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 577.91, Ask: 578.45
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
33 |
540.00 |
43.7500 |
41.2895 |
|
1.4194 |
Aug-98 |
33 |
545.00 |
39.0000 |
36.6125 |
2.5938 |
1.7215 |
Aug-98 |
33 |
550.00 |
34.6250 |
32.1257 |
3.1875 |
2.2148 |
Aug-98 |
33 |
555.00 |
30.1250 |
27.7650 |
3.7500 |
2.8335 |
Aug-98 |
33 |
560.00 |
26.0000 |
23.4042 |
4.6250 |
3.4549 |
Aug-98 |
33 |
565.00 |
22.0000 |
19.4986 |
5.6250 |
4.5364 |
Aug-98 |
33 |
570.00 |
17.8750 |
16.0030 |
6.8125 |
6.0243 |
Aug-98 |
33 |
575.00 |
14.7500 |
12.5074 |
8.2500 |
7.5211 |
Aug-98 |
33 |
580.00 |
11.5000 |
9.5384 |
10.3125 |
9.5724 |
Aug-98 |
33 |
585.00 |
8.6875 |
7.4895 |
12.6250 |
12.5256 |
Aug-98 |
33 |
590.00 |
6.3125 |
5.4407 |
15.5000 |
15.5100 |
Aug-98 |
33 |
595.00 |
4.4375 |
3.5340 |
18.7500 |
18.7462 |
Aug-98 |
33 |
600.00 |
2.9063 |
2.7423 |
22.3750 |
23.0174 |
Sep-98 |
61 |
500.00 |
85.2500 |
81.5676 |
|
0.6011 |
Sep-98 |
61 |
510.00 |
75.6250 |
72.0045 |
|
0.9576 |
Sep-98 |
61 |
520.00 |
66.5000 |
62.5713 |
|
1.4461 |
Sep-98 |
61 |
530.00 |
57.3750 |
53.3502 |
|
2.1480 |
Sep-98 |
61 |
535.00 |
52.8750 |
48.8699 |
|
2.6311 |
Sep-98 |
61 |
540.00 |
48.5000 |
44.4789 |
|
3.2026 |
Sep-98 |
61 |
550.00 |
39.6250 |
35.9263 |
|
4.5842 |
Sep-98 |
61 |
560.00 |
31.6250 |
27.9068 |
|
6.5046 |
Sep-98 |
61 |
570.00 |
24.1250 |
20.9446 |
11.3750 |
9.4956 |
Sep-98 |
61 |
580.00 |
17.6250 |
14.6675 |
14.8750 |
13.2157 |
Sep-98 |
61 |
590.00 |
12.2500 |
9.9935 |
20.6250 |
18.5561 |
Sep-98 |
61 |
600.00 |
8.0000 |
6.4352 |
25.8750 |
25.1491 |
Oct-98 |
89 |
500.00 |
87.8750 |
83.4110 |
|
1.1815 |
Oct-98 |
89 |
510.00 |
78.6250 |
74.1115 |
|
1.7672 |
Oct-98 |
89 |
520.00 |
69.8750 |
64.9868 |
|
2.5321 |
Oct-98 |
89 |
530.00 |
61.0000 |
56.1349 |
|
3.5725 |
Oct-98 |
89 |
540.00 |
52.3750 |
47.6853 |
|
5.0206 |
Oct-98 |
89 |
550.00 |
44.3750 |
39.5709 |
|
6.8184 |
Oct-98 |
89 |
555.00 |
40.3750 |
35.7837 |
|
7.9866 |
Oct-98 |
89 |
560.00 |
36.8750 |
31.9965 |
|
9.1666 |
Oct-98 |
89 |
570.00 |
29.5000 |
25.3309 |
15.1250 |
12.4422 |
Oct-98 |
89 |
580.00 |
23.1250 |
19.2247 |
18.6250 |
16.3304 |
Oct-98 |
89 |
590.00 |
17.5000 |
14.3644 |
23.3750 |
21.4752 |
Oct-98 |
89 |
600.00 |
12.6250 |
10.3868 |
28.6250 |
27.5994 |