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 :537.27, Ask: 537.69
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
26 |
500.00 |
45.7500 |
44.0042 |
5.5000 |
5.2974 |
Sep-98 |
26 |
510.00 |
37.1250 |
35.3200 |
7.0000 |
6.5818 |
Sep-98 |
26 |
520.00 |
28.8750 |
27.1648 |
8.8750 |
8.3962 |
Sep-98 |
26 |
530.00 |
21.2500 |
19.9588 |
11.3125 |
11.1642 |
Sep-98 |
26 |
535.00 |
17.9375 |
16.5388 |
13.0625 |
12.7345 |
Sep-98 |
26 |
540.00 |
14.8125 |
13.6028 |
14.8750 |
14.7947 |
Sep-98 |
26 |
550.00 |
9.1250 |
8.6833 |
19.6250 |
19.8709 |
Sep-98 |
26 |
560.00 |
5.0000 |
5.3031 |
25.7500 |
26.5220 |
Sep-98 |
26 |
570.00 |
2.3125 |
2.7594 |
33.3750 |
34.1072 |
Sep-98 |
26 |
580.00 |
0.9375 |
1.5087 |
42.3750 |
43.0117 |
Sep-98 |
26 |
590.00 |
0.3750 |
0.7403 |
52.3750 |
52.5314 |
Sep-98 |
26 |
600.00 |
0.1563 |
0.3069 |
62.3750 |
62.5150 |
Oct-98 |
54 |
480.00 |
70.0000 |
67.0613 |
7.8750 |
7.2061 |
Oct-98 |
54 |
490.00 |
61.3750 |
58.6472 |
9.2500 |
8.7258 |
Oct-98 |
54 |
500.00 |
52.6250 |
50.4501 |
10.6250 |
10.4653 |
Oct-98 |
54 |
520.00 |
36.5000 |
34.9971 |
14.7500 |
14.8952 |
Oct-98 |
54 |
530.00 |
29.6250 |
28.1286 |
18.0625 |
17.9753 |
Oct-98 |
54 |
540.00 |
23.1250 |
21.8064 |
21.5000 |
21.6151 |
Oct-98 |
54 |
550.00 |
16.7500 |
16.3869 |
25.5000 |
26.1656 |
Oct-98 |
54 |
560.00 |
11.7500 |
12.0231 |
30.7500 |
31.7934 |
Oct-98 |
54 |
580.00 |
5.1875 |
5.7089 |
44.8750 |
45.6132 |
Oct-98 |
54 |
590.00 |
2.9375 |
3.7910 |
52.6250 |
53.9117 |
Nov-98 |
89 |
470.00 |
83.8750 |
80.2189 |
10.5000 |
8.9775 |
Nov-98 |
89 |
500.00 |
58.8750 |
56.3954 |
15.5000 |
14.8520 |
Nov-98 |
89 |
520.00 |
44.0000 |
41.7978 |
20.6250 |
20.0859 |
Nov-98 |
89 |
530.00 |
37.0000 |
35.1903 |
23.6250 |
23.4080 |
Nov-98 |
89 |
540.00 |
30.6250 |
29.0012 |
27.1250 |
27.1709 |
Nov-98 |
89 |
550.00 |
24.7500 |
23.4874 |
31.5000 |
31.6187 |
Nov-98 |
89 |
575.00 |
12.6250 |
12.8635 |
45.2500 |
46.0226 |
Nov-98 |
89 |
580.00 |
10.6250 |
11.2008 |
48.5000 |
49.3967 |