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 567.40, Ask: 567.76
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
31 |
540.00 |
34.1250 |
32.7183 |
3.9375 |
3.5462 |
Aug-98 |
31 |
545.00 |
29.8750 |
28.5451 |
4.6250 |
4.3545 |
Aug-98 |
31 |
550.00 |
25.7500 |
24.3719 |
5.6250 |
5.1663 |
Aug-98 |
31 |
555.00 |
21.8750 |
20.6125 |
6.6250 |
6.3949 |
Aug-98 |
31 |
560.00 |
18.0000 |
17.1429 |
8.0625 |
7.9109 |
Aug-98 |
31 |
565.00 |
14.9375 |
13.6733 |
9.6250 |
9.4354 |
Aug-98 |
31 |
570.00 |
11.5625 |
10.8014 |
11.7500 |
11.5714 |
Aug-98 |
31 |
575.00 |
8.8125 |
8.5669 |
14.0000 |
14.3340 |
Aug-98 |
31 |
580.00 |
6.6875 |
6.3323 |
17.0000 |
17.1194 |
Aug-98 |
31 |
585.00 |
4.6875 |
4.4606 |
20.2500 |
20.3267 |
Aug-98 |
31 |
590.00 |
3.1875 |
3.4659 |
24.2500 |
24.3673 |
Aug-98 |
31 |
595.00 |
2.2188 |
2.4712 |
28.0000 |
28.4634 |
Aug-98 |
31 |
600.00 |
1.3750 |
1.4843 |
32.5000 |
32.7175 |
Sep-98 |
59 |
500.00 |
75.3750 |
71.9316 |
3.1250 |
1.6385 |
Sep-98 |
59 |
510.00 |
66.0000 |
62.7494 |
3.8125 |
2.3831 |
Sep-98 |
59 |
520.00 |
57.2500 |
53.8552 |
5.0625 |
3.4170 |
Sep-98 |
59 |
530.00 |
48.1250 |
45.3410 |
6.0000 |
4.8346 |
Sep-98 |
59 |
535.00 |
43.7500 |
41.1400 |
6.7500 |
5.6030 |
Sep-98 |
59 |
540.00 |
39.7500 |
37.1367 |
7.7500 |
6.5707 |
Sep-98 |
59 |
550.00 |
31.7500 |
29.3861 |
10.0000 |
8.7668 |
Sep-98 |
59 |
560.00 |
24.7500 |
22.5166 |
13.1250 |
11.8552 |
Sep-98 |
59 |
570.00 |
18.0000 |
16.2811 |
16.3750 |
15.6143 |
Sep-98 |
59 |
580.00 |
12.5000 |
11.3156 |
21.1250 |
20.6596 |
Sep-98 |
59 |
590.00 |
8.2500 |
7.5711 |
27.1250 |
27.0038 |
Sep-98 |
59 |
600.00 |
5.3750 |
4.5035 |
34.6250 |
34.2240 |
Oct-98 |
87 |
500.00 |
78.5000 |
74.1754 |
5.1875 |
2.6188 |
Oct-98 |
87 |
510.00 |
69.6250 |
65.2844 |
6.2500 |
3.6255 |
Oct-98 |
87 |
520.00 |
61.0000 |
56.7198 |
7.6250 |
4.9614 |
Oct-98 |
87 |
530.00 |
52.6250 |
48.5662 |
9.2500 |
6.7149 |
Oct-98 |
87 |
540.00 |
44.6250 |
40.7359 |
11.2500 |
8.8062 |
Oct-98 |
87 |
550.00 |
37.0000 |
33.3685 |
13.6250 |
11.3715 |
Oct-98 |
87 |
555.00 |
33.2500 |
29.9716 |
14.8750 |
12.9503 |
Oct-98 |
87 |
560.00 |
30.0000 |
26.7756 |
16.6250 |
14.7262 |
Oct-98 |
87 |
570.00 |
23.3750 |
20.7008 |
20.0000 |
18.6445 |
Oct-98 |
87 |
580.00 |
17.7500 |
15.6199 |
24.6250 |
23.5722 |
Oct-98 |
87 |
590.00 |
13.5000 |
11.4960 |
30.6250 |
29.5229 |
Oct-98 |
87 |
600.00 |
9.5000 |
7.9037 |
37.0000 |
36.1534 |