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 :533.51, Ask: 534.19
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
29 |
500.00 |
44.1250 |
43.3371 |
7.0625 |
8.1195 |
Sep-98 |
29 |
510.00 |
35.6250 |
34.9430 |
8.2500 |
9.6903 |
Sep-98 |
29 |
520.00 |
27.1250 |
26.8166 |
10.3750 |
11.5339 |
Sep-98 |
29 |
530.00 |
20.1250 |
19.6858 |
13.3125 |
14.3736 |
Sep-98 |
29 |
535.00 |
17.1250 |
16.3211 |
15.2500 |
16.0029 |
Sep-98 |
29 |
540.00 |
14.5000 |
13.6283 |
17.8750 |
18.2980 |
Sep-98 |
29 |
550.00 |
9.1875 |
8.4797 |
22.5000 |
23.1609 |
Sep-98 |
29 |
560.00 |
4.7500 |
5.1706 |
28.7500 |
29.8720 |
Sep-98 |
29 |
570.00 |
2.6250 |
2.8669 |
36.7500 |
37.6858 |
Sep-98 |
29 |
580.00 |
1.0625 |
1.3182 |
45.7500 |
46.4368 |
Sep-98 |
29 |
590.00 |
0.5000 |
0.7446 |
55.7500 |
56.1495 |
Sep-98 |
29 |
600.00 |
0.2188 |
0.3236 |
65.7500 |
66.1441 |
Oct-98 |
57 |
480.00 |
67.6250 |
66.7047 |
9.1250 |
10.3504 |
Oct-98 |
57 |
490.00 |
58.7500 |
58.3663 |
10.3750 |
11.9428 |
Oct-98 |
57 |
500.00 |
50.7500 |
50.2557 |
12.3750 |
13.7641 |
Oct-98 |
57 |
520.00 |
34.3750 |
34.7585 |
15.9375 |
18.1445 |
Oct-98 |
57 |
530.00 |
27.4375 |
27.8447 |
19.1875 |
21.1741 |
Oct-98 |
57 |
540.00 |
22.4375 |
21.6301 |
23.7500 |
24.9147 |
Oct-98 |
57 |
550.00 |
16.4375 |
16.0144 |
29.0625 |
29.2783 |
Oct-98 |
57 |
560.00 |
12.2500 |
11.6511 |
34.6250 |
34.9011 |
Oct-98 |
57 |
580.00 |
5.2500 |
5.2357 |
48.1250 |
48.6844 |
Oct-98 |
57 |
590.00 |
2.9375 |
3.5787 |
55.7500 |
57.2191 |
Nov-98 |
92 |
470.00 |
81.6250 |
79.2159 |
11.2500 |
11.5050 |
Nov-98 |
92 |
500.00 |
56.3750 |
55.6683 |
16.0000 |
17.6539 |
Nov-98 |
92 |
520.00 |
42.5000 |
41.1526 |
22.3125 |
22.9702 |
Nov-98 |
92 |
530.00 |
34.8750 |
34.5778 |
24.6250 |
26.3190 |
Nov-98 |
92 |
540.00 |
28.7500 |
28.5173 |
28.5000 |
30.1996 |
Nov-98 |
92 |
550.00 |
23.8750 |
22.8963 |
33.8750 |
34.5484 |
Nov-98 |
92 |
575.00 |
11.8750 |
12.3378 |
47.7500 |
48.9976 |
Nov-98 |
92 |
580.00 |
10.1250 |
10.5502 |
51.0000 |
52.2808 |