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 : 545.32, Ask: 545.80
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
19 |
520.00 |
31.7500 |
30.5300 |
4.2500 |
4.0286 |
Aug-98 |
19 |
525.00 |
27.5000 |
26.4457 |
5.0000 |
4.9330 |
Aug-98 |
19 |
530.00 |
23.3750 |
22.3613 |
6.0000 |
5.8404 |
Aug-98 |
19 |
540.00 |
16.2500 |
15.4501 |
8.6875 |
8.9114 |
Aug-98 |
19 |
550.00 |
9.8125 |
9.6533 |
12.7500 |
13.1117 |
Aug-98 |
19 |
555.00 |
7.5000 |
7.3987 |
15.4375 |
15.8558 |
Aug-98 |
19 |
560.00 |
5.3125 |
5.1440 |
18.3750 |
18.6225 |
Aug-98 |
19 |
565.00 |
3.5625 |
3.8916 |
21.6875 |
22.3898 |
Aug-98 |
19 |
570.00 |
2.2813 |
2.8585 |
25.7500 |
26.3770 |
Aug-98 |
19 |
575.00 |
1.4063 |
1.8254 |
30.2500 |
30.4146 |
Aug-98 |
19 |
580.00 |
0.9688 |
1.2762 |
35.2500 |
34.9495 |
Aug-98 |
19 |
585.00 |
0.3580 |
0.9690 |
40.2500 |
39.6988 |
Aug-98 |
19 |
590.00 |
0.2589 |
0.6618 |
45.3750 |
44.4946 |
Aug-98 |
19 |
595.00 |
0.2250 |
0.4419 |
50.6250 |
49.4395 |
Sep-98 |
47 |
500.00 |
55.5000 |
52.9513 |
5.8750 |
5.2055 |
Sep-98 |
47 |
510.00 |
47.0000 |
44.8024 |
7.5000 |
7.0031 |
Sep-98 |
47 |
520.00 |
38.6250 |
36.9882 |
9.2500 |
9.1414 |
Sep-98 |
47 |
530.00 |
30.8750 |
29.5440 |
11.6250 |
11.6581 |
Sep-98 |
47 |
535.00 |
27.0000 |
26.2293 |
12.8750 |
13.3236 |
Sep-98 |
47 |
540.00 |
23.6250 |
22.9746 |
14.5000 |
15.0521 |
Sep-98 |
47 |
550.00 |
17.7500 |
17.0908 |
18.6875 |
19.1555 |
Sep-98 |
47 |
560.00 |
12.1250 |
11.9905 |
23.5000 |
24.0708 |
Sep-98 |
47 |
570.00 |
8.2500 |
8.4230 |
29.7500 |
30.5315 |
Sep-98 |
47 |
580.00 |
4.9375 |
5.5096 |
36.8750 |
37.7405 |
Sep-98 |
47 |
590.00 |
2.9375 |
3.6022 |
45.3750 |
46.0034 |
Sep-98 |
47 |
600.00 |
1.6250 |
2.3586 |
56.0000 |
55.0235 |
Oct-98 |
75 |
500.00 |
59.7500 |
56.9479 |
9.0000 |
7.9357 |
Oct-98 |
75 |
510.00 |
51.9375 |
49.2387 |
10.6250 |
10.1470 |
Oct-98 |
75 |
520.00 |
45.5000 |
41.8618 |
12.8750 |
12.7006 |
Oct-98 |
75 |
530.00 |
36.7500 |
34.8482 |
16.0000 |
15.6299 |
Oct-98 |
75 |
540.00 |
29.6250 |
28.5691 |
18.8750 |
19.2974 |
Oct-98 |
75 |
550.00 |
23.6250 |
22.7983 |
22.7500 |
23.5017 |
Oct-98 |
75 |
555.00 |
20.6250 |
20.1996 |
24.8750 |
25.8932 |
Oct-98 |
75 |
560.00 |
19.0000 |
17.6009 |
28.3750 |
28.3106 |
Oct-98 |
75 |
570.00 |
13.6875 |
13.5060 |
33.0000 |
34.2314 |
Oct-98 |
75 |
580.00 |
10.1250 |
9.9297 |
40.1250 |
40.7518 |
Oct-98 |
75 |
590.00 |
7.2500 |
7.1733 |
47.6250 |
48.1400 |
Oct-98 |
75 |
600.00 |
4.9375 |
5.1644 |
56.0000 |
56.3614 |