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 : 522.18, Ask: 522.77
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
36 |
500.00 |
35.3750 |
37.2471 |
10.9375 |
13.0849 |
Sep-98 |
36 |
510.00 |
28.5000 |
30.2180 |
14.3750 |
16.0234 |
Sep-98 |
36 |
520.00 |
21.3125 |
23.7072 |
17.5000 |
19.4844 |
Sep-98 |
36 |
530.00 |
15.2500 |
17.9511 |
22.0000 |
23.7098 |
Sep-98 |
36 |
535.00 |
12.7500 |
15.1972 |
24.0625 |
25.9564 |
Sep-98 |
36 |
540.00 |
10.7500 |
12.8498 |
27.3750 |
28.6144 |
Sep-98 |
36 |
550.00 |
7.1875 |
8.7755 |
34.0000 |
34.5616 |
Sep-98 |
36 |
560.00 |
4.3125 |
5.9180 |
41.4375 |
41.7546 |
Sep-98 |
36 |
570.00 |
2.5625 |
3.6832 |
49.7500 |
49.6456 |
Sep-98 |
36 |
580.00 |
1.3750 |
2.3883 |
58.8750 |
58.4837 |
Sep-98 |
36 |
590.00 |
0.6875 |
1.4969 |
68.8750 |
67.8106 |
Sep-98 |
36 |
600.00 |
0.2500 |
0.8480 |
79.1250 |
77.5244 |
Oct-98 |
64 |
500.00 |
41.7500 |
45.4970 |
15.9375 |
20.0412 |
Oct-98 |
64 |
510.00 |
35.0000 |
38.6598 |
19.2500 |
23.1408 |
Oct-98 |
64 |
520.00 |
29.5000 |
32.1658 |
23.6250 |
26.5903 |
Oct-98 |
64 |
530.00 |
22.8750 |
26.1635 |
27.5000 |
30.5428 |
Oct-98 |
64 |
540.00 |
17.6250 |
20.6042 |
32.2500 |
34.9644 |
Oct-98 |
64 |
550.00 |
12.6250 |
15.7554 |
37.3125 |
40.1187 |
Oct-98 |
64 |
555.00 |
11.8750 |
13.6738 |
41.8750 |
43.0560 |
Oct-98 |
64 |
560.00 |
10.2500 |
11.8761 |
45.5000 |
46.2718 |
Oct-98 |
64 |
570.00 |
6.8750 |
8.5538 |
52.5000 |
53.0618 |
Oct-98 |
64 |
580.00 |
4.5000 |
6.1953 |
60.1250 |
60.8366 |
Nov-98 |
99 |
500.00 |
48.7500 |
54.9545 |
21.1250 |
27.8884 |
Nov-98 |
99 |
510.00 |
42.3750 |
48.0979 |
24.7500 |
30.9268 |
Nov-98 |
99 |
520.00 |
36.1250 |
41.4490 |
28.5000 |
34.1817 |
Nov-98 |
99 |
530.00 |
28.7500 |
35.1243 |
31.1250 |
37.7738 |
Nov-98 |
99 |
540.00 |
24.1250 |
29.1096 |
36.8750 |
41.7036 |
Nov-98 |
99 |
550.00 |
19.5000 |
23.6089 |
42.5000 |
46.1731 |
Nov-98 |
99 |
560.00 |
15.3750 |
18.8857 |
48.8750 |
51.4511 |
Nov-98 |
99 |
570.00 |
12.0000 |
14.6461 |
55.6250 |
57.2930 |
Nov-98 |
99 |
580.00 |
8.8750 |
11.3099 |
62.6250 |
64.0710 |
Nov-98 |
99 |
590.00 |
6.3750 |
8.6428 |
70.1250 |
71.6117 |