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 555.18, Ask: 555.61
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
25 |
520.00 |
40.8750 |
39.6421 |
3.8750 |
3.0144 |
Aug-98 |
25 |
525.00 |
35.8750 |
35.1355 |
4.3750 |
3.4930 |
Aug-98 |
25 |
530.00 |
31.7500 |
30.9093 |
4.9375 |
4.2512 |
Aug-98 |
25 |
535.00 |
27.6250 |
26.7099 |
6.1250 |
5.0369 |
Aug-98 |
25 |
540.00 |
23.6250 |
22.5105 |
7.1250 |
5.8271 |
Aug-98 |
25 |
545.00 |
19.8750 |
19.0757 |
8.3750 |
7.3789 |
Aug-98 |
25 |
550.00 |
16.0625 |
15.6740 |
9.8750 |
8.9657 |
Aug-98 |
25 |
560.00 |
10.1250 |
9.9687 |
13.7500 |
13.2570 |
Aug-98 |
25 |
570.00 |
5.6875 |
5.5498 |
19.5000 |
18.8711 |
Aug-98 |
25 |
580.00 |
2.8125 |
3.2011 |
27.5000 |
26.5900 |
Aug-98 |
25 |
590.00 |
1.1563 |
1.4905 |
36.3750 |
35.1031 |
Aug-98 |
25 |
595.00 |
0.8438 |
1.1227 |
41.2500 |
39.8123 |
Aug-98 |
25 |
600.00 |
0.5938 |
0.7549 |
46.3750 |
44.6134 |
Sep-98 |
53 |
500.00 |
63.7500 |
61.6315 |
5.0000 |
3.7870 |
Sep-98 |
53 |
510.00 |
54.8750 |
52.9010 |
6.1250 |
4.9934 |
Sep-98 |
53 |
520.00 |
46.5000 |
44.5752 |
7.8750 |
6.6058 |
Sep-98 |
53 |
530.00 |
38.1250 |
36.6048 |
9.7500 |
8.5803 |
Sep-98 |
53 |
535.00 |
34.3750 |
32.8024 |
11.0000 |
9.7510 |
Sep-98 |
53 |
540.00 |
30.2500 |
29.0001 |
12.0000 |
10.9307 |
Sep-98 |
53 |
550.00 |
23.6250 |
22.4827 |
15.3750 |
14.3679 |
Sep-98 |
53 |
560.00 |
17.5000 |
16.6840 |
19.6250 |
18.5496 |
Sep-98 |
53 |
570.00 |
12.3750 |
11.7003 |
24.5000 |
23.5776 |
Sep-98 |
53 |
580.00 |
8.0625 |
8.2054 |
30.5000 |
30.1145 |
Sep-98 |
53 |
590.00 |
5.1875 |
5.3000 |
37.8750 |
37.3685 |
Sep-98 |
53 |
600.00 |
2.8750 |
3.4102 |
46.3750 |
45.7238 |
Oct-98 |
81 |
500.00 |
67.3750 |
64.9557 |
7.3750 |
5.8452 |
Oct-98 |
81 |
510.00 |
59.0000 |
56.6738 |
9.0000 |
7.4722 |
Oct-98 |
81 |
520.00 |
52.5000 |
48.8206 |
11.3750 |
9.5308 |
Oct-98 |
81 |
530.00 |
43.1250 |
41.3014 |
13.2500 |
11.9351 |
Oct-98 |
81 |
540.00 |
35.5000 |
34.1189 |
15.6250 |
14.6934 |
Oct-98 |
81 |
550.00 |
29.2500 |
27.8095 |
19.2500 |
18.3244 |
Oct-98 |
81 |
555.00 |
26.5000 |
24.6640 |
21.5000 |
20.1739 |
Oct-98 |
81 |
560.00 |
23.0000 |
22.0425 |
23.0000 |
22.5320 |
Oct-98 |
81 |
570.00 |
17.7500 |
16.8892 |
28.1250 |
27.3877 |
Oct-98 |
81 |
580.00 |
13.5000 |
12.8847 |
34.0000 |
33.4032 |
Oct-98 |
81 |
590.00 |
9.7500 |
9.3761 |
40.8750 |
40.0113 |
Oct-98 |
81 |
600.00 |
6.5000 |
6.7500 |
47.8750 |
47.5510 |