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 552.28, Ask: 552.75
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
24 |
520.00 |
37.6250 |
36.9628 |
4.1250 |
3.2630 |
Aug-98 |
24 |
525.00 |
33.2500 |
32.6700 |
4.5000 |
3.9564 |
Aug-98 |
24 |
530.00 |
29.0000 |
28.5506 |
5.3750 |
4.8224 |
Aug-98 |
24 |
535.00 |
25.0000 |
24.4313 |
6.4375 |
5.6907 |
Aug-98 |
24 |
540.00 |
21.2500 |
20.7034 |
7.7500 |
6.9534 |
Aug-98 |
24 |
545.00 |
17.6250 |
17.3389 |
9.3125 |
8.5770 |
Aug-98 |
24 |
550.00 |
14.5000 |
13.9744 |
10.7500 |
10.2062 |
Aug-98 |
24 |
560.00 |
8.6875 |
8.9282 |
15.6250 |
15.1581 |
Aug-98 |
24 |
570.00 |
4.6875 |
4.8896 |
21.8750 |
21.1719 |
Aug-98 |
24 |
580.00 |
2.1563 |
2.6743 |
30.0000 |
29.0293 |
Aug-98 |
24 |
590.00 |
0.8438 |
1.3198 |
38.7500 |
37.8762 |
Aug-98 |
24 |
595.00 |
0.5938 |
0.9317 |
44.3750 |
42.5921 |
Aug-98 |
24 |
600.00 |
0.3438 |
0.5436 |
49.5000 |
47.4838 |
Sep-98 |
52 |
500.00 |
61.2500 |
59.5691 |
5.5000 |
4.6397 |
Sep-98 |
52 |
510.00 |
52.8750 |
51.0326 |
7.2500 |
6.0408 |
Sep-98 |
52 |
520.00 |
43.7500 |
42.8436 |
8.1250 |
7.7904 |
Sep-98 |
52 |
530.00 |
36.0000 |
35.0384 |
10.5000 |
9.9291 |
Sep-98 |
52 |
535.00 |
32.2500 |
31.2072 |
11.8750 |
11.0746 |
Sep-98 |
52 |
540.00 |
28.6250 |
27.6393 |
13.3750 |
12.4869 |
Sep-98 |
52 |
550.00 |
21.7500 |
20.9921 |
16.3125 |
15.8048 |
Sep-98 |
52 |
560.00 |
16.2500 |
15.4539 |
21.1250 |
20.2512 |
Sep-98 |
52 |
570.00 |
10.8750 |
10.6240 |
26.0000 |
25.4638 |
Sep-98 |
52 |
580.00 |
7.0000 |
7.1791 |
32.5000 |
32.0831 |
Sep-98 |
52 |
590.00 |
4.0625 |
4.6510 |
39.8750 |
39.7388 |
Sep-98 |
52 |
600.00 |
2.3750 |
2.7389 |
49.5000 |
48.2023 |
Oct-98 |
80 |
500.00 |
65.2500 |
63.6777 |
8.3750 |
7.4830 |
Oct-98 |
80 |
510.00 |
56.5000 |
55.5243 |
9.6250 |
9.2388 |
Oct-98 |
80 |
520.00 |
49.7500 |
47.7049 |
11.6250 |
11.3304 |
Oct-98 |
80 |
530.00 |
41.5000 |
40.2411 |
14.3750 |
13.7849 |
Oct-98 |
80 |
540.00 |
34.3750 |
33.1164 |
17.5000 |
16.5946 |
Oct-98 |
80 |
550.00 |
27.7500 |
26.5823 |
20.7500 |
20.0053 |
Oct-98 |
80 |
555.00 |
25.0000 |
23.5934 |
23.1250 |
22.0016 |
Oct-98 |
80 |
560.00 |
21.5000 |
20.8862 |
24.7500 |
24.2740 |
Oct-98 |
80 |
570.00 |
16.3750 |
15.7349 |
29.8750 |
29.1419 |
Oct-98 |
80 |
580.00 |
11.7500 |
11.6688 |
35.5000 |
35.1173 |
Oct-98 |
80 |
590.00 |
8.2500 |
8.4144 |
42.3750 |
42.0028 |
Oct-98 |
80 |
600.00 |
5.3750 |
5.7054 |
50.0000 |
49.6124 |