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 :567.72, Ask: 568.30
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
8 |
520.00 |
49.5625 |
48.4029 |
0.1563 |
0.0000 |
Jul-98 |
8 |
525.00 |
44.1250 |
43.4096 |
0.2188 |
0.0013 |
Jul-98 |
8 |
530.00 |
39.1250 |
38.4178 |
0.2813 |
0.0040 |
Jul-98 |
8 |
535.00 |
34.1250 |
33.4259 |
0.3125 |
0.0067 |
Jul-98 |
8 |
540.00 |
29.6875 |
28.6216 |
0.4063 |
0.1969 |
Jul-98 |
8 |
545.00 |
24.2500 |
23.9862 |
0.5313 |
0.5566 |
Jul-98 |
8 |
550.00 |
19.3750 |
19.3509 |
0.7188 |
0.9197 |
Jul-98 |
8 |
555.00 |
14.6250 |
14.8007 |
1.1563 |
1.3677 |
Jul-98 |
8 |
560.00 |
10.1250 |
10.3342 |
1.9063 |
1.8980 |
Jul-98 |
8 |
565.00 |
6.5625 |
5.8677 |
3.1250 |
2.4284 |
Jul-98 |
8 |
570.00 |
3.6250 |
2.8260 |
5.1250 |
4.3832 |
Jul-98 |
8 |
575.00 |
1.5313 |
1.9393 |
8.7500 |
8.4917 |
Jul-98 |
8 |
580.00 |
0.5938 |
1.0527 |
12.3750 |
12.6019 |
Jul-98 |
8 |
585.00 |
0.2188 |
0.3273 |
17.2500 |
17.0073 |
Jul-98 |
8 |
590.00 |
0.1563 |
0.2306 |
22.1250 |
21.9898 |
Aug-98 |
43 |
530.00 |
44.1250 |
42.0848 |
3.3125 |
1.9153 |
Aug-98 |
43 |
535.00 |
39.6250 |
37.5206 |
3.9375 |
2.3236 |
Aug-98 |
43 |
540.00 |
35.2500 |
33.1726 |
4.5625 |
2.9496 |
Aug-98 |
43 |
545.00 |
31.0000 |
29.0196 |
5.3750 |
3.7695 |
Aug-98 |
43 |
550.00 |
27.0000 |
24.8665 |
6.4375 |
4.5930 |
Aug-98 |
43 |
555.00 |
23.1250 |
21.0814 |
7.5625 |
5.7907 |
Aug-98 |
43 |
560.00 |
19.6250 |
17.6578 |
9.3750 |
7.3477 |
Aug-98 |
43 |
565.00 |
16.0000 |
14.2342 |
10.7500 |
8.9246 |
Aug-98 |
43 |
570.00 |
13.1250 |
11.3406 |
12.7500 |
11.0550 |
Aug-98 |
43 |
575.00 |
10.5000 |
9.2487 |
15.1250 |
13.9914 |
Aug-98 |
43 |
580.00 |
8.2500 |
7.1569 |
18.1250 |
16.9601 |
Aug-98 |
43 |
585.00 |
5.8750 |
5.3045 |
21.0000 |
20.2016 |
Aug-98 |
43 |
590.00 |
4.3125 |
4.3851 |
24.5000 |
24.3086 |
Sep-98 |
71 |
500.00 |
75.7500 |
72.8042 |
3.1875 |
1.5298 |
Sep-98 |
71 |
510.00 |
66.3750 |
63.5451 |
3.8125 |
2.1794 |
Sep-98 |
71 |
520.00 |
57.3750 |
54.5403 |
4.8125 |
3.0838 |
Sep-98 |
71 |
530.00 |
48.7500 |
45.8416 |
6.3750 |
4.2979 |
Sep-98 |
71 |
535.00 |
44.3750 |
41.5483 |
7.0000 |
4.9637 |
Sep-98 |
71 |
540.00 |
40.2500 |
37.4436 |
8.0000 |
5.8204 |
Sep-98 |
71 |
550.00 |
32.0000 |
29.5746 |
9.8750 |
7.8772 |
Sep-98 |
71 |
560.00 |
25.6250 |
22.6766 |
13.6250 |
10.9188 |
Sep-98 |
71 |
570.00 |
18.7500 |
16.4562 |
16.8750 |
14.6815 |
Sep-98 |
71 |
580.00 |
14.0000 |
11.6754 |
22.3750 |
19.9232 |
Sep-98 |
71 |
590.00 |
9.1250 |
8.0235 |
27.7500 |
26.4858 |
Sep-98 |
71 |
600.00 |
6.0000 |
5.1176 |
34.8750 |
33.9115 |