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 568.43, Ask: 568.86
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
32 |
540.00 |
35.1250 |
33.9177 |
4.0625 |
3.6317 |
Aug-98 |
32 |
545.00 |
30.6250 |
29.8102 |
4.8750 |
4.5051 |
Aug-98 |
32 |
550.00 |
26.7500 |
25.7027 |
5.8125 |
5.3814 |
Aug-98 |
32 |
555.00 |
22.6250 |
21.8644 |
6.8750 |
6.5326 |
Aug-98 |
32 |
560.00 |
19.0000 |
18.4638 |
8.2500 |
8.1167 |
Aug-98 |
32 |
565.00 |
15.5000 |
15.0631 |
9.7500 |
9.7076 |
Aug-98 |
32 |
570.00 |
12.4375 |
11.9702 |
11.8125 |
11.6247 |
Aug-98 |
32 |
575.00 |
9.4375 |
9.7052 |
13.7500 |
14.3548 |
Aug-98 |
32 |
580.00 |
7.1875 |
7.4403 |
16.5000 |
17.1018 |
Aug-98 |
32 |
585.00 |
5.1875 |
5.2618 |
19.8750 |
19.9991 |
Aug-98 |
32 |
590.00 |
3.6875 |
4.1703 |
23.3750 |
23.9334 |
Aug-98 |
32 |
595.00 |
2.5000 |
3.0788 |
28.0000 |
27.9067 |
Aug-98 |
32 |
600.00 |
1.6563 |
1.9873 |
31.7500 |
32.0002 |
Sep-98 |
60 |
500.00 |
75.7500 |
72.9530 |
2.6875 |
1.5522 |
Sep-98 |
60 |
510.00 |
66.8750 |
63.7504 |
3.9375 |
2.2759 |
Sep-98 |
60 |
520.00 |
57.6250 |
54.8883 |
4.6875 |
3.3405 |
Sep-98 |
60 |
530.00 |
48.8750 |
46.3799 |
6.0000 |
4.7646 |
Sep-98 |
60 |
535.00 |
44.5000 |
42.2112 |
6.7500 |
5.5647 |
Sep-98 |
60 |
540.00 |
40.3750 |
38.1845 |
7.6250 |
6.5112 |
Sep-98 |
60 |
550.00 |
32.1250 |
30.5472 |
9.7500 |
8.8191 |
Sep-98 |
60 |
560.00 |
25.1250 |
23.6873 |
12.6250 |
11.9203 |
Sep-98 |
60 |
570.00 |
18.6250 |
17.3911 |
16.2500 |
15.6211 |
Sep-98 |
60 |
580.00 |
13.1250 |
12.4681 |
21.5000 |
20.6994 |
Sep-98 |
60 |
590.00 |
8.5000 |
8.4942 |
26.6250 |
26.8077 |
Sep-98 |
60 |
600.00 |
5.6250 |
5.3393 |
34.1250 |
33.8568 |
Oct-98 |
88 |
500.00 |
79.2500 |
75.0367 |
5.1875 |
2.3749 |
Oct-98 |
88 |
510.00 |
69.8750 |
66.0930 |
5.7500 |
3.3297 |
Oct-98 |
88 |
520.00 |
61.1250 |
57.5312 |
7.0000 |
4.6677 |
Oct-98 |
88 |
530.00 |
52.7500 |
49.3518 |
8.6250 |
6.3986 |
Oct-98 |
88 |
540.00 |
44.2500 |
41.5041 |
10.1250 |
8.4776 |
Oct-98 |
88 |
550.00 |
37.1250 |
34.2327 |
13.0000 |
11.1391 |
Oct-98 |
88 |
555.00 |
33.1250 |
30.7899 |
14.0000 |
12.6796 |
Oct-98 |
88 |
560.00 |
29.7500 |
27.6606 |
15.6250 |
14.5223 |
Oct-98 |
88 |
570.00 |
23.1250 |
21.5754 |
19.0000 |
18.4384 |
Oct-98 |
88 |
580.00 |
18.5000 |
16.5974 |
24.6250 |
23.4627 |
Oct-98 |
88 |
590.00 |
13.1250 |
12.3713 |
29.3750 |
29.3150 |
Oct-98 |
88 |
600.00 |
9.6250 |
8.7939 |
36.2500 |
35.9101 |