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 580.83, Ask: 581.34
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
36 |
540.00 |
44.5625 |
44.7892 |
2.1875 |
1.8653 |
Aug-98 |
36 |
545.00 |
40.2500 |
40.1143 |
2.5625 |
2.1669 |
Aug-98 |
36 |
550.00 |
35.7500 |
35.4550 |
3.0625 |
2.4858 |
Aug-98 |
36 |
555.00 |
31.1250 |
31.0792 |
3.6875 |
3.0869 |
Aug-98 |
36 |
560.00 |
26.5625 |
26.7035 |
4.4375 |
3.6891 |
Aug-98 |
36 |
565.00 |
22.6250 |
22.3278 |
5.2500 |
4.2976 |
Aug-98 |
36 |
570.00 |
18.7500 |
18.7809 |
6.5000 |
5.7313 |
Aug-98 |
36 |
575.00 |
15.0000 |
15.2677 |
7.9375 |
7.2013 |
Aug-98 |
36 |
580.00 |
11.8750 |
11.7545 |
9.8125 |
8.6894 |
Aug-98 |
36 |
585.00 |
9.1875 |
9.3460 |
12.1250 |
11.2922 |
Aug-98 |
36 |
590.00 |
6.6250 |
7.2436 |
14.6250 |
14.1998 |
Aug-98 |
36 |
595.00 |
4.6250 |
5.1412 |
17.8750 |
17.1631 |
Aug-98 |
36 |
600.00 |
3.1250 |
3.6780 |
21.3750 |
20.8263 |
Sep-98 |
64 |
500.00 |
86.3750 |
84.8996 |
1.9375 |
0.9050 |
Sep-98 |
64 |
510.00 |
77.0000 |
75.3623 |
2.5000 |
1.2853 |
Sep-98 |
64 |
520.00 |
67.2500 |
65.9283 |
3.0625 |
1.7713 |
Sep-98 |
64 |
530.00 |
58.3750 |
56.7937 |
3.9375 |
2.5558 |
Sep-98 |
64 |
535.00 |
53.8750 |
52.2437 |
4.4375 |
2.9702 |
Sep-98 |
64 |
540.00 |
49.5000 |
47.9525 |
5.1875 |
3.6386 |
Sep-98 |
64 |
550.00 |
41.0000 |
39.3786 |
6.7500 |
4.9899 |
Sep-98 |
64 |
560.00 |
32.6250 |
31.1270 |
8.5000 |
6.6661 |
Sep-98 |
64 |
570.00 |
24.7500 |
23.4928 |
10.8750 |
8.9771 |
Sep-98 |
64 |
580.00 |
18.3750 |
16.5261 |
14.6250 |
11.9768 |
Sep-98 |
64 |
590.00 |
12.8750 |
11.4546 |
19.1250 |
16.9018 |
Sep-98 |
64 |
600.00 |
8.2500 |
7.1724 |
24.8750 |
22.8158 |
Oct-98 |
92 |
500.00 |
89.0000 |
86.6787 |
3.4375 |
1.4259 |
Oct-98 |
92 |
510.00 |
80.2500 |
77.3873 |
4.6875 |
2.0176 |
Oct-98 |
92 |
520.00 |
71.2500 |
68.2481 |
5.6250 |
2.7659 |
Oct-98 |
92 |
530.00 |
62.0000 |
59.4581 |
6.3750 |
3.8639 |
Oct-98 |
92 |
540.00 |
53.5000 |
50.8885 |
7.8750 |
5.1905 |
Oct-98 |
92 |
550.00 |
45.2500 |
42.5265 |
9.6250 |
6.7382 |
Oct-98 |
92 |
555.00 |
41.2500 |
38.6109 |
10.6250 |
7.7747 |
Oct-98 |
92 |
560.00 |
37.1250 |
34.6954 |
11.5000 |
8.8181 |
Oct-98 |
92 |
570.00 |
29.5000 |
27.3860 |
14.0000 |
11.4493 |
Oct-98 |
92 |
580.00 |
23.8750 |
20.6406 |
18.2500 |
14.6718 |
Oct-98 |
92 |
590.00 |
18.2500 |
15.3710 |
22.7500 |
19.3831 |
Oct-98 |
92 |
600.00 |
13.5000 |
10.7444 |
28.3750 |
24.8541 |