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 : 550.44, Ask: 550.93
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
22 |
520.00 |
34.6250 |
35.5589 |
3.8750 |
3.7862 |
Aug-98 |
22 |
525.00 |
30.5000 |
31.2311 |
4.6875 |
4.4447 |
Aug-98 |
22 |
530.00 |
26.2500 |
26.9426 |
5.6250 |
5.1428 |
Aug-98 |
22 |
540.00 |
18.5000 |
18.9808 |
8.0000 |
7.1587 |
Aug-98 |
22 |
550.00 |
12.0000 |
11.8102 |
11.6250 |
9.9739 |
Aug-98 |
22 |
555.00 |
9.1875 |
9.3427 |
13.6250 |
12.5023 |
Aug-98 |
22 |
560.00 |
6.8125 |
7.0527 |
16.6250 |
15.2093 |
Aug-98 |
22 |
565.00 |
4.8750 |
4.7626 |
19.7500 |
17.9436 |
Aug-98 |
22 |
570.00 |
3.4375 |
3.4903 |
23.5000 |
21.7060 |
Aug-98 |
22 |
575.00 |
2.2500 |
2.5279 |
27.6250 |
25.7761 |
Aug-98 |
22 |
580.00 |
1.4063 |
1.5655 |
32.1250 |
29.9240 |
Aug-98 |
22 |
585.00 |
0.8750 |
1.0207 |
37.0000 |
34.5206 |
Aug-98 |
22 |
590.00 |
0.6563 |
0.7743 |
42.1250 |
39.3613 |
Aug-98 |
22 |
595.00 |
0.4063 |
0.5280 |
47.2500 |
44.3140 |
Aug-98 |
22 |
600.00 |
0.2188 |
0.3343 |
52.5000 |
49.3119 |
Sep-98 |
50 |
500.00 |
58.5000 |
57.9551 |
5.7500 |
4.9556 |
Sep-98 |
50 |
510.00 |
49.6250 |
49.4024 |
7.0000 |
6.3450 |
Sep-98 |
50 |
520.00 |
41.0000 |
41.1207 |
8.4375 |
8.0080 |
Sep-98 |
50 |
530.00 |
33.6250 |
33.3156 |
11.2500 |
10.1494 |
Sep-98 |
50 |
535.00 |
29.5000 |
29.4388 |
12.2500 |
11.2532 |
Sep-98 |
50 |
540.00 |
26.0000 |
25.9943 |
14.1250 |
12.7854 |
Sep-98 |
50 |
550.00 |
19.2500 |
19.2290 |
17.0000 |
15.9906 |
Sep-98 |
50 |
560.00 |
14.1875 |
13.9006 |
21.7500 |
20.6365 |
Sep-98 |
50 |
570.00 |
9.3750 |
9.3852 |
27.6250 |
26.1430 |
Sep-98 |
50 |
580.00 |
6.2500 |
6.0079 |
34.7500 |
32.8361 |
Sep-98 |
50 |
590.00 |
3.6875 |
3.9056 |
42.6250 |
40.8916 |
Sep-98 |
50 |
600.00 |
2.3125 |
2.2851 |
52.5000 |
49.6945 |
Oct-98 |
78 |
500.00 |
61.6250 |
61.6173 |
7.7500 |
7.3494 |
Oct-98 |
78 |
510.00 |
52.7500 |
53.4849 |
8.7500 |
9.1312 |
Oct-98 |
78 |
520.00 |
48.2500 |
45.6276 |
11.6250 |
11.1936 |
Oct-98 |
78 |
530.00 |
38.2500 |
38.1895 |
14.2500 |
13.6806 |
Oct-98 |
78 |
540.00 |
31.2500 |
31.1664 |
17.3750 |
16.6020 |
Oct-98 |
78 |
550.00 |
25.3750 |
24.6188 |
21.5000 |
20.0222 |
Oct-98 |
78 |
555.00 |
21.6250 |
21.8638 |
22.7500 |
22.2494 |
Oct-98 |
78 |
560.00 |
19.6250 |
19.1912 |
25.7500 |
24.5656 |
Oct-98 |
78 |
570.00 |
14.6250 |
14.3904 |
31.1250 |
29.7914 |
Oct-98 |
78 |
580.00 |
10.5000 |
10.4653 |
37.3750 |
35.9279 |
Oct-98 |
78 |
590.00 |
7.8750 |
7.6269 |
45.0000 |
43.1920 |
Oct-98 |
78 |
600.00 |
5.6250 |
5.2322 |
53.2500 |
51.0510 |