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 : 532.93, Ask: 533.55
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
10 |
515.00 |
22.5000 |
20.6965 |
2.8750 |
1.9608 |
Aug-98 |
10 |
520.00 |
18.0000 |
16.5515 |
3.5625 |
2.8116 |
Aug-98 |
10 |
525.00 |
14.2500 |
13.0881 |
4.6250 |
4.3426 |
Aug-98 |
10 |
530.00 |
10.7500 |
9.6247 |
6.0625 |
5.8754 |
Aug-98 |
10 |
535.00 |
7.6875 |
6.7528 |
8.1875 |
8.0070 |
Aug-98 |
10 |
540.00 |
5.0000 |
4.9696 |
10.6250 |
11.2222 |
Aug-98 |
10 |
545.00 |
3.1875 |
3.1865 |
13.8750 |
14.4450 |
Aug-98 |
10 |
550.00 |
1.9375 |
1.8392 |
18.1250 |
18.1285 |
Aug-98 |
10 |
560.00 |
0.3580 |
0.7370 |
27.0625 |
27.0784 |
Aug-98 |
10 |
565.00 |
0.2589 |
0.3101 |
31.7500 |
31.7741 |
Sep-98 |
38 |
510.00 |
35.5000 |
33.5683 |
9.0000 |
8.4886 |
Sep-98 |
38 |
515.00 |
31.8750 |
29.8917 |
10.5000 |
9.7909 |
Sep-98 |
38 |
520.00 |
27.8750 |
26.3243 |
11.5000 |
11.2063 |
Sep-98 |
38 |
525.00 |
24.3750 |
23.0551 |
13.2500 |
12.9172 |
Sep-98 |
38 |
530.00 |
21.5000 |
19.7859 |
14.8125 |
14.6336 |
Sep-98 |
38 |
540.00 |
14.6250 |
14.1674 |
18.5000 |
18.9973 |
Sep-98 |
38 |
545.00 |
12.0000 |
11.5786 |
21.0000 |
21.4092 |
Sep-98 |
38 |
550.00 |
9.8750 |
9.3069 |
23.8750 |
24.1602 |
Sep-98 |
38 |
560.00 |
6.0000 |
5.9226 |
30.3750 |
30.8200 |
Sep-98 |
38 |
570.00 |
3.4375 |
3.5910 |
38.2500 |
38.6227 |
Sep-98 |
38 |
580.00 |
1.6875 |
1.9125 |
46.7500 |
47.2426 |
Sep-98 |
38 |
590.00 |
0.8750 |
1.1558 |
56.6250 |
56.7684 |
Sep-98 |
38 |
600.00 |
0.3750 |
0.5967 |
66.6250 |
66.7529 |
Oct-98 |
66 |
490.00 |
57.3750 |
55.6530 |
9.5000 |
9.4173 |
Oct-98 |
66 |
500.00 |
49.2500 |
48.0406 |
11.3750 |
11.7281 |
Oct-98 |
66 |
510.00 |
41.5000 |
40.7063 |
13.5000 |
14.3230 |
Oct-98 |
66 |
520.00 |
34.2500 |
33.6488 |
16.3750 |
17.2035 |
Oct-98 |
66 |
530.00 |
27.7500 |
27.0737 |
19.7500 |
20.5716 |
Oct-98 |
66 |
540.00 |
21.8750 |
21.1581 |
24.1250 |
24.6164 |
Oct-98 |
66 |
545.00 |
18.5000 |
18.3584 |
25.8750 |
26.8075 |
Oct-98 |
66 |
550.00 |
15.7500 |
15.7990 |
28.2500 |
29.2533 |
Oct-98 |
66 |
560.00 |
11.0000 |
11.5585 |
33.6250 |
35.0247 |
Oct-98 |
66 |
570.00 |
7.7500 |
8.2439 |
40.8750 |
41.7893 |
Oct-98 |
66 |
580.00 |
5.5000 |
5.5176 |
48.8750 |
49.2674 |
Oct-98 |
66 |
590.00 |
3.1875 |
3.8612 |
56.6250 |
57.8418 |
Oct-98 |
66 |
600.00 |
2.0000 |
2.5237 |
66.6250 |
66.9734 |