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 :542.84, Ask: 543.54
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
32 |
500.00 |
51.2500 |
48.3893 |
5.0625 |
3.6967 |
Sep-98 |
32 |
510.00 |
42.3750 |
39.7471 |
6.1875 |
5.0144 |
Sep-98 |
32 |
520.00 |
33.7500 |
31.6117 |
7.6250 |
6.8427 |
Sep-98 |
32 |
530.00 |
26.2500 |
24.0240 |
10.5000 |
9.2265 |
Sep-98 |
32 |
535.00 |
22.3750 |
20.7948 |
11.5000 |
10.9814 |
Sep-98 |
32 |
540.00 |
18.8750 |
17.5656 |
13.1250 |
12.7421 |
Sep-98 |
32 |
550.00 |
12.6250 |
12.2956 |
17.2500 |
17.4655 |
Sep-98 |
32 |
560.00 |
7.8750 |
7.8612 |
22.6250 |
23.0706 |
Sep-98 |
32 |
570.00 |
4.3125 |
4.9614 |
29.6250 |
30.2228 |
Sep-98 |
32 |
580.00 |
2.0625 |
2.9216 |
37.3750 |
38.3306 |
Sep-98 |
32 |
590.00 |
0.9688 |
1.4949 |
47.1250 |
47.1822 |
Sep-98 |
32 |
600.00 |
0.4375 |
0.8903 |
57.1250 |
56.8174 |
Oct-98 |
60 |
500.00 |
56.6875 |
54.6100 |
9.3750 |
8.6216 |
Oct-98 |
60 |
520.00 |
40.5625 |
38.7412 |
13.3125 |
12.6130 |
Oct-98 |
60 |
530.00 |
33.7500 |
31.3611 |
16.3125 |
15.1774 |
Oct-98 |
60 |
540.00 |
26.6250 |
24.7647 |
19.1250 |
18.5311 |
Oct-98 |
60 |
550.00 |
20.1250 |
19.0355 |
22.7500 |
22.7727 |
Oct-98 |
60 |
560.00 |
15.0000 |
13.9370 |
27.8750 |
27.6935 |
Oct-98 |
60 |
580.00 |
6.7500 |
7.0379 |
40.5000 |
40.9652 |
Oct-98 |
60 |
590.00 |
4.0625 |
4.5926 |
48.0000 |
48.8006 |
Nov-98 |
95 |
470.00 |
88.1250 |
85.4762 |
8.8750 |
8.2666 |
Nov-98 |
95 |
500.00 |
63.1250 |
60.8514 |
13.8750 |
13.2988 |
Nov-98 |
95 |
520.00 |
47.8750 |
45.5581 |
18.6250 |
17.7963 |
Nov-98 |
95 |
530.00 |
41.2500 |
38.3589 |
22.0000 |
20.5104 |
Nov-98 |
95 |
540.00 |
34.1250 |
31.7674 |
24.8750 |
23.8382 |
Nov-98 |
95 |
575.00 |
15.0000 |
13.8985 |
41.6250 |
40.9480 |
Nov-98 |
95 |
580.00 |
12.5000 |
12.2943 |
44.3750 |
44.3646 |