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 : 528.19, Ask: 528.60
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Aug-98 |
9 |
510.00 |
21.1250 |
21.7751 |
3.4375 |
2.9387 |
Aug-98 |
9 |
515.00 |
17.2500 |
17.5404 |
4.5625 |
3.6994 |
Aug-98 |
9 |
520.00 |
13.2500 |
13.6934 |
5.8750 |
4.8470 |
Aug-98 |
9 |
530.00 |
7.0625 |
6.6315 |
9.7500 |
7.7815 |
Aug-98 |
9 |
535.00 |
4.7500 |
4.7531 |
12.5000 |
10.8999 |
Aug-98 |
9 |
540.00 |
2.7813 |
2.8746 |
15.5000 |
14.0227 |
Aug-98 |
9 |
545.00 |
1.6563 |
1.5087 |
19.3750 |
17.6827 |
Aug-98 |
9 |
550.00 |
0.9063 |
1.0947 |
24.1250 |
22.2778 |
Aug-98 |
9 |
555.00 |
0.5938 |
0.6807 |
29.0000 |
26.8955 |
Aug-98 |
9 |
560.00 |
0.4063 |
0.3594 |
33.8750 |
31.6584 |
Aug-98 |
9 |
565.00 |
0.2813 |
0.2593 |
38.8750 |
36.6085 |
Aug-98 |
9 |
570.00 |
0.2188 |
0.1592 |
43.8750 |
41.6042 |
Aug-98 |
9 |
575.00 |
0.1563 |
0.0716 |
48.8750 |
46.6035 |
Aug-98 |
9 |
580.00 |
0.1250 |
0.0522 |
53.8750 |
51.6033 |
Sep-98 |
37 |
510.00 |
30.7500 |
32.4532 |
11.5000 |
12.2680 |
Sep-98 |
37 |
515.00 |
26.7500 |
28.6752 |
13.1250 |
13.4712 |
Sep-98 |
37 |
520.00 |
23.7500 |
25.1227 |
14.6250 |
14.8983 |
Sep-98 |
37 |
525.00 |
20.7500 |
21.5702 |
16.3750 |
16.3292 |
Sep-98 |
37 |
530.00 |
17.2500 |
18.2333 |
18.2500 |
17.9817 |
Sep-98 |
37 |
535.00 |
14.3750 |
15.3526 |
21.5000 |
20.0861 |
Sep-98 |
37 |
540.00 |
11.3750 |
12.4718 |
23.3750 |
22.2001 |
Sep-98 |
37 |
545.00 |
9.3125 |
9.9642 |
25.7500 |
24.7034 |
Sep-98 |
37 |
550.00 |
8.1250 |
8.1495 |
29.3750 |
27.8873 |
Sep-98 |
37 |
555.00 |
6.0000 |
6.3349 |
32.6250 |
31.0936 |
Sep-98 |
37 |
560.00 |
4.6875 |
4.7856 |
36.5000 |
34.6095 |
Sep-98 |
37 |
565.00 |
3.4375 |
3.8692 |
40.5000 |
38.7232 |
Oct-98 |
65 |
500.00 |
45.2500 |
48.3101 |
14.5000 |
16.8793 |
Oct-98 |
65 |
510.00 |
37.6250 |
40.8666 |
16.8750 |
19.3606 |
Oct-98 |
65 |
520.00 |
31.1875 |
33.6334 |
20.1250 |
22.0590 |
Oct-98 |
65 |
530.00 |
24.3750 |
26.6702 |
23.6250 |
25.0422 |
Oct-98 |
65 |
540.00 |
19.2500 |
20.4023 |
28.7500 |
28.7297 |
Oct-98 |
65 |
545.00 |
16.3750 |
17.5116 |
31.0000 |
30.8337 |
Oct-98 |
65 |
550.00 |
13.7500 |
15.0727 |
33.5000 |
33.3808 |
Oct-98 |
65 |
555.00 |
11.8750 |
12.6338 |
36.7500 |
35.9482 |
Oct-98 |
65 |
560.00 |
10.5000 |
10.4464 |
40.3750 |
38.7967 |
Oct-98 |
65 |
565.00 |
8.6250 |
8.8587 |
44.0000 |
42.2211 |
Oct-98 |
65 |
570.00 |
7.1250 |
7.2710 |
45.6875 |
45.6832 |
Oct-98 |
65 |
575.00 |
5.7500 |
5.7887 |
51.3750 |
49.3227 |