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 : 536.07, Ask: 536.69
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
16 |
500.00 |
39.8750 |
38.2050 |
2.5625 |
1.0652 |
Aug-98 |
16 |
510.00 |
31.0000 |
29.1267 |
3.7500 |
1.9672 |
Aug-98 |
16 |
515.00 |
26.7500 |
24.9667 |
4.6875 |
2.7971 |
Aug-98 |
16 |
520.00 |
22.6250 |
20.8067 |
5.5625 |
3.6285 |
Aug-98 |
16 |
525.00 |
19.0000 |
17.0995 |
6.6250 |
4.9141 |
Aug-98 |
16 |
530.00 |
14.5000 |
13.6282 |
8.3750 |
6.4350 |
Aug-98 |
16 |
535.00 |
11.6250 |
10.1569 |
9.8125 |
7.9629 |
Aug-98 |
16 |
540.00 |
8.6250 |
7.7084 |
12.2500 |
10.5176 |
Aug-98 |
16 |
545.00 |
6.3750 |
5.6499 |
15.2500 |
13.4598 |
Aug-98 |
16 |
550.00 |
4.2500 |
3.5913 |
18.1250 |
16.4242 |
Aug-98 |
16 |
560.00 |
1.8125 |
2.0414 |
25.3750 |
24.9217 |
Aug-98 |
16 |
565.00 |
1.1563 |
1.4858 |
30.0000 |
29.4075 |
Aug-98 |
16 |
570.00 |
0.7188 |
1.1015 |
34.8750 |
34.0742 |
Aug-98 |
16 |
580.00 |
0.2813 |
0.5546 |
45.1250 |
43.6623 |
Sep-98 |
44 |
500.00 |
46.5000 |
44.0940 |
7.5000 |
5.6426 |
Sep-98 |
44 |
510.00 |
38.6250 |
36.0706 |
9.7500 |
7.5690 |
Sep-98 |
44 |
520.00 |
30.8750 |
28.5771 |
12.1250 |
10.0296 |
Sep-98 |
44 |
530.00 |
24.0000 |
21.9580 |
15.2500 |
13.3711 |
Sep-98 |
44 |
535.00 |
20.8750 |
18.7388 |
17.2500 |
15.1426 |
Sep-98 |
44 |
540.00 |
17.6250 |
16.0827 |
19.1250 |
17.4779 |
Sep-98 |
44 |
550.00 |
12.6250 |
11.2000 |
24.2500 |
22.6016 |
Sep-98 |
44 |
560.00 |
8.0000 |
7.8622 |
29.8750 |
29.2959 |
Sep-98 |
44 |
570.00 |
5.1875 |
5.1743 |
37.5000 |
36.7359 |
Sep-98 |
44 |
580.00 |
2.8125 |
3.3714 |
45.5000 |
45.1054 |
Sep-98 |
44 |
590.00 |
1.6250 |
2.1893 |
55.7500 |
54.1740 |
Sep-98 |
44 |
600.00 |
0.8750 |
1.2955 |
66.5000 |
63.6679 |
Oct-98 |
72 |
500.00 |
52.1250 |
51.9632 |
11.7500 |
12.2017 |
Oct-98 |
72 |
510.00 |
44.3750 |
44.1048 |
14.0000 |
14.2561 |
Oct-98 |
72 |
520.00 |
36.7500 |
36.5229 |
16.6250 |
16.5940 |
Oct-98 |
72 |
530.00 |
30.3750 |
29.5813 |
20.0000 |
19.5810 |
Oct-98 |
72 |
540.00 |
24.1250 |
23.2057 |
23.7500 |
23.1610 |
Oct-98 |
72 |
545.00 |
22.1250 |
20.4000 |
26.8750 |
25.3358 |
Oct-98 |
72 |
550.00 |
18.0000 |
17.5942 |
27.8750 |
27.5375 |
Oct-98 |
72 |
555.00 |
16.1250 |
15.2974 |
31.1250 |
30.2492 |
Oct-98 |
72 |
560.00 |
14.3750 |
13.2104 |
34.5000 |
33.1720 |
Oct-98 |
72 |
565.00 |
11.8750 |
11.1234 |
37.1250 |
36.1426 |
Oct-98 |
72 |
570.00 |
9.7500 |
9.4653 |
40.2500 |
39.5526 |
Oct-98 |
72 |
575.00 |
7.8750 |
8.0845 |
43.6250 |
43.2292 |
Oct-98 |
72 |
580.00 |
6.5000 |
6.7037 |
47.5000 |
46.9766 |
Oct-98 |
72 |
590.00 |
4.6875 |
4.7340 |
56.0000 |
55.3092 |