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 : 561.56, Ask: 562.24
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
23 |
530.00 |
35.6250 |
35.8804 |
2.9375 |
2.8198 |
Aug-98 |
23 |
540.00 |
26.8750 |
26.9051 |
4.3125 |
3.8153 |
Aug-98 |
23 |
550.00 |
18.6875 |
18.5987 |
6.3125 |
5.4844 |
Aug-98 |
23 |
555.00 |
15.3750 |
15.0272 |
7.8125 |
6.9001 |
Aug-98 |
23 |
560.00 |
11.6875 |
11.4556 |
9.6250 |
8.3208 |
Aug-98 |
23 |
565.00 |
9.1250 |
8.8148 |
12.1250 |
10.6815 |
Aug-98 |
23 |
570.00 |
6.7500 |
6.7443 |
14.6250 |
13.6076 |
Aug-98 |
23 |
575.00 |
4.6875 |
4.6738 |
17.7500 |
16.5577 |
Aug-98 |
23 |
580.00 |
3.0000 |
3.1953 |
21.5625 |
20.1497 |
Aug-98 |
23 |
585.00 |
1.9688 |
2.4101 |
25.3750 |
24.4031 |
Aug-98 |
23 |
590.00 |
1.2813 |
1.6248 |
30.1250 |
28.7123 |
Aug-98 |
23 |
595.00 |
0.7813 |
0.9583 |
35.0000 |
33.2296 |
Aug-98 |
23 |
600.00 |
0.4688 |
0.7326 |
40.0000 |
38.1107 |
Sep-98 |
51 |
500.00 |
68.8750 |
66.9895 |
4.1875 |
2.7409 |
Sep-98 |
51 |
510.00 |
59.5000 |
57.9537 |
4.8125 |
3.6419 |
Sep-98 |
51 |
520.00 |
50.7500 |
49.1158 |
6.2500 |
4.7438 |
Sep-98 |
51 |
530.00 |
42.2500 |
40.5560 |
7.8750 |
6.1256 |
Sep-98 |
51 |
535.00 |
38.0000 |
36.4792 |
8.6250 |
7.0211 |
Sep-98 |
51 |
540.00 |
34.0000 |
32.4971 |
9.7500 |
8.0111 |
Sep-98 |
51 |
550.00 |
26.5000 |
24.9613 |
12.2500 |
10.4309 |
Sep-98 |
51 |
560.00 |
19.8750 |
18.2332 |
15.7500 |
13.6664 |
Sep-98 |
51 |
570.00 |
14.2500 |
12.9843 |
20.2500 |
18.3960 |
Sep-98 |
51 |
580.00 |
9.2500 |
8.5295 |
25.6250 |
23.9814 |
Sep-98 |
51 |
590.00 |
5.7500 |
5.5689 |
32.3750 |
31.0985 |
Sep-98 |
51 |
600.00 |
3.5000 |
3.4916 |
40.8750 |
39.2813 |
Oct-98 |
79 |
500.00 |
72.1250 |
69.5650 |
6.3750 |
4.0527 |
Oct-98 |
79 |
510.00 |
63.3750 |
60.9337 |
7.7500 |
5.3286 |
Oct-98 |
79 |
520.00 |
55.2500 |
52.5591 |
9.6250 |
6.8673 |
Oct-98 |
79 |
530.00 |
47.3750 |
44.5331 |
11.7500 |
8.7594 |
Oct-98 |
79 |
540.00 |
39.7500 |
37.0394 |
14.1250 |
11.1893 |
Oct-98 |
79 |
550.00 |
32.2500 |
29.9897 |
16.6250 |
14.0826 |
Oct-98 |
79 |
555.00 |
29.2500 |
26.7887 |
18.6250 |
15.8522 |
Oct-98 |
79 |
560.00 |
25.8750 |
23.5877 |
20.2500 |
17.6374 |
Oct-98 |
79 |
570.00 |
19.7500 |
18.2457 |
24.2500 |
22.2679 |
Oct-98 |
79 |
580.00 |
15.1250 |
13.4868 |
29.8750 |
27.5411 |
Oct-98 |
79 |
590.00 |
10.8750 |
9.8460 |
35.8750 |
33.9489 |
Oct-98 |
79 |
600.00 |
7.2500 |
7.0124 |
42.6250 |
41.2615 |