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 : 525.20, Ask: 525.64
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
18 |
470.00 |
59.2500 |
57.6337 |
2.3750 |
1.4257 |
Aug-98 |
18 |
480.00 |
50.2500 |
48.5836 |
3.1250 |
2.3520 |
Aug-98 |
18 |
490.00 |
41.1250 |
39.8985 |
4.3750 |
3.6443 |
Aug-98 |
18 |
500.00 |
32.5000 |
31.6098 |
6.1250 |
5.3348 |
Aug-98 |
18 |
510.00 |
26.0000 |
23.8217 |
8.5000 |
7.5281 |
Aug-98 |
18 |
515.00 |
21.3750 |
20.4269 |
9.5000 |
9.1253 |
Aug-98 |
18 |
520.00 |
18.1250 |
17.1653 |
11.5000 |
10.8556 |
Aug-98 |
18 |
525.00 |
14.7500 |
13.9037 |
13.7500 |
12.5932 |
Aug-98 |
18 |
530.00 |
11.7500 |
11.5064 |
15.6250 |
15.1912 |
Aug-98 |
18 |
535.00 |
9.6250 |
9.1883 |
17.8750 |
17.8709 |
Aug-98 |
18 |
540.00 |
7.1250 |
6.8703 |
21.3750 |
20.5690 |
Aug-98 |
18 |
545.00 |
5.1250 |
5.5236 |
24.1250 |
24.2254 |
Aug-98 |
18 |
550.00 |
3.7500 |
4.2156 |
27.5625 |
27.9284 |
Aug-98 |
18 |
560.00 |
1.8125 |
2.2725 |
37.2500 |
36.0562 |
Sep-98 |
46 |
500.00 |
39.6250 |
39.8670 |
11.5000 |
12.3010 |
Sep-98 |
46 |
510.00 |
32.3750 |
32.8452 |
14.2500 |
15.2366 |
Sep-98 |
46 |
520.00 |
25.8750 |
26.5043 |
17.8750 |
18.8568 |
Sep-98 |
46 |
530.00 |
19.3750 |
20.7159 |
21.1875 |
23.0446 |
Sep-98 |
46 |
535.00 |
16.5000 |
18.1013 |
23.7500 |
25.4202 |
Sep-98 |
46 |
540.00 |
14.0000 |
15.4866 |
26.3750 |
27.8146 |
Sep-98 |
46 |
550.00 |
10.1875 |
11.5061 |
32.5000 |
33.8344 |
Sep-98 |
46 |
560.00 |
7.0000 |
8.1715 |
39.6875 |
40.5532 |
Sep-98 |
46 |
570.00 |
4.6250 |
5.5602 |
47.8750 |
48.0470 |
Sep-98 |
46 |
580.00 |
2.7500 |
3.8971 |
57.2500 |
56.5047 |
Sep-98 |
46 |
590.00 |
1.4375 |
2.5450 |
67.8750 |
65.3920 |
Sep-98 |
46 |
600.00 |
0.7500 |
1.6848 |
77.7500 |
74.8100 |
Oct-98 |
74 |
500.00 |
44.8750 |
46.0127 |
15.2500 |
17.1931 |
Oct-98 |
74 |
510.00 |
38.0000 |
39.3800 |
17.8750 |
20.4961 |
Oct-98 |
74 |
520.00 |
32.5000 |
33.2841 |
22.2500 |
24.3402 |
Oct-98 |
74 |
530.00 |
25.3750 |
27.5891 |
25.2500 |
28.6028 |
Oct-98 |
74 |
540.00 |
20.3750 |
22.2939 |
30.3750 |
33.2888 |
Oct-98 |
74 |
550.00 |
15.2500 |
17.8881 |
35.5000 |
38.8651 |
Oct-98 |
74 |
555.00 |
13.2500 |
15.6939 |
38.7500 |
41.6942 |
Oct-98 |
74 |
560.00 |
11.6250 |
13.9901 |
41.9375 |
44.9933 |
Oct-98 |
74 |
570.00 |
9.2500 |
10.6629 |
50.2500 |
51.7334 |
Oct-98 |
74 |
580.00 |
6.0000 |
8.2196 |
57.5000 |
59.3678 |
Oct-98 |
74 |
590.00 |
3.9375 |
6.1046 |
67.3750 |
67.4263 |
Oct-98 |
74 |
600.00 |
2.3125 |
4.5402 |
77.7500 |
76.0823 |