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 :537.99, Ask: 538.54
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
30 |
500.00 |
46.5000 |
44.5688 |
5.8750 |
4.8903 |
Sep-98 |
30 |
510.00 |
37.7500 |
35.9366 |
7.2500 |
6.2227 |
Sep-98 |
30 |
520.00 |
29.6250 |
27.9261 |
9.1875 |
8.1774 |
Sep-98 |
30 |
530.00 |
22.0000 |
20.7491 |
11.7500 |
10.9721 |
Sep-98 |
30 |
535.00 |
18.2500 |
17.3895 |
13.1875 |
12.6014 |
Sep-98 |
30 |
540.00 |
15.1250 |
14.3493 |
14.8750 |
14.5598 |
Sep-98 |
30 |
550.00 |
9.8750 |
9.4704 |
19.8750 |
19.6750 |
Sep-98 |
30 |
560.00 |
5.7500 |
5.9071 |
26.0000 |
26.1510 |
Sep-98 |
30 |
570.00 |
2.9375 |
3.1829 |
33.6250 |
33.5686 |
Sep-98 |
30 |
580.00 |
1.3750 |
1.8495 |
42.3750 |
42.3854 |
Sep-98 |
30 |
590.00 |
0.6250 |
0.9374 |
52.1250 |
51.7787 |
Sep-98 |
30 |
600.00 |
0.2500 |
0.4384 |
62.1250 |
61.7300 |
Oct-98 |
58 |
480.00 |
69.5000 |
67.0633 |
7.5000 |
6.2425 |
Oct-98 |
58 |
490.00 |
61.1250 |
58.6144 |
9.1250 |
7.7224 |
Oct-98 |
58 |
500.00 |
52.8750 |
50.3828 |
10.8750 |
9.4226 |
Oct-98 |
58 |
520.00 |
36.6250 |
34.8978 |
14.6250 |
13.8131 |
Oct-98 |
58 |
530.00 |
29.6250 |
27.9976 |
17.6250 |
16.8606 |
Oct-98 |
58 |
540.00 |
23.6250 |
21.6340 |
21.6250 |
20.4623 |
Oct-98 |
58 |
550.00 |
17.8750 |
16.3006 |
26.1250 |
25.1005 |
Oct-98 |
58 |
560.00 |
12.6250 |
11.9276 |
31.1250 |
30.7328 |
Oct-98 |
58 |
580.00 |
5.6250 |
5.7164 |
45.0000 |
44.7052 |
Oct-98 |
58 |
590.00 |
3.5625 |
3.7829 |
53.0000 |
53.0369 |
Nov-98 |
93 |
470.00 |
83.7500 |
80.1025 |
9.8750 |
7.8980 |
Nov-98 |
93 |
500.00 |
59.0000 |
56.0705 |
15.1250 |
13.5460 |
Nov-98 |
93 |
520.00 |
43.7500 |
41.4001 |
19.8750 |
18.6949 |
Nov-98 |
93 |
530.00 |
37.0000 |
34.7546 |
23.2500 |
21.9751 |
Nov-98 |
93 |
540.00 |
30.8750 |
28.5264 |
27.0000 |
25.6967 |
Nov-98 |
93 |
550.00 |
25.1250 |
23.0748 |
31.5000 |
30.2019 |
Nov-98 |
93 |
575.00 |
12.8750 |
12.5135 |
45.1250 |
44.6915 |
Nov-98 |
93 |
580.00 |
11.1250 |
10.9070 |
48.6250 |
48.1282 |