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 :Bid 569.65, Ask: 569.97
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
5 |
520.00 |
50.7500 |
50.0565 |
0.0938 |
0.0013 |
Jul-98 |
5 |
525.00 |
45.7500 |
45.0619 |
0.1563 |
0.0033 |
Jul-98 |
5 |
530.00 |
40.8750 |
40.0766 |
0.1563 |
0.0146 |
Jul-98 |
5 |
535.00 |
35.7500 |
35.0914 |
0.2188 |
0.0258 |
Jul-98 |
5 |
540.00 |
30.7500 |
30.1157 |
0.2813 |
0.0468 |
Jul-98 |
5 |
545.00 |
25.7500 |
25.1826 |
0.3438 |
0.1104 |
Jul-98 |
5 |
550.00 |
20.7500 |
20.2496 |
0.4688 |
0.1739 |
Jul-98 |
5 |
555.00 |
16.0000 |
15.4038 |
0.7188 |
0.3249 |
Jul-98 |
5 |
560.00 |
11.0625 |
11.0365 |
1.0938 |
0.9544 |
Jul-98 |
5 |
565.00 |
7.1875 |
6.6692 |
2.2188 |
1.5840 |
Jul-98 |
5 |
570.00 |
3.8125 |
2.4408 |
3.7500 |
2.3593 |
Jul-98 |
5 |
575.00 |
1.6563 |
1.7254 |
6.8750 |
6.6437 |
Jul-98 |
5 |
580.00 |
0.5313 |
1.0101 |
10.7500 |
10.9295 |
Jul-98 |
5 |
585.00 |
0.1875 |
0.2948 |
15.5000 |
15.2372 |
Jul-98 |
5 |
590.00 |
0.0938 |
0.1337 |
20.6250 |
20.1898 |
Aug-98 |
40 |
530.00 |
45.6250 |
43.7042 |
3.1875 |
1.8864 |
Aug-98 |
40 |
535.00 |
41.0000 |
39.0707 |
3.6875 |
2.2263 |
Aug-98 |
40 |
540.00 |
36.7500 |
34.5122 |
4.4375 |
2.6429 |
Aug-98 |
40 |
545.00 |
32.3750 |
30.2832 |
5.1875 |
3.3877 |
Aug-98 |
40 |
550.00 |
28.2500 |
26.0542 |
6.0000 |
4.1339 |
Aug-98 |
40 |
555.00 |
24.5000 |
21.9530 |
7.3750 |
5.0170 |
Aug-98 |
40 |
560.00 |
20.6250 |
18.5525 |
8.6250 |
6.5963 |
Aug-98 |
40 |
565.00 |
16.8750 |
15.1520 |
9.8750 |
8.1939 |
Aug-98 |
40 |
570.00 |
13.8750 |
11.7992 |
11.9375 |
9.8718 |
Aug-98 |
40 |
575.00 |
10.6875 |
9.6527 |
13.8750 |
12.7187 |
Aug-98 |
40 |
580.00 |
8.6250 |
7.5063 |
16.8750 |
15.5946 |
Aug-98 |
40 |
585.00 |
6.1250 |
5.3598 |
19.6250 |
18.5291 |
Aug-98 |
40 |
590.00 |
4.5625 |
4.1757 |
23.0000 |
22.4065 |
Sep-98 |
68 |
500.00 |
77.0000 |
74.5113 |
2.7500 |
1.5823 |
Sep-98 |
68 |
510.00 |
67.7500 |
65.1726 |
3.5625 |
2.1570 |
Sep-98 |
68 |
520.00 |
58.6250 |
56.1036 |
4.4375 |
3.0007 |
Sep-98 |
68 |
530.00 |
49.8750 |
47.2618 |
5.8750 |
4.0759 |
Sep-98 |
68 |
535.00 |
45.3750 |
42.9277 |
6.3750 |
4.7013 |
Sep-98 |
68 |
540.00 |
41.3750 |
38.6637 |
7.5000 |
5.4015 |
Sep-98 |
68 |
550.00 |
33.6250 |
30.7515 |
9.8750 |
7.4129 |
Sep-98 |
68 |
560.00 |
26.3750 |
23.6082 |
12.7500 |
10.2087 |
Sep-98 |
68 |
570.00 |
19.6250 |
17.0622 |
16.1250 |
13.6373 |
Sep-98 |
68 |
580.00 |
14.6250 |
12.2786 |
21.3750 |
18.8446 |
Sep-98 |
68 |
590.00 |
9.8750 |
8.2640 |
26.8750 |
24.9637 |
Sep-98 |
68 |
600.00 |
6.5000 |
5.3240 |
33.7500 |
32.2781 |