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 :569.28, Ask: 569.72
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
10 |
520.00 |
50.6250 |
49.9904 |
0.2188 |
0.0000 |
Jul-98 |
10 |
525.00 |
45.6250 |
45.0007 |
0.2813 |
0.0034 |
Jul-98 |
10 |
530.00 |
40.8750 |
40.0254 |
0.4063 |
0.0215 |
Jul-98 |
10 |
535.00 |
35.6250 |
35.0501 |
0.4688 |
0.0396 |
Jul-98 |
10 |
540.00 |
30.7500 |
30.1470 |
0.6563 |
0.1297 |
Jul-98 |
10 |
545.00 |
25.8750 |
25.4671 |
0.8438 |
0.4430 |
Jul-98 |
10 |
550.00 |
21.1875 |
20.7873 |
1.1563 |
0.7564 |
Jul-98 |
10 |
555.00 |
16.8750 |
16.2154 |
1.6563 |
1.1813 |
Jul-98 |
10 |
560.00 |
12.2500 |
12.0386 |
2.4688 |
1.9996 |
Jul-98 |
10 |
565.00 |
8.3750 |
7.8618 |
3.7500 |
2.8194 |
Jul-98 |
10 |
570.00 |
5.1875 |
3.9903 |
5.6250 |
3.9480 |
Jul-98 |
10 |
575.00 |
2.9375 |
2.8672 |
8.3750 |
7.8203 |
Jul-98 |
10 |
580.00 |
1.4688 |
1.7441 |
12.0000 |
11.6974 |
Jul-98 |
10 |
590.00 |
0.3125 |
0.3811 |
21.1250 |
20.4873 |
Jul-98 |
10 |
600.00 |
0.0938 |
0.1023 |
31.1250 |
30.4567 |
Aug-98 |
45 |
530.00 |
45.6250 |
42.5879 |
3.4375 |
0.8566 |
Aug-98 |
45 |
535.00 |
40.8750 |
38.1261 |
3.8125 |
1.3839 |
Aug-98 |
45 |
540.00 |
36.6250 |
33.8188 |
4.5625 |
2.0659 |
Aug-98 |
45 |
545.00 |
32.1250 |
29.9902 |
5.1875 |
3.2109 |
Aug-98 |
45 |
550.00 |
28.1250 |
26.1616 |
6.2500 |
4.3570 |
Aug-98 |
45 |
555.00 |
24.3750 |
22.3988 |
7.5000 |
5.5779 |
Aug-98 |
45 |
560.00 |
20.2500 |
18.8769 |
8.5625 |
7.0364 |
Aug-98 |
45 |
565.00 |
16.7500 |
15.3549 |
10.2500 |
8.5089 |
Aug-98 |
45 |
570.00 |
13.7500 |
11.9605 |
12.0625 |
10.1215 |
Aug-98 |
45 |
575.00 |
11.1250 |
9.7137 |
14.5000 |
12.8558 |
Aug-98 |
45 |
580.00 |
8.6250 |
7.4669 |
17.2500 |
15.6093 |
Aug-98 |
45 |
585.00 |
6.7500 |
5.2201 |
20.6250 |
18.4515 |
Aug-98 |
45 |
590.00 |
4.6875 |
4.1054 |
23.5000 |
22.4001 |
Sep-98 |
73 |
500.00 |
76.8750 |
73.7877 |
2.9375 |
0.9621 |
Sep-98 |
73 |
510.00 |
67.7500 |
64.2420 |
3.8125 |
1.3321 |
Sep-98 |
73 |
520.00 |
58.6250 |
54.9115 |
4.8125 |
1.9183 |
Sep-98 |
73 |
530.00 |
50.0000 |
46.1807 |
6.2500 |
3.1244 |
Sep-98 |
73 |
535.00 |
45.6250 |
42.0192 |
6.8750 |
3.9381 |
Sep-98 |
73 |
540.00 |
41.3750 |
37.9814 |
7.7500 |
4.8759 |
Sep-98 |
73 |
550.00 |
33.6250 |
30.6715 |
10.0625 |
7.4810 |
Sep-98 |
73 |
560.00 |
26.2500 |
23.6382 |
12.8750 |
10.3777 |
Sep-98 |
73 |
570.00 |
19.8750 |
16.8768 |
16.3750 |
13.5853 |
Sep-98 |
73 |
580.00 |
14.2500 |
11.8867 |
21.1250 |
18.5532 |
Sep-98 |
73 |
590.00 |
9.7500 |
7.8455 |
27.0000 |
24.6624 |
Sep-98 |
73 |
600.00 |
6.1250 |
4.9693 |
33.6250 |
32.1105 |