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 555.88, Ask: 556.10
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
30 |
540.00 |
25.7500 |
25.0595 |
7.1875 |
7.5376 |
Aug-98 |
30 |
545.00 |
22.0000 |
21.7235 |
8.7500 |
9.1895 |
Aug-98 |
30 |
550.00 |
18.5000 |
18.4747 |
10.0000 |
10.9300 |
Aug-98 |
30 |
555.00 |
15.1250 |
15.2260 |
11.7500 |
12.6833 |
Aug-98 |
30 |
560.00 |
12.1875 |
12.6359 |
14.0000 |
15.0924 |
Aug-98 |
30 |
565.00 |
9.3750 |
10.2085 |
16.3750 |
17.6654 |
Aug-98 |
30 |
570.00 |
7.3125 |
7.7810 |
19.5000 |
20.2640 |
Aug-98 |
30 |
575.00 |
5.5000 |
6.0561 |
22.6250 |
23.5709 |
Aug-98 |
30 |
580.00 |
3.9375 |
4.6681 |
26.3750 |
27.2070 |
Aug-98 |
30 |
585.00 |
2.7500 |
3.2801 |
30.5000 |
30.8938 |
Aug-98 |
30 |
590.00 |
1.8438 |
2.2820 |
34.7500 |
35.0135 |
Aug-98 |
30 |
595.00 |
1.2813 |
1.7382 |
39.6250 |
39.5516 |
Aug-98 |
30 |
600.00 |
0.8438 |
1.1945 |
44.5000 |
44.1582 |
Sep-98 |
58 |
500.00 |
65.0000 |
61.8928 |
4.5625 |
3.2218 |
Sep-98 |
58 |
510.00 |
55.8750 |
53.3609 |
5.8125 |
4.6230 |
Sep-98 |
58 |
520.00 |
47.3750 |
45.3475 |
7.3750 |
6.5470 |
Sep-98 |
58 |
530.00 |
39.1250 |
37.7342 |
9.3750 |
8.8820 |
Sep-98 |
58 |
535.00 |
35.3750 |
34.1526 |
10.2500 |
10.2743 |
Sep-98 |
58 |
540.00 |
31.3750 |
30.5709 |
11.3750 |
11.6778 |
Sep-98 |
58 |
550.00 |
25.0000 |
24.2114 |
15.1250 |
15.2816 |
Sep-98 |
58 |
560.00 |
18.5000 |
18.3996 |
18.6250 |
19.4661 |
Sep-98 |
58 |
570.00 |
13.1250 |
13.3033 |
23.5000 |
24.3947 |
Sep-98 |
58 |
580.00 |
9.0625 |
9.4436 |
29.5000 |
30.5852 |
Sep-98 |
58 |
590.00 |
5.7500 |
6.1630 |
36.7500 |
37.4661 |
Sep-98 |
58 |
600.00 |
3.4375 |
4.0143 |
44.8750 |
45.5214 |
Oct-98 |
86 |
500.00 |
68.6250 |
64.7789 |
7.0000 |
4.8474 |
Oct-98 |
86 |
510.00 |
60.1250 |
56.5808 |
8.5000 |
6.5576 |
Oct-98 |
86 |
520.00 |
51.7500 |
48.8829 |
10.1250 |
8.7746 |
Oct-98 |
86 |
530.00 |
44.2500 |
41.5612 |
12.6250 |
11.3847 |
Oct-98 |
86 |
540.00 |
37.3750 |
34.6591 |
15.7500 |
14.4305 |
Oct-98 |
86 |
550.00 |
29.8750 |
28.4846 |
18.2500 |
18.2098 |
Oct-98 |
86 |
555.00 |
26.8750 |
25.4285 |
20.2500 |
20.1568 |
Oct-98 |
86 |
560.00 |
23.7500 |
22.7791 |
22.1250 |
22.5003 |
Oct-98 |
86 |
570.00 |
17.7500 |
17.6812 |
26.3750 |
27.4308 |
Oct-98 |
86 |
580.00 |
13.8750 |
13.5714 |
32.7500 |
33.3705 |
Oct-98 |
86 |
590.00 |
9.5000 |
9.9314 |
38.7500 |
39.8790 |
Oct-98 |
86 |
600.00 |
6.8750 |
7.2198 |
46.5000 |
47.3436 |