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 578.59, Ask: 579.33
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
37 |
540.00 |
44.0000 |
42.6426 |
2.3125 |
1.7899 |
Aug-98 |
37 |
545.00 |
39.5000 |
37.9663 |
2.8125 |
2.0899 |
Aug-98 |
37 |
550.00 |
34.8750 |
33.4414 |
3.3125 |
2.5427 |
Aug-98 |
37 |
555.00 |
30.6250 |
29.0985 |
4.0625 |
3.1764 |
Aug-98 |
37 |
560.00 |
26.3750 |
24.7556 |
4.8125 |
3.8124 |
Aug-98 |
37 |
565.00 |
22.3750 |
20.7416 |
6.0000 |
4.7837 |
Aug-98 |
37 |
570.00 |
18.6250 |
17.2771 |
7.2500 |
6.2999 |
Aug-98 |
37 |
575.00 |
14.6875 |
13.8126 |
8.6250 |
7.8238 |
Aug-98 |
37 |
580.00 |
11.5625 |
10.6330 |
10.5000 |
9.6672 |
Aug-98 |
37 |
585.00 |
8.8125 |
8.5379 |
12.8750 |
12.5722 |
Aug-98 |
37 |
590.00 |
6.6250 |
6.4429 |
15.6250 |
15.5059 |
Aug-98 |
37 |
595.00 |
4.9375 |
4.3478 |
19.0000 |
18.5459 |
Aug-98 |
37 |
600.00 |
3.3125 |
3.4059 |
22.6250 |
22.6743 |
Sep-98 |
65 |
500.00 |
85.7500 |
82.8217 |
2.1875 |
0.8988 |
Sep-98 |
65 |
510.00 |
76.2500 |
73.3046 |
2.7500 |
1.2968 |
Sep-98 |
65 |
520.00 |
66.8750 |
63.9000 |
3.3125 |
1.8094 |
Sep-98 |
65 |
530.00 |
57.5000 |
54.7026 |
4.0625 |
2.5298 |
Sep-98 |
65 |
535.00 |
53.0000 |
50.1911 |
4.5625 |
2.9795 |
Sep-98 |
65 |
540.00 |
48.3750 |
45.7863 |
5.0625 |
3.5344 |
Sep-98 |
65 |
550.00 |
40.0000 |
37.1445 |
6.7500 |
4.8212 |
Sep-98 |
65 |
560.00 |
32.1250 |
29.0737 |
9.0000 |
6.6820 |
Sep-98 |
65 |
570.00 |
24.5000 |
21.9649 |
11.4375 |
9.5204 |
Sep-98 |
65 |
580.00 |
17.8750 |
15.4977 |
15.1250 |
13.0461 |
Sep-98 |
65 |
590.00 |
12.6250 |
10.7861 |
20.0000 |
18.3410 |
Sep-98 |
65 |
600.00 |
8.2500 |
7.0167 |
25.8750 |
24.7434 |
Oct-98 |
93 |
500.00 |
88.2500 |
84.7051 |
3.6875 |
1.5219 |
Oct-98 |
93 |
510.00 |
79.0000 |
75.4410 |
4.4375 |
2.1384 |
Oct-98 |
93 |
520.00 |
70.1250 |
66.3310 |
5.5000 |
2.9129 |
Oct-98 |
93 |
530.00 |
61.3750 |
57.4889 |
6.7500 |
3.9569 |
Oct-98 |
93 |
540.00 |
52.6250 |
48.9583 |
8.0000 |
5.3182 |
Oct-98 |
93 |
550.00 |
44.6250 |
40.7073 |
10.0000 |
6.9729 |
Oct-98 |
93 |
555.00 |
40.3750 |
36.8566 |
10.7500 |
8.0738 |
Oct-98 |
93 |
560.00 |
36.7500 |
33.0058 |
12.1250 |
9.1849 |
Oct-98 |
93 |
570.00 |
29.6250 |
26.1245 |
15.0000 |
12.2395 |
Oct-98 |
93 |
580.00 |
23.5000 |
19.7801 |
19.0000 |
15.8870 |
Oct-98 |
93 |
590.00 |
18.2500 |
14.8447 |
24.0000 |
20.9478 |
Oct-98 |
93 |
600.00 |
12.8750 |
10.6883 |
28.7500 |
26.9133 |