Fiar Values Kloffe KLCI Options
Following are option values for different Cash Index levels and days to maturity. The binomial model is used as a basis for valuation. Call class are followed by Put class, scroll down for Put class.
|
Call Options |
Jan-01 |
Jan-01 |
Volatility |
18.0% |
|
Strike |
640 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
19.9 |
18.0 |
15.8 |
13.1 |
|
655 |
21.3 |
20.7 |
20.0 |
19.1 |
|
660 |
25.4 |
25.2 |
25.1 |
24.8 |
|
665 |
30.5 |
30.4 |
30.4 |
30.4 |
|
670 |
35.8 |
35.8 |
35.7 |
35.7 |
|
675 |
41.0 |
41.0 |
41.0 |
41.0 |
|
680 |
46.2 |
46.2 |
46.2 |
46.2 |
|
685 |
51.6 |
51.6 |
51.6 |
51.6 |
|
690 |
57.0 |
57.0 |
57.0 |
57.0 |
|
695 |
62.3 |
62.3 |
62.3 |
62.3 |
|
700 |
67.6 |
67.6 |
67.6 |
67.6 |
|
705 |
72.9 |
72.9 |
72.9 |
72.9 |
|
710 |
78.2 |
78.2 |
78.2 |
78.2 |
|
715 |
83.5 |
83.5 |
83.5 |
83.5 |
|
720 |
88.9 |
88.9 |
88.9 |
88.9 |
|
725 |
94.3 |
94.3 |
94.3 |
94.3 |
|
730 |
99.7 |
99.7 |
99.7 |
99.7 |
|
Strike Price |
|
|
640 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
18.0% |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
660 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
9.7 |
7.7 |
5.4 |
2.9 |
|
655 |
11.9 |
9.9 |
7.6 |
4.6 |
|
660 |
14.4 |
12.3 |
9.9 |
6.9 |
|
665 |
17.3 |
15.2 |
12.8 |
9.8 |
|
670 |
20.3 |
18.3 |
16.1 |
13.3 |
|
675 |
23.9 |
21.9 |
19.6 |
17.2 |
|
680 |
27.5 |
25.6 |
23.7 |
21.5 |
|
685 |
31.4 |
29.7 |
27.8 |
26.1 |
|
690 |
35.5 |
33.8 |
32.3 |
30.8 |
|
695 |
39.7 |
38.4 |
36.9 |
35.7 |
|
700 |
44.2 |
42.9 |
41.7 |
40.7 |
|
705 |
48.8 |
47.6 |
46.5 |
45.6 |
|
710 |
53.4 |
52.3 |
51.4 |
50.6 |
|
715 |
58.2 |
57.2 |
56.3 |
55.6 |
|
720 |
62.9 |
62.1 |
61.3 |
60.6 |
|
725 |
67.8 |
67.0 |
66.3 |
65.6 |
|
730 |
72.7 |
72.0 |
71.3 |
70.6 |
|
Strike Price |
|
|
660 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
680 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
3.8 |
2.5 |
1.3 |
0.2 |
|
655 |
4.9 |
3.4 |
1.9 |
0.5 |
|
660 |
6.5 |
4.7 |
2.9 |
1.0 |
|
665 |
8.0 |
6.2 |
4.2 |
1.8 |
|
670 |
10.1 |
8.1 |
5.7 |
3.1 |
|
675 |
12.3 |
10.3 |
7.9 |
4.8 |
|
680 |
14.9 |
12.7 |
10.2 |
7.1 |
|
685 |
17.8 |
15.6 |
13.1 |
10.0 |
|
690 |
20.7 |
18.7 |
16.3 |
13.4 |
|
695 |
24.3 |
22.3 |
19.9 |
17.4 |
|
700 |
27.9 |
25.9 |
23.9 |
21.6 |
|
705 |
31.7 |
30.0 |
28.0 |
26.1 |
|
710 |
35.9 |
34.1 |
32.5 |
30.9 |
|
715 |
40.0 |
38.6 |
37.0 |
35.8 |
|
720 |
44.5 |
43.1 |
41.8 |
40.7 |
|
725 |
49.0 |
47.7 |
46.6 |
45.7 |
|
730 |
53.6 |
52.5 |
51.5 |
50.7 |
|
Strike Price |
|
|
680 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
700 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
1.2 |
0.6 |
0.2 |
0.0 |
|
655 |
1.7 |
0.9 |
0.3 |
0.0 |
|
660 |
2.2 |
1.4 |
0.5 |
0.1 |
|
665 |
3.1 |
1.9 |
0.9 |
0.1 |
|
670 |
4.1 |
2.8 |
1.4 |
0.3 |
|
675 |
5.3 |
3.7 |
2.1 |
0.6 |
|
680 |
6.8 |
5.0 |
3.1 |
1.1 |
|
685 |
8.4 |
6.5 |
4.4 |
2.0 |
|
690 |
10.5 |
8.4 |
6.0 |
3.3 |
|
695 |
12.7 |
10.6 |
8.2 |
5.0 |
|
700 |
15.3 |
13.1 |
10.5 |
7.3 |
|
705 |
18.2 |
16.0 |
13.4 |
10.2 |
|
710 |
21.1 |
19.0 |
16.6 |
13.6 |
|
715 |
24.7 |
22.6 |
20.2 |
17.5 |
|
720 |
28.3 |
26.2 |
24.1 |
21.7 |
|
725 |
32.1 |
30.3 |
28.2 |
26.2 |
|
730 |
36.2 |
34.4 |
32.6 |
31.0 |
|
Strike Price |
|
|
700 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
720 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
1.2 |
0.6 |
0.2 |
0.0 |
|
655 |
1.7 |
0.9 |
0.3 |
0.0 |
|
660 |
2.2 |
1.4 |
0.5 |
0.1 |
|
665 |
3.1 |
1.9 |
0.9 |
0.1 |
|
670 |
4.1 |
2.8 |
1.4 |
0.3 |
|
675 |
5.3 |
3.7 |
2.1 |
0.6 |
|
680 |
6.8 |
5.0 |
3.1 |
1.1 |
|
685 |
8.4 |
6.5 |
4.4 |
2.0 |
|
690 |
10.5 |
8.4 |
6.0 |
3.3 |
|
695 |
12.7 |
10.6 |
8.2 |
5.0 |
|
700 |
15.3 |
13.1 |
10.5 |
7.3 |
|
705 |
18.2 |
16.0 |
13.4 |
10.2 |
|
710 |
21.1 |
19.0 |
16.6 |
13.6 |
|
715 |
24.7 |
22.6 |
20.2 |
17.5 |
|
720 |
28.3 |
26.2 |
24.1 |
21.7 |
|
725 |
32.1 |
30.3 |
28.2 |
26.2 |
|
730 |
36.2 |
34.4 |
32.6 |
31.0 |
|
Strike Price |
|
|
720 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
740 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
0.1 |
0.0 |
0.0 |
0.0 |
|
655 |
0.1 |
0.0 |
0.0 |
0.0 |
|
660 |
0.1 |
0.0 |
0.0 |
0.0 |
|
665 |
0.2 |
0.1 |
0.0 |
0.0 |
|
670 |
0.4 |
0.1 |
0.0 |
0.0 |
|
675 |
0.5 |
0.2 |
0.0 |
0.0 |
|
680 |
0.8 |
0.3 |
0.1 |
0.0 |
|
685 |
1.0 |
0.5 |
0.1 |
0.0 |
|
690 |
1.5 |
0.8 |
0.2 |
0.0 |
|
695 |
2.1 |
1.2 |
0.4 |
0.0 |
|
700 |
2.8 |
1.7 |
0.7 |
0.1 |
|
705 |
3.7 |
2.3 |
1.1 |
0.2 |
|
710 |
4.6 |
3.2 |
1.6 |
0.4 |
|
715 |
6.0 |
4.2 |
2.5 |
0.8 |
|
720 |
7.6 |
5.7 |
3.5 |
1.3 |
|
725 |
9.2 |
7.2 |
5.0 |
2.2 |
|
730 |
11.4 |
9.2 |
6.6 |
3.6 |
|
Strike Price |
|
|
740 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Put Options |
|
Jan-01 |
Volatility |
18.0% |
|
Strike |
640 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
7.5 |
6.2 |
4.6 |
2.5 |
|
655 |
4.5 |
4.1 |
3.6 |
2.9 |
|
660 |
3.5 |
3.4 |
3.3 |
3.1 |
|
665 |
3.3 |
3.2 |
3.2 |
3.2 |
|
670 |
3.1 |
3.1 |
3.1 |
3.1 |
|
675 |
2.9 |
2.9 |
2.9 |
2.9 |
|
680 |
2.6 |
2.6 |
2.6 |
2.6 |
|
685 |
2.5 |
2.5 |
2.5 |
2.5 |
|
690 |
2.4 |
2.4 |
2.4 |
2.4 |
|
695 |
2.3 |
2.3 |
2.3 |
2.3 |
|
700 |
2.2 |
2.2 |
2.2 |
2.2 |
|
705 |
2.0 |
2.0 |
2.0 |
2.0 |
|
710 |
1.9 |
1.9 |
1.9 |
1.9 |
|
715 |
1.7 |
1.7 |
1.7 |
1.7 |
|
720 |
1.6 |
1.6 |
1.6 |
1.6 |
|
725 |
1.6 |
1.6 |
1.6 |
1.6 |
|
730 |
1.5 |
1.5 |
1.5 |
1.5 |
|
Strike Price |
|
|
640 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
660 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
17.2 |
15.8 |
14.2 |
12.3 |
|
655 |
14.4 |
13.0 |
11.3 |
9.0 |
|
660 |
11.9 |
10.4 |
8.7 |
6.2 |
|
665 |
9.8 |
8.3 |
6.6 |
4.1 |
|
670 |
7.8 |
6.4 |
4.8 |
2.6 |
|
675 |
6.4 |
5.0 |
3.4 |
1.6 |
|
680 |
5.0 |
3.7 |
2.4 |
0.9 |
|
685 |
3.9 |
2.8 |
1.5 |
0.4 |
|
690 |
3.0 |
1.9 |
1.1 |
0.2 |
|
695 |
2.2 |
1.5 |
0.6 |
0.1 |
|
700 |
1.7 |
1.0 |
0.4 |
0.0 |
|
705 |
1.2 |
0.7 |
0.2 |
0.0 |
|
710 |
0.9 |
0.5 |
0.1 |
0.0 |
|
715 |
0.7 |
0.3 |
0.1 |
0.0 |
|
720 |
0.4 |
0.2 |
0.0 |
0.0 |
|
725 |
0.3 |
0.1 |
0.0 |
0.0 |
|
730 |
0.2 |
0.1 |
0.0 |
0.0 |
|
Strike Price |
|
|
660 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
680 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
31.2 |
30.6 |
30.0 |
29.6 |
|
655 |
27.3 |
26.5 |
25.6 |
24.8 |
|
660 |
23.8 |
22.8 |
21.6 |
20.4 |
|
665 |
20.4 |
19.3 |
17.9 |
16.2 |
|
670 |
17.5 |
16.1 |
14.4 |
12.4 |
|
675 |
14.7 |
13.3 |
11.6 |
9.2 |
|
680 |
12.3 |
10.8 |
8.9 |
6.4 |
|
685 |
10.2 |
8.7 |
6.8 |
4.3 |
|
690 |
8.1 |
6.7 |
5.0 |
2.8 |
|
695 |
6.7 |
5.3 |
3.6 |
1.7 |
|
700 |
5.3 |
3.9 |
2.6 |
1.0 |
|
705 |
4.1 |
3.0 |
1.7 |
0.5 |
|
710 |
3.3 |
2.2 |
1.2 |
0.3 |
|
715 |
2.4 |
1.6 |
0.7 |
0.1 |
|
720 |
1.9 |
1.1 |
0.5 |
0.1 |
|
725 |
1.4 |
0.8 |
0.3 |
0.0 |
|
730 |
1.0 |
0.5 |
0.2 |
0.0 |
|
Strike Price |
|
|
680 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
700 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
48.5 |
48.6 |
48.8 |
49.3 |
|
655 |
44.0 |
43.8 |
43.9 |
44.3 |
|
660 |
39.5 |
39.4 |
39.2 |
39.4 |
|
665 |
35.5 |
34.9 |
34.5 |
34.5 |
|
670 |
31.4 |
30.7 |
30.0 |
29.6 |
|
675 |
27.6 |
26.7 |
25.8 |
24.9 |
|
680 |
24.1 |
23.0 |
21.7 |
20.4 |
|
685 |
20.7 |
19.5 |
18.1 |
16.3 |
|
690 |
17.9 |
16.4 |
14.6 |
12.6 |
|
695 |
15.1 |
13.6 |
11.8 |
9.4 |
|
700 |
12.6 |
11.1 |
9.2 |
6.6 |
|
705 |
10.5 |
9.0 |
7.1 |
4.5 |
|
710 |
8.5 |
7.0 |
5.3 |
3.0 |
|
715 |
7.0 |
5.6 |
3.8 |
1.8 |
|
720 |
5.6 |
4.2 |
2.8 |
1.0 |
|
725 |
4.4 |
3.2 |
1.9 |
0.6 |
|
730 |
3.5 |
2.4 |
1.3 |
0.3 |
|
Strike Price |
|
|
700 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
720 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
48.5 |
48.6 |
48.8 |
49.3 |
|
655 |
44.0 |
43.8 |
43.9 |
44.3 |
|
660 |
39.5 |
39.4 |
39.2 |
39.4 |
|
665 |
35.5 |
34.9 |
34.5 |
34.5 |
|
670 |
31.4 |
30.7 |
30.0 |
29.6 |
|
675 |
27.6 |
26.7 |
25.8 |
24.9 |
|
680 |
24.1 |
23.0 |
21.7 |
20.4 |
|
685 |
20.7 |
19.5 |
18.1 |
16.3 |
|
690 |
17.9 |
16.4 |
14.6 |
12.6 |
|
695 |
15.1 |
13.6 |
11.8 |
9.4 |
|
700 |
12.6 |
11.1 |
9.2 |
6.6 |
|
705 |
10.5 |
9.0 |
7.1 |
4.5 |
|
710 |
8.5 |
7.0 |
5.3 |
3.0 |
|
715 |
7.0 |
5.6 |
3.8 |
1.8 |
|
720 |
5.6 |
4.2 |
2.8 |
1.0 |
|
725 |
4.4 |
3.2 |
1.9 |
0.6 |
|
730 |
3.5 |
2.4 |
1.3 |
0.3 |
|
Strike Price |
|
|
720 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
|
|
|
|
|
|
|
Strike |
740 |
D to Exp |
|
|
|
Index Lev |
28 |
21 |
14 |
7 |
|
650 |
87.2 |
87.9 |
88.6 |
89.3 |
|
655 |
82.3 |
82.9 |
83.6 |
84.3 |
|
660 |
77.3 |
77.9 |
78.6 |
79.3 |
|
665 |
72.4 |
72.9 |
73.6 |
74.3 |
|
670 |
67.5 |
68.0 |
68.6 |
69.3 |
|
675 |
62.7 |
63.1 |
63.6 |
64.3 |
|
680 |
58.0 |
58.2 |
58.7 |
59.3 |
|
685 |
53.2 |
53.4 |
53.7 |
54.3 |
|
690 |
48.7 |
48.7 |
48.8 |
49.3 |
|
695 |
44.2 |
44.0 |
44.0 |
44.3 |
|
700 |
39.9 |
39.6 |
39.3 |
39.4 |
|
705 |
35.9 |
35.2 |
34.7 |
34.5 |
|
710 |
31.8 |
31.1 |
30.2 |
29.7 |
|
715 |
28.2 |
27.0 |
26.1 |
25.1 |
|
720 |
24.7 |
23.5 |
22.0 |
20.6 |
|
725 |
21.4 |
20.0 |
18.5 |
16.5 |
|
730 |
18.6 |
17.0 |
15.2 |
12.9 |
|
Strike Price |
|
|
740 |
|
|
Interest Rate |
|
|
0.05 |
|
|
Volatility |
|
|
0.18 |
|
|
Number Steps |
|
|
30 |
|
Last Updated on 13/01/2001
By F8
Email: kloffe@w3.to
