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 :540.24, Ask: 540.77
Contracts |
Calls |
Puts |
||||
Maturity |
Days |
Strike |
Closing Price |
Fair Value |
Closing Price |
Fair Value |
Sep-98 |
25 |
500.00 |
47.1250 |
44.8353 |
4.8125 |
3.1522 |
Sep-98 |
25 |
510.00 |
38.2500 |
36.1672 |
6.1250 |
4.4537 |
Sep-98 |
25 |
520.00 |
29.8750 |
28.2499 |
7.8750 |
6.5079 |
Sep-98 |
25 |
530.00 |
22.1250 |
21.0550 |
10.3750 |
9.2914 |
Sep-98 |
25 |
535.00 |
18.6250 |
17.8629 |
11.7500 |
11.0886 |
Sep-98 |
25 |
540.00 |
15.1250 |
14.6708 |
13.2500 |
12.8966 |
Sep-98 |
25 |
550.00 |
9.2500 |
10.0048 |
18.2500 |
18.2240 |
Sep-98 |
25 |
560.00 |
5.1250 |
6.2248 |
23.8750 |
24.4793 |
Sep-98 |
25 |
570.00 |
2.3438 |
3.4983 |
31.3750 |
31.8330 |
Sep-98 |
25 |
580.00 |
0.9688 |
2.0370 |
40.1250 |
40.4806 |
Sep-98 |
25 |
590.00 |
0.4063 |
0.9787 |
49.6250 |
49.6645 |
Sep-98 |
25 |
600.00 |
0.1875 |
0.5139 |
59.5000 |
59.4932 |
Oct-98 |
53 |
480.00 |
71.2500 |
67.5619 |
7.1250 |
4.7146 |
Oct-98 |
53 |
490.00 |
62.5000 |
59.0500 |
8.3750 |
6.1371 |
Oct-98 |
53 |
500.00 |
53.7500 |
50.7793 |
9.7500 |
7.8039 |
Oct-98 |
53 |
520.00 |
37.7500 |
35.4098 |
14.0000 |
12.3208 |
Oct-98 |
53 |
530.00 |
30.5000 |
28.5189 |
16.7500 |
15.3873 |
Oct-98 |
53 |
540.00 |
23.7500 |
22.1886 |
20.2500 |
19.0313 |
Oct-98 |
53 |
550.00 |
17.3750 |
17.0377 |
24.2500 |
23.8578 |
Oct-98 |
53 |
560.00 |
12.3750 |
12.5420 |
29.2500 |
29.3840 |
Oct-98 |
53 |
580.00 |
5.3125 |
6.2637 |
42.8750 |
43.2651 |
Oct-98 |
53 |
590.00 |
3.1875 |
4.1361 |
50.8750 |
51.3600 |
Nov-98 |
88 |
470.00 |
84.7500 |
81.0863 |
9.3750 |
6.8422 |
Nov-98 |
88 |
500.00 |
59.7500 |
56.8896 |
14.3750 |
12.3361 |
Nov-98 |
88 |
520.00 |
45.1250 |
42.1738 |
19.6875 |
17.4428 |
Nov-98 |
88 |
530.00 |
38.0000 |
35.4449 |
22.6250 |
20.6455 |
Nov-98 |
88 |
540.00 |
31.2500 |
29.1540 |
25.8750 |
24.3081 |
Nov-98 |
88 |
550.00 |
25.2500 |
23.7846 |
30.0000 |
28.8965 |
Nov-98 |
88 |
575.00 |
13.1250 |
13.0242 |
43.6250 |
43.2269 |
Nov-98 |
88 |
580.00 |
11.1250 |
11.4732 |
46.8750 |
46.7142 |