
2.1674 |
13.1250 |
13.4842 |
Jul-98 |
11 |
580.00 |
0.8438 |
1.0095 |
17.3750 |
17.3854 |
Jul-98 |
11 |
590.00 |
0.1563 |
0.4369 |
27.1250 |
26.8893 |
Jul-98 |
11 |
600.00 |
0.0938 |
0.1028 |
37.5000 |
36.8378 |
Aug-98 |
46 |
480.00 |
87.1250 |
85.4623 |
0.8750 |
0.3522 |
Aug-98 |
46 |
490.00 |
77.5000 |
75.6912 |
1.3125 |
0.5204 |
Aug-98 |
46 |
500.00 |
68.1250 |
66.0380 |
1.9375 |
0.8062 |
Aug-98 |
46 |
510.00 |
58.5000 |
56.5397 |
2.2500 |
1.2488 |
Aug-98 |
46 |
520.00 |
49.1250 |
47.2502 |
3.0625 |
1.9031 |
Aug-98 |
46 |
530.00 |
40.2500 |
38.4380 |
4.3125 |
3.0337 |
Aug-98 |
46 |
540.00 |
31.7500 |
30.1490 |
5.8750 |
4.6921 |
Aug-98 |
46 |
545.00 |
27.6250 |
26.1027 |
6.8750 |
5.6227 |
Aug-98 |
46 |
550.00 |
23.7500 |
22.4121 |
7.7500 |
6.9154 |
Aug-98 |
46 |
555.00 |
21.5000 |
19.1413 |
9.6250 |
8.6211 |
Aug-98 |
46 |
560.00 |
17.1250 |
15.8705 |
11.1250 |
10.3339 |
Aug-98 |
46 |
565.00 |
14.1250 |
12.9936 |
13.1250 |
12.4613 |
Aug-98 |
46 |
570.00 |
11.0000 |
10.7622 |
15.5000 |
15.2210 |
Aug-98 |
46 |
580.00 |
6.6875 |
6.5113 |
21.5000 |
21.0861 |
Aug-98 |
46 |
590.00 |
3.5625 |
4.0426 |
28.6250 |
28.7339 |
Sep-98 |
74 |
500.00 |
71.3750 |
68.9619 |
3.5625 |
2.4578 |
Sep-98 |
74 |
510.00 |
62.6250 |
59.8673 |
4.8125 |
3.2705 |
Sep-98 |
74 |
520.00 |
53.6250 |
50.9939 |
5.8750 |
4.3079 |
Sep-98 |
74 |
530.00 |
44.6250 |
42.5846 |
7.0000 |
5.8070 |
Sep-98 |
74 |
535.00 |
40.8750 |
38.5234 |
8.0000 |
6.7038 |
Sep-98 |
74 |
540.00 |
36.8750 |
34.6344 |
9.3750 |
7.7704 |
Sep-98 |
74 |
550.00 |
29.2500 |
27.1476 |
11.8750 |
10.2121 |
Sep-98 |
74 |
560.00 |
22.6875 |
20.6397 |
15.5000 |
13.6388 |
Sep-98 |
74 |
570.00 |
16.6250 |
15.2603 |
19.5000 |
18.2411 |
Sep-98 |
74 |
580.00 |
11.7500 |
10.5666 |
24.8750 |
23.6607 |
Sep-98 |
74 |
590.00 |
8.0000 |
7.3636 |
31.5000 |
30.5773 |
Sep-98 |
74 |
600.00 |
5.7500 |
4.8331 |
39.6250 |
38.3390 |