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 563.12, Ask: 563.72
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
26 |
540.00 |
30.2500 |
30.7833 |
5.1250 |
6.0260 |
Aug-98 |
26 |
545.00 |
25.8750 |
26.5950 |
5.8750 |
6.8232 |
Aug-98 |
26 |
550.00 |
22.0000 |
22.6010 |
7.0000 |
7.8174 |
Aug-98 |
26 |
555.00 |
18.4375 |
18.9018 |
8.3750 |
9.1042 |
Aug-98 |
26 |
560.00 |
15.0000 |
15.2026 |
10.2500 |
10.3951 |
Aug-98 |
26 |
565.00 |
11.7500 |
11.8929 |
11.9375 |
12.0861 |
Aug-98 |
26 |
570.00 |
9.0000 |
9.4263 |
14.3750 |
14.6113 |
Aug-98 |
26 |
575.00 |
6.7500 |
6.9597 |
17.2500 |
17.1471 |
Aug-98 |
26 |
580.00 |
4.7500 |
4.7047 |
20.6250 |
19.9421 |
Aug-98 |
26 |
585.00 |
3.3125 |
3.6673 |
24.2500 |
23.9189 |
Aug-98 |
26 |
590.00 |
2.1875 |
2.6300 |
28.5000 |
27.9290 |
Aug-98 |
26 |
595.00 |
1.4688 |
1.5926 |
33.1250 |
32.0624 |
Aug-98 |
26 |
600.00 |
0.9688 |
1.1896 |
38.0000 |
36.7689 |
Sep-98 |
54 |
500.00 |
71.0000 |
70.3085 |
3.8125 |
4.4105 |
Sep-98 |
54 |
510.00 |
62.1250 |
61.5483 |
4.9375 |
5.5848 |
Sep-98 |
54 |
520.00 |
53.3750 |
52.9604 |
6.2500 |
6.9343 |
Sep-98 |
54 |
530.00 |
44.7500 |
44.6582 |
7.7500 |
8.5693 |
Sep-98 |
54 |
535.00 |
40.8750 |
40.5910 |
8.7500 |
9.4740 |
Sep-98 |
54 |
540.00 |
36.6250 |
36.6527 |
9.7500 |
10.5057 |
Sep-98 |
54 |
550.00 |
29.2500 |
28.9512 |
12.5000 |
12.7565 |
Sep-98 |
54 |
560.00 |
22.0000 |
21.9559 |
15.3750 |
15.7170 |
Sep-98 |
54 |
570.00 |
15.8750 |
16.0062 |
19.8750 |
19.7418 |
Sep-98 |
54 |
580.00 |
11.1250 |
10.7450 |
25.0000 |
24.5043 |
Sep-98 |
54 |
590.00 |
7.3750 |
7.2976 |
31.5000 |
31.0861 |
Sep-98 |
54 |
600.00 |
4.1875 |
4.5782 |
38.6250 |
38.5404 |
Oct-98 |
82 |
500.00 |
74.2500 |
72.5823 |
5.8750 |
5.4477 |
Oct-98 |
82 |
510.00 |
65.7500 |
64.0746 |
7.3750 |
6.8500 |
Oct-98 |
82 |
520.00 |
58.2500 |
55.7906 |
9.0000 |
8.4829 |
Oct-98 |
82 |
530.00 |
49.2500 |
47.8979 |
10.8750 |
10.5072 |
Oct-98 |
82 |
540.00 |
41.5000 |
40.4200 |
13.1250 |
12.9549 |
Oct-98 |
82 |
550.00 |
34.1250 |
33.2871 |
15.8750 |
15.7634 |
Oct-98 |
82 |
555.00 |
31.2500 |
30.0530 |
18.0000 |
17.4960 |
Oct-98 |
82 |
560.00 |
28.3750 |
26.8189 |
20.1250 |
19.2394 |
Oct-98 |
82 |
570.00 |
22.3750 |
21.1083 |
24.1250 |
23.4943 |
Oct-98 |
82 |
580.00 |
17.0000 |
15.8930 |
29.1250 |
28.2896 |
Oct-98 |
82 |
590.00 |
12.6250 |
11.9471 |
35.0000 |
34.3509 |
Oct-98 |
82 |
600.00 |
8.6250 |
8.6023 |
41.3750 |
41.1078 |