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 : 531.08, Ask: 531.63
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
17 |
470.00 |
65.7500 |
62.4991 |
1.3125 |
0.4024 |
Aug-98 |
17 |
480.00 |
56.1250 |
52.9260 |
1.8125 |
0.8067 |
Aug-98 |
17 |
490.00 |
46.7500 |
43.5914 |
2.4375 |
1.4501 |
Aug-98 |
17 |
500.00 |
37.6250 |
34.7713 |
3.3125 |
2.6083 |
Aug-98 |
17 |
510.00 |
28.7500 |
26.6461 |
4.6875 |
4.4636 |
Aug-98 |
17 |
515.00 |
24.7500 |
22.7116 |
5.7500 |
5.5210 |
Aug-98 |
17 |
520.00 |
20.6250 |
19.2863 |
6.8125 |
7.0895 |
Aug-98 |
17 |
525.00 |
16.6250 |
16.1539 |
8.1250 |
8.9493 |
Aug-98 |
17 |
530.00 |
13.6250 |
13.0214 |
10.1250 |
10.8153 |
Aug-98 |
17 |
535.00 |
11.1250 |
10.6318 |
12.2500 |
13.4258 |
Aug-98 |
17 |
540.00 |
8.1875 |
8.5184 |
14.4375 |
16.3107 |
Aug-98 |
17 |
545.00 |
6.1250 |
6.4050 |
17.5625 |
19.2103 |
Aug-98 |
17 |
550.00 |
4.4375 |
5.0064 |
21.1250 |
22.8257 |
Aug-98 |
17 |
560.00 |
2.0938 |
2.7080 |
29.3125 |
30.5777 |
Sep-98 |
45 |
500.00 |
44.6250 |
42.2387 |
8.7500 |
8.7689 |
Sep-98 |
45 |
510.00 |
36.6250 |
34.8608 |
10.8750 |
11.3428 |
Sep-98 |
45 |
520.00 |
29.5000 |
27.9331 |
13.8750 |
14.3776 |
Sep-98 |
45 |
530.00 |
23.1250 |
21.6287 |
17.6250 |
18.0479 |
Sep-98 |
45 |
535.00 |
19.2500 |
18.9353 |
19.0000 |
20.3473 |
Sep-98 |
45 |
540.00 |
16.6250 |
16.4123 |
21.2500 |
22.8181 |
Sep-98 |
45 |
550.00 |
11.2500 |
11.9051 |
26.2500 |
28.3422 |
Sep-98 |
45 |
560.00 |
7.8125 |
8.3125 |
33.0000 |
34.8189 |
Sep-98 |
45 |
570.00 |
4.5625 |
5.8546 |
40.1250 |
42.4585 |
Sep-98 |
45 |
580.00 |
2.8125 |
3.8651 |
49.2500 |
50.6613 |
Sep-98 |
45 |
590.00 |
1.5625 |
2.5850 |
59.8750 |
59.5788 |
Sep-98 |
45 |
600.00 |
0.9688 |
1.6880 |
70.1250 |
68.9557 |
Oct-98 |
73 |
500.00 |
49.6250 |
48.3521 |
12.3750 |
13.6132 |
Oct-98 |
73 |
510.00 |
42.1250 |
41.2538 |
14.8750 |
16.4397 |
Oct-98 |
73 |
520.00 |
35.3750 |
34.4941 |
18.1250 |
19.6164 |
Oct-98 |
73 |
530.00 |
28.7500 |
28.1831 |
21.5000 |
23.2540 |
Oct-98 |
73 |
540.00 |
22.5000 |
22.6550 |
25.5000 |
27.6852 |
Oct-98 |
73 |
550.00 |
17.5000 |
17.6771 |
30.6250 |
32.7063 |
Oct-98 |
73 |
555.00 |
14.7500 |
15.5510 |
33.0000 |
35.5839 |
Oct-98 |
73 |
560.00 |
13.2500 |
13.4249 |
36.7500 |
38.4951 |
Oct-98 |
73 |
570.00 |
9.3750 |
10.2260 |
43.1250 |
45.3722 |
Oct-98 |
73 |
580.00 |
7.0000 |
7.4939 |
51.2500 |
52.8300 |
Oct-98 |
73 |
590.00 |
4.0625 |
5.5132 |
59.8750 |
61.0798 |
Oct-98 |
73 |
600.00 |
2.7500 |
4.0029 |
70.1250 |
69.8919 |