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 575.78, Ask: 576.24
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Jul-98 |
4 |
520.00 |
56.6250 |
56.2052 |
0.0938 |
0.0000 |
Jul-98 |
4 |
525.00 |
51.6250 |
51.2080 |
0.0938 |
0.0000 |
Jul-98 |
4 |
530.00 |
46.5000 |
46.2107 |
0.0938 |
0.0000 |
Jul-98 |
4 |
535.00 |
41.8750 |
41.2135 |
0.1563 |
0.0000 |
Jul-98 |
4 |
540.00 |
36.6250 |
36.2163 |
0.1563 |
0.0001 |
Jul-98 |
4 |
545.00 |
31.6250 |
31.2194 |
0.1875 |
0.0004 |
Jul-98 |
4 |
550.00 |
26.6250 |
26.2459 |
0.2188 |
0.0243 |
Jul-98 |
4 |
555.00 |
21.6250 |
21.2725 |
0.3125 |
0.0482 |
Jul-98 |
4 |
560.00 |
16.6250 |
16.2990 |
0.4063 |
0.0722 |
Jul-98 |
4 |
565.00 |
12.0000 |
11.7215 |
0.8438 |
0.4919 |
Jul-98 |
4 |
570.00 |
7.4375 |
7.1655 |
1.3438 |
0.9333 |
Jul-98 |
4 |
575.00 |
3.9375 |
2.6096 |
2.8750 |
1.3769 |
Jul-98 |
4 |
580.00 |
1.5313 |
1.3477 |
5.6875 |
5.1182 |
Jul-98 |
4 |
585.00 |
0.5313 |
0.9197 |
9.7500 |
9.6884 |
Jul-98 |
4 |
590.00 |
0.1563 |
0.4916 |
14.5000 |
14.2587 |
Aug-98 |
39 |
540.00 |
41.5000 |
39.9867 |
3.3125 |
1.9770 |
Aug-98 |
39 |
545.00 |
37.0000 |
35.4255 |
3.8125 |
2.3927 |
Aug-98 |
39 |
550.00 |
32.7500 |
31.2499 |
4.6250 |
3.1920 |
Aug-98 |
39 |
555.00 |
28.5000 |
27.0742 |
5.5000 |
3.9926 |
Aug-98 |
39 |
560.00 |
24.6250 |
22.8985 |
6.5625 |
4.8006 |
Aug-98 |
39 |
565.00 |
20.9375 |
19.4032 |
8.2500 |
6.2851 |
Aug-98 |
39 |
570.00 |
17.3750 |
15.9451 |
9.4375 |
7.8101 |
Aug-98 |
39 |
575.00 |
14.2500 |
12.4870 |
11.1875 |
9.3581 |
Aug-98 |
39 |
580.00 |
10.8750 |
10.2055 |
13.2500 |
12.0836 |
Aug-98 |
39 |
585.00 |
8.6250 |
8.2217 |
16.0000 |
15.1234 |
Aug-98 |
39 |
590.00 |
6.3750 |
6.2380 |
19.0000 |
18.1935 |
Aug-98 |
39 |
595.00 |
4.8125 |
4.8313 |
22.3750 |
21.8519 |
Aug-98 |
39 |
600.00 |
3.2500 |
3.8795 |
26.0000 |
25.9363 |
Sep-98 |
67 |
500.00 |
82.3750 |
80.0074 |
2.3750 |
0.9341 |
Sep-98 |
67 |
510.00 |
73.1250 |
70.6163 |
3.0625 |
1.4549 |
Sep-98 |
67 |
520.00 |
64.0000 |
61.3982 |
3.9375 |
2.1512 |
Sep-98 |
67 |
530.00 |
54.7500 |
52.3561 |
4.8125 |
3.0275 |
Sep-98 |
67 |
535.00 |
50.5000 |
48.0577 |
5.6250 |
3.6870 |
Sep-98 |
67 |
540.00 |
46.2500 |
43.7610 |
6.3750 |
4.3503 |
Sep-98 |
67 |
550.00 |
38.0000 |
35.5334 |
8.3750 |
6.0503 |
Sep-98 |
67 |
560.00 |
30.6250 |
27.6626 |
11.1250 |
8.1235 |
Sep-98 |
67 |
570.00 |
23.3750 |
21.0844 |
13.6250 |
11.4897 |
Sep-98 |
67 |
580.00 |
17.2500 |
15.2766 |
18.0000 |
15.6774 |
Sep-98 |
67 |
590.00 |
11.5000 |
10.5774 |
22.5000 |
21.0284 |
Sep-98 |
67 |
600.00 |
7.7500 |
7.3255 |
29.0000 |
27.9471 |