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 :565.49, Ask: 565.85
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
9 |
520.00 |
47.7500 |
46.1197 |
0.2813 |
0.0070 |
Jul-98 |
9 |
525.00 |
42.2500 |
41.1497 |
0.3438 |
0.0308 |
Jul-98 |
9 |
530.00 |
37.2500 |
36.1822 |
0.4063 |
0.0572 |
Jul-98 |
9 |
535.00 |
32.3750 |
31.2147 |
0.5313 |
0.0837 |
Jul-98 |
9 |
540.00 |
27.3750 |
26.4369 |
0.6563 |
0.2999 |
Jul-98 |
9 |
545.00 |
22.6250 |
21.6653 |
0.9063 |
0.5222 |
Jul-98 |
9 |
550.00 |
18.0000 |
16.8936 |
1.3125 |
0.7456 |
Jul-98 |
9 |
555.00 |
13.8125 |
12.8274 |
1.9375 |
1.6743 |
Jul-98 |
9 |
560.00 |
9.2500 |
8.7908 |
2.9375 |
2.6331 |
Jul-98 |
9 |
565.00 |
6.0625 |
4.7543 |
4.6250 |
3.5941 |
Jul-98 |
9 |
570.00 |
3.5625 |
3.2285 |
7.0625 |
7.0714 |
Jul-98 |
9 |
575.00 |
1.7188 |
2.0912 |
10.6250 |
10.9360 |
Jul-98 |
9 |
580.00 |
0.7188 |
0.9540 |
14.5000 |
14.8153 |
Jul-98 |
9 |
590.00 |
0.1563 |
0.3263 |
24.2500 |
24.3109 |
Jul-98 |
9 |
600.00 |
0.0000 |
0.0645 |
34.5000 |
34.2863 |
Aug-98 |
44 |
530.00 |
42.5000 |
40.0033 |
3.6875 |
2.1341 |
Aug-98 |
44 |
535.00 |
37.8750 |
35.5416 |
4.1875 |
2.6539 |
Aug-98 |
44 |
540.00 |
33.7500 |
31.5480 |
5.1875 |
3.6357 |
Aug-98 |
44 |
545.00 |
29.3750 |
27.5696 |
5.8750 |
4.6346 |
Aug-98 |
44 |
550.00 |
25.5000 |
23.5911 |
7.0000 |
5.6450 |
Aug-98 |
44 |
555.00 |
21.5000 |
20.1801 |
8.2500 |
7.2144 |
Aug-98 |
44 |
560.00 |
18.2500 |
16.7930 |
9.7500 |
8.8125 |
Aug-98 |
44 |
565.00 |
15.0625 |
13.4058 |
11.7500 |
10.4314 |
Aug-98 |
44 |
570.00 |
12.1875 |
11.0391 |
13.6875 |
13.0591 |
Aug-98 |
44 |
575.00 |
9.3750 |
8.8303 |
16.2500 |
15.8483 |
Aug-98 |
44 |
580.00 |
7.3750 |
6.6215 |
19.3750 |
18.6883 |
Aug-98 |
44 |
585.00 |
5.6250 |
5.2017 |
22.7500 |
22.3385 |
Aug-98 |
44 |
590.00 |
3.9375 |
4.1442 |
26.2500 |
26.3309 |
Sep-98 |
72 |
500.00 |
73.5000 |
70.5440 |
2.9375 |
1.5684 |
Sep-98 |
72 |
510.00 |
64.2500 |
61.3793 |
3.6875 |
2.3174 |
Sep-98 |
72 |
520.00 |
55.8750 |
52.4447 |
5.3750 |
3.3012 |
Sep-98 |
72 |
530.00 |
46.7500 |
44.0378 |
6.5000 |
4.8125 |
Sep-98 |
72 |
535.00 |
42.6250 |
39.8489 |
7.3750 |
5.5944 |
Sep-98 |
72 |
540.00 |
38.6250 |
36.0538 |
8.3750 |
6.7597 |
Sep-98 |
72 |
550.00 |
31.0000 |
28.4892 |
10.8750 |
9.1347 |
Sep-98 |
72 |
560.00 |
23.8750 |
21.8131 |
13.8750 |
12.3982 |
Sep-98 |
72 |
570.00 |
17.7500 |
15.9216 |
17.8750 |
16.4876 |
Sep-98 |
72 |
580.00 |
13.0000 |
11.0336 |
23.3750 |
21.6365 |
Sep-98 |
72 |
590.00 |
8.5000 |
7.7837 |
29.1250 |
28.4851 |
Sep-98 |
72 |
600.00 |
5.3750 |
5.0975 |
36.2500 |
36.0670 |