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 : 532.22, Ask: 532.45
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
12 |
515.00 |
22.3750 |
22.2388 |
4.1875 |
4.3109 |
Aug-98 |
12 |
520.00 |
18.3750 |
18.2489 |
5.1250 |
5.3151 |
Aug-98 |
12 |
525.00 |
14.6250 |
14.5397 |
6.4375 |
6.5993 |
Aug-98 |
12 |
530.00 |
11.1875 |
10.8306 |
7.6250 |
7.8857 |
Aug-98 |
12 |
535.00 |
8.1875 |
7.9395 |
10.1250 |
9.9949 |
Aug-98 |
12 |
540.00 |
5.6875 |
5.7652 |
12.6250 |
12.8173 |
Aug-98 |
12 |
545.00 |
3.6875 |
3.5909 |
15.7500 |
15.6481 |
Aug-98 |
12 |
550.00 |
2.2188 |
2.2427 |
19.5000 |
19.3253 |
Aug-98 |
12 |
560.00 |
0.7188 |
0.9550 |
28.3750 |
28.0938 |
Aug-98 |
12 |
565.00 |
0.4688 |
0.5380 |
33.2500 |
32.7729 |
Sep-98 |
40 |
510.00 |
35.1250 |
35.9453 |
9.9375 |
11.6921 |
Sep-98 |
40 |
515.00 |
31.0000 |
32.1557 |
10.8750 |
12.8809 |
Sep-98 |
40 |
520.00 |
27.5000 |
28.4939 |
12.3750 |
14.1992 |
Sep-98 |
40 |
525.00 |
24.2500 |
24.9919 |
14.1250 |
15.6761 |
Sep-98 |
40 |
530.00 |
20.6250 |
21.4899 |
15.4375 |
17.1576 |
Sep-98 |
40 |
540.00 |
15.0000 |
15.4503 |
20.1250 |
21.0889 |
Sep-98 |
40 |
545.00 |
12.6250 |
12.5774 |
22.8750 |
23.2111 |
Sep-98 |
40 |
550.00 |
10.5000 |
10.2426 |
25.8750 |
25.8797 |
Sep-98 |
40 |
560.00 |
6.7500 |
6.4904 |
32.5000 |
32.1515 |
Sep-98 |
40 |
570.00 |
3.8125 |
4.0669 |
39.8750 |
39.8217 |
Sep-98 |
40 |
580.00 |
2.1875 |
2.2881 |
49.1250 |
48.3077 |
Sep-98 |
40 |
590.00 |
1.0000 |
1.4001 |
59.7500 |
57.7338 |
Sep-98 |
40 |
600.00 |
0.3750 |
0.7838 |
70.1250 |
67.6596 |
Oct-98 |
68 |
490.00 |
56.1250 |
58.2424 |
9.3750 |
12.8292 |
Oct-98 |
68 |
500.00 |
48.3750 |
50.7239 |
11.6250 |
15.2311 |
Oct-98 |
68 |
510.00 |
41.1250 |
43.4412 |
14.3750 |
17.8734 |
Oct-98 |
68 |
520.00 |
34.5625 |
36.3859 |
17.6250 |
20.7499 |
Oct-98 |
68 |
530.00 |
27.6250 |
29.6582 |
21.0000 |
23.9617 |
Oct-98 |
68 |
540.00 |
21.3750 |
23.5018 |
24.8750 |
27.7560 |
Oct-98 |
68 |
545.00 |
18.6250 |
20.5105 |
27.1250 |
29.7518 |
Oct-98 |
68 |
550.00 |
16.5000 |
17.8467 |
30.1250 |
32.0800 |
Oct-98 |
68 |
560.00 |
11.8750 |
13.0771 |
35.7500 |
37.3092 |
Oct-98 |
68 |
570.00 |
9.1250 |
9.4606 |
43.5000 |
43.7259 |
Oct-98 |
68 |
580.00 |
5.8750 |
6.4562 |
50.7500 |
50.8477 |
Oct-98 |
68 |
590.00 |
3.4375 |
4.5253 |
59.7500 |
59.0832 |
Oct-98 |
68 |
600.00 |
2.3125 |
3.0408 |
70.1250 |
67.9922 |