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 : 534.80, Ask: 535.28
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
15 |
515.00 |
24.8750 |
24.9674 |
3.8125 |
4.1872 |
Aug-98 |
15 |
520.00 |
20.6250 |
20.6683 |
4.8125 |
4.8805 |
Aug-98 |
15 |
525.00 |
17.3750 |
16.8660 |
5.8125 |
6.0697 |
Aug-98 |
15 |
530.00 |
13.5000 |
13.1080 |
7.3125 |
7.3039 |
Aug-98 |
15 |
535.00 |
10.1250 |
9.3500 |
9.1875 |
8.5465 |
Aug-98 |
15 |
540.00 |
7.3750 |
7.1845 |
11.2500 |
11.3753 |
Aug-98 |
15 |
545.00 |
5.0625 |
5.0319 |
14.2500 |
14.2210 |
Aug-98 |
15 |
550.00 |
3.2500 |
2.8792 |
17.7500 |
17.1016 |
Aug-98 |
15 |
560.00 |
1.1563 |
1.5320 |
26.1250 |
25.7931 |
Aug-98 |
15 |
565.00 |
0.7188 |
0.8707 |
31.1250 |
30.2337 |
Sep-98 |
43 |
510.00 |
37.2500 |
38.0444 |
9.2500 |
10.9392 |
Sep-98 |
43 |
515.00 |
33.6250 |
34.1343 |
10.7500 |
12.0037 |
Sep-98 |
43 |
520.00 |
29.8750 |
30.2242 |
12.1250 |
13.0710 |
Sep-98 |
43 |
525.00 |
26.1250 |
26.5759 |
13.5000 |
14.3985 |
Sep-98 |
43 |
530.00 |
22.6250 |
22.9509 |
15.0000 |
15.7516 |
Sep-98 |
43 |
540.00 |
16.3750 |
16.4360 |
19.0000 |
19.2029 |
Sep-98 |
43 |
545.00 |
14.0000 |
13.5520 |
21.6250 |
21.3052 |
Sep-98 |
43 |
550.00 |
11.2500 |
10.6680 |
24.0000 |
23.4312 |
Sep-98 |
43 |
560.00 |
7.3750 |
7.0810 |
30.3750 |
29.8485 |
Sep-98 |
43 |
570.00 |
4.0625 |
4.3009 |
37.5000 |
37.1895 |
Sep-98 |
43 |
580.00 |
2.3125 |
2.5035 |
46.7500 |
45.6534 |
Sep-98 |
43 |
590.00 |
1.2500 |
1.5419 |
57.3750 |
55.0484 |
Sep-98 |
43 |
600.00 |
0.6875 |
0.8278 |
68.0000 |
64.9546 |
Oct-98 |
71 |
490.00 |
59.0000 |
59.5557 |
9.7500 |
11.3222 |
Oct-98 |
71 |
500.00 |
50.8750 |
51.7080 |
11.6250 |
13.3934 |
Oct-98 |
71 |
510.00 |
42.7500 |
44.0759 |
13.3750 |
15.6849 |
Oct-98 |
71 |
520.00 |
36.2500 |
36.6711 |
17.0000 |
18.2103 |
Oct-98 |
71 |
530.00 |
29.1250 |
29.7803 |
19.8750 |
21.2523 |
Oct-98 |
71 |
540.00 |
23.1250 |
23.3926 |
23.7500 |
24.8142 |
Oct-98 |
71 |
545.00 |
19.2500 |
20.4432 |
25.0000 |
26.8429 |
Oct-98 |
71 |
550.00 |
17.3750 |
17.4938 |
28.3750 |
28.8924 |
Oct-98 |
71 |
560.00 |
12.3750 |
12.9919 |
33.6250 |
34.3667 |
Oct-98 |
71 |
570.00 |
9.1250 |
9.2006 |
40.8750 |
40.6188 |
Oct-98 |
71 |
580.00 |
5.7500 |
6.2802 |
47.7500 |
47.8169 |
Oct-98 |
71 |
590.00 |
3.9375 |
4.3832 |
57.2500 |
56.1258 |
Oct-98 |
71 |
600.00 |
2.2500 |
2.8340 |
67.8750 |
65.1436 |