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 557.69, Ask: 558.22
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
29 |
540.00 |
26.1250 |
25.7423 |
6.2500 |
6.3001 |
Aug-98 |
29 |
545.00 |
22.0000 |
22.0989 |
7.2500 |
7.6473 |
Aug-98 |
29 |
550.00 |
18.6250 |
18.7629 |
8.6875 |
9.2985 |
Aug-98 |
29 |
555.00 |
15.3750 |
15.4268 |
10.2500 |
10.9572 |
Aug-98 |
29 |
560.00 |
12.0000 |
12.4723 |
12.1875 |
13.0092 |
Aug-98 |
29 |
565.00 |
9.3750 |
10.0694 |
14.7500 |
15.6028 |
Aug-98 |
29 |
570.00 |
6.9375 |
7.6664 |
17.8750 |
18.2132 |
Aug-98 |
29 |
575.00 |
5.1875 |
5.5772 |
21.0000 |
21.1754 |
Aug-98 |
29 |
580.00 |
3.5625 |
4.3289 |
25.0000 |
24.9467 |
Aug-98 |
29 |
585.00 |
2.4063 |
3.0805 |
29.0000 |
28.7557 |
Aug-98 |
29 |
590.00 |
1.5313 |
1.8703 |
33.6250 |
32.7252 |
Aug-98 |
29 |
595.00 |
1.0313 |
1.4441 |
38.3750 |
37.3792 |
Aug-98 |
29 |
600.00 |
0.7188 |
1.0180 |
43.3750 |
42.0938 |
Sep-98 |
57 |
500.00 |
66.2500 |
63.2379 |
4.3125 |
2.6486 |
Sep-98 |
57 |
510.00 |
57.3750 |
54.5894 |
5.5000 |
3.9308 |
Sep-98 |
57 |
520.00 |
48.1250 |
46.3316 |
6.3750 |
5.6103 |
Sep-98 |
57 |
530.00 |
40.1250 |
38.4348 |
8.3750 |
7.6604 |
Sep-98 |
57 |
535.00 |
36.3750 |
34.7758 |
9.7500 |
8.9728 |
Sep-98 |
57 |
540.00 |
32.5000 |
31.1167 |
11.0000 |
10.2924 |
Sep-98 |
57 |
550.00 |
25.3750 |
24.4617 |
14.0000 |
13.6010 |
Sep-98 |
57 |
560.00 |
19.0000 |
18.3188 |
17.6250 |
17.4531 |
Sep-98 |
57 |
570.00 |
13.6250 |
13.2146 |
22.6250 |
22.3538 |
Sep-98 |
57 |
580.00 |
9.2500 |
9.1374 |
28.5000 |
28.3351 |
Sep-98 |
57 |
590.00 |
5.7500 |
5.6840 |
35.3750 |
35.0611 |
Sep-98 |
57 |
600.00 |
3.3750 |
3.7351 |
43.3750 |
43.2988 |
Oct-98 |
85 |
500.00 |
70.2500 |
65.9664 |
7.1250 |
4.1151 |
Oct-98 |
85 |
510.00 |
61.1250 |
57.6551 |
8.0000 |
5.7074 |
Oct-98 |
85 |
520.00 |
52.7500 |
49.7285 |
9.6250 |
7.6955 |
Oct-98 |
85 |
530.00 |
45.0000 |
42.1511 |
11.8750 |
10.0483 |
Oct-98 |
85 |
540.00 |
36.7500 |
35.1199 |
13.7500 |
12.9532 |
Oct-98 |
85 |
550.00 |
31.1250 |
28.6882 |
18.0000 |
16.4766 |
Oct-98 |
85 |
555.00 |
27.6250 |
25.5831 |
19.4375 |
18.3634 |
Oct-98 |
85 |
560.00 |
24.2500 |
22.7027 |
21.1250 |
20.4880 |
Oct-98 |
85 |
570.00 |
20.6250 |
17.5913 |
27.7500 |
25.3835 |
Oct-98 |
85 |
580.00 |
13.8750 |
13.2966 |
31.2500 |
31.1477 |
Oct-98 |
85 |
590.00 |
10.2500 |
9.4990 |
38.6250 |
37.5094 |
Oct-98 |
85 |
600.00 |
7.6250 |
6.9422 |
45.7500 |
45.1016 |