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 : 525.69, Ask: 526.24
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
11 |
470.00 |
57.7500 |
56.8878 |
1.1250 |
0.4404 |
Aug-98 |
11 |
480.00 |
48.1250 |
47.3061 |
1.5000 |
0.8439 |
Aug-98 |
11 |
490.00 |
38.6250 |
37.9596 |
2.1250 |
1.4827 |
Aug-98 |
11 |
500.00 |
29.2500 |
28.8921 |
3.0625 |
2.4013 |
Aug-98 |
11 |
510.00 |
21.1250 |
20.2471 |
4.8125 |
3.7430 |
Aug-98 |
11 |
515.00 |
17.2500 |
16.4884 |
6.0000 |
4.9788 |
Aug-98 |
11 |
520.00 |
13.2500 |
12.9908 |
7.5625 |
6.4752 |
Aug-98 |
11 |
525.00 |
10.2500 |
9.4931 |
9.3125 |
7.9751 |
Aug-98 |
11 |
530.00 |
7.1875 |
7.1978 |
11.2500 |
10.6785 |
Aug-98 |
11 |
535.00 |
5.0625 |
5.1901 |
14.1250 |
13.6690 |
Aug-98 |
11 |
540.00 |
3.3125 |
3.1824 |
17.5000 |
16.6756 |
Aug-98 |
11 |
545.00 |
2.0313 |
2.2706 |
21.3750 |
20.7787 |
Aug-98 |
11 |
550.00 |
1.2813 |
1.5528 |
25.3750 |
25.0770 |
Aug-98 |
11 |
560.00 |
0.4688 |
0.5535 |
35.5000 |
34.1929 |
Sep-98 |
39 |
500.00 |
38.1250 |
37.7876 |
9.7500 |
9.9869 |
Sep-98 |
39 |
510.00 |
31.0000 |
30.3421 |
13.0000 |
12.5004 |
Sep-98 |
39 |
520.00 |
23.2500 |
23.5681 |
15.3750 |
15.6896 |
Sep-98 |
39 |
530.00 |
17.3750 |
17.4401 |
19.5000 |
19.5386 |
Sep-98 |
39 |
535.00 |
14.1875 |
14.7601 |
21.5000 |
21.8484 |
Sep-98 |
39 |
540.00 |
12.3125 |
12.0802 |
24.3125 |
24.1759 |
Sep-98 |
39 |
550.00 |
7.7500 |
8.2755 |
30.5000 |
30.3780 |
Sep-98 |
39 |
560.00 |
5.5625 |
5.2508 |
38.0625 |
37.4301 |
Sep-98 |
39 |
570.00 |
2.6250 |
3.1881 |
46.2500 |
45.5133 |
Sep-98 |
39 |
580.00 |
1.4688 |
2.0060 |
56.5000 |
54.5499 |
Sep-98 |
39 |
590.00 |
0.8750 |
1.1222 |
67.2500 |
64.0551 |
Sep-98 |
39 |
600.00 |
0.6250 |
0.6704 |
77.2500 |
74.0290 |
Oct-98 |
67 |
500.00 |
43.0000 |
46.9391 |
13.3750 |
17.8332 |
Oct-98 |
67 |
510.00 |
37.1250 |
39.9289 |
17.6250 |
20.7461 |
Oct-98 |
67 |
520.00 |
30.8750 |
33.1611 |
21.2500 |
23.9069 |
Oct-98 |
67 |
530.00 |
24.5000 |
26.6799 |
24.8750 |
27.3673 |
Oct-98 |
67 |
540.00 |
18.5000 |
20.5548 |
29.2500 |
31.2086 |
Oct-98 |
67 |
550.00 |
13.7500 |
15.5191 |
34.7500 |
36.1525 |
Oct-98 |
67 |
555.00 |
11.7500 |
13.0456 |
37.8750 |
38.7058 |
Oct-98 |
67 |
560.00 |
9.7500 |
11.2206 |
41.6250 |
41.8954 |
Oct-98 |
67 |
570.00 |
6.7500 |
7.8766 |
48.5000 |
48.6470 |
Oct-98 |
67 |
580.00 |
4.3750 |
5.6237 |
56.6250 |
56.5367 |
Oct-98 |
67 |
590.00 |
3.0000 |
3.7809 |
67.2500 |
65.0179 |
Oct-98 |
67 |
600.00 |
1.9375 |
2.6050 |
77.2500 |
74.2759 |