FINA 6750 Urgent

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Table 1

Table 1: STOCK INDEX OPTION DATA FOR JULY 2, 2007
OBSERVATION EXPIRATION STOCK STRIKE LAST LAST LAST INDEX AVG.
DATE DATE INDEX CALL OR PUT PRICE VOLUME TRADE BID ASK VALUE PRICE
7/2/07 8/18/07 OEX C 695 12 17.9 17.3 18.7 699.49 18.000
7/2/07 8/18/07 OEX P 695 26 11.9 10.6 11.6 699.49 11.100
7/2/07 8/18/07 OEX C 700 50 14.3 14.1 15.2 699.49 14.650
7/2/07 8/18/07 OEX P 700 21 13.1 12.6 13.4 699.49 13.000
7/2/07 8/18/07 OEX C 705 2 10.0 11.3 12.3 699.49 11.800
7/2/07 8/18/07 OEX P 705 0 14.5 15.6 699.49 15.050
7/2/07 9/22/07 OEX C 690 0 26.7 28.4 699.49 27.550
7/2/07 9/22/07 OEX P 690 113 14.1 13.2 14.1 699.49 13.650
7/2/07 9/22/07 OEX C 700 61 19.8 20.2 21.6 699.49 20.900
7/2/07 9/22/07 OEX P 700 0 16.8 17.7 699.49 17.250
7/2/07 9/22/07 OEX C 710 0 14.5 15.7 699.49 15.100
7/2/07 9/22/07 OEX P 710 0 20.7 22.1 699.49 21.400
7/2/07 8/18/07 SPX C 1515 205 33.6 36.1 38.1 1519.43 37.100
7/2/07 8/18/07 SPX P 1515 87 27.0 25.2 27.2 1519.43 26.200
7/2/07 8/18/07 SPX C 1520 82 34.5 32.9 34.9 1519.43 33.900
7/2/07 8/18/07 SPX P 1520 108 30.4 27.0 29.0 1519.43 28.000
7/2/07 8/18/07 SPX C 1525 1615 30.0 29.9 31.9 1519.43 30.900
7/2/07 8/18/07 SPX P 1525 2256 30.0 28.9 30.9 1519.43 29.900
7/2/07 9/22/07 SPX C 1515 0 49.8 51.8 1519.43 50.800
7/2/07 9/22/07 SPX P 1515 2 36.6 33.8 35.8 1519.43 34.800
7/2/07 9/22/07 SPX C 1520 108 46.4 46.6 48.6 1519.43 47.600
7/2/07 9/22/07 SPX P 1520 85 41.0 35.5 37.5 1519.43 36.500
7/2/07 9/22/07 SPX C 1525 11077 41.0 43.5 45.5 1519.43 44.500
7/2/07 9/22/07 SPX P 1525 10381 41.0 37.3 39.3 1519.43 38.300

Table 2

Table 2: DAILY STOCK INDEX VALUES FOR FIRST HALF OF 2007
First three months Last three months
All six months
DATE SPX Return OEX Return DATE SPX Return OEX Return DATE SPX Return OEX Return
3-Jan-2007 1416.60 660.29 3-Jan-2007 1416.60 660.29 2-Apr-2007 1424.55 0.002597 650.65 0.00117
4-Jan-2007 1418.34 0.001228 661.00 0.00108 4-Jan-2007 1418.34 0.001228 661.00 0.00108 3-Apr-2007 1437.77 0.009280 656.66 0.00924
5-Jan-2007 1409.71 -0.006085 657.50 -0.00530 5-Jan-2007 1409.71 -0.006085 657.50 -0.00530 4-Apr-2007 1439.37 0.001113 657.77 0.00169
8-Jan-2007 1412.84 0.002220 659.15 0.00251 8-Jan-2007 1412.84 0.002220 659.15 0.00251 5-Apr-2007 1443.76 0.003050 659.73 0.00298
9-Jan-2007 1412.11 -0.000517 657.89 -0.00191 9-Jan-2007 1412.11 -0.000517 657.89 -0.00191 9-Apr-2007 1444.61 0.000589 660.13 0.00061
10-Jan-2007 1414.85 0.001940 658.35 0.00070 10-Jan-2007 1414.85 0.001940 658.35 0.00070 10-Apr-2007 1448.39 0.002617 662.08 0.00295
11-Jan-2007 1423.82 0.006340 661.64 0.00500 11-Jan-2007 1423.82 0.006340 661.64 0.00500 11-Apr-2007 1438.87 -0.006573 658.13 -0.00597
12-Jan-2007 1430.73 0.004853 665.67 0.00609 12-Jan-2007 1430.73 0.004853 665.67 0.00609 12-Apr-2007 1447.80 0.006206 662.38 0.00646
16-Jan-2007 1431.90 0.000818 666.03 0.00054 16-Jan-2007 1431.90 0.000818 666.03 0.00054 13-Apr-2007 1452.85 0.003488 665.35 0.00448
17-Jan-2007 1430.62 -0.000894 665.20 -0.00125 17-Jan-2007 1430.62 -0.000894 665.20 -0.00125 16-Apr-2007 1468.47 0.010751 672.01 0.01001
18-Jan-2007 1426.37 -0.002971 664.04 -0.00174 18-Jan-2007 1426.37 -0.002971 664.04 -0.00174 17-Apr-2007 1471.48 0.002050 673.56 0.00231
19-Jan-2007 1430.50 0.002895 665.38 0.00202 19-Jan-2007 1430.50 0.002895 665.38 0.00202 18-Apr-2007 1472.50 0.000693 674.10 0.00080
22-Jan-2007 1422.95 -0.005278 662.41 -0.00446 22-Jan-2007 1422.95 -0.005278 662.41 -0.00446 19-Apr-2007 1470.73 -0.001202 673.99 -0.00016
23-Jan-2007 1427.99 0.003542 664.12 0.00258 23-Jan-2007 1427.99 0.003542 664.12 0.00258 20-Apr-2007 1484.35 0.009261 680.82 0.01013
24-Jan-2007 1440.13 0.008501 669.94 0.00876 24-Jan-2007 1440.13 0.008501 669.94 0.00876 23-Apr-2007 1480.93 -0.002304 677.59 -0.00474
25-Jan-2007 1423.90 -0.011270 661.34 -0.01284 25-Jan-2007 1423.90 -0.011270 661.34 -0.01284 24-Apr-2007 1480.41 -0.000351 677.16 -0.00063
26-Jan-2007 1422.18 -0.001208 660.35 -0.00150 26-Jan-2007 1422.18 -0.001208 660.35 -0.00150 25-Apr-2007 1495.42 0.010139 684.37 0.01065
29-Jan-2007 1420.62 -0.001097 659.55 -0.00121 29-Jan-2007 1420.62 -0.001097 659.55 -0.00121 26-Apr-2007 1494.25 -0.000782 683.66 -0.00104
30-Jan-2007 1428.82 0.005772 662.79 0.00491 30-Jan-2007 1428.82 0.005772 662.79 0.00491 27-Apr-2007 1494.07 -0.000120 684.42 0.00111
31-Jan-2007 1438.24 0.006593 666.78 0.00602 31-Jan-2007 1438.24 0.006593 666.78 0.00602 30-Apr-2007 1482.37 -0.007831 680.65 -0.00551
1-Feb-2007 1445.94 0.005354 668.89 0.00316 1-Feb-2007 1445.94 0.005354 668.89 0.00316 1-May-2007 1486.30 0.002651 683.22 0.00378
2-Feb-2007 1448.39 0.001694 669.59 0.00105 2-Feb-2007 1448.39 0.001694 669.59 0.00105 2-May-2007 1495.92 0.006472 686.42 0.00468
5-Feb-2007 1446.99 -0.000967 669.21 -0.00057 5-Feb-2007 1446.99 -0.000967 669.21 -0.00057 3-May-2007 1502.39 0.004325 689.40 0.00434
6-Feb-2007 1448.00 0.000698 668.91 -0.00045 6-Feb-2007 1448.00 0.000698 668.91 -0.00045 4-May-2007 1505.62 0.002150 690.95 0.00225
7-Feb-2007 1450.02 0.001395 668.46 -0.00067 7-Feb-2007 1450.02 0.001395 668.46 -0.00067 7-May-2007 1509.48 0.002564 692.79 0.00266
8-Feb-2007 1448.31 -0.001179 667.16 -0.00194 8-Feb-2007 1448.31 -0.001179 667.16 -0.00194 8-May-2007 1507.72 -0.001166 692.05 -0.00107
9-Feb-2007 1438.06 -0.007077 663.18 -0.00597 9-Feb-2007 1438.06 -0.007077 663.18 -0.00597 9-May-2007 1512.58 0.003223 693.43 0.00199
12-Feb-2007 1433.37 -0.003261 661.02 -0.00326 12-Feb-2007 1433.37 -0.003261 661.02 -0.00326 10-May-2007 1491.47 -0.013956 683.73 -0.01399
13-Feb-2007 1444.26 0.007597 665.82 0.00726 13-Feb-2007 1444.26 0.007597 665.82 0.00726 11-May-2007 1505.85 0.009641 690.04 0.00923
14-Feb-2007 1455.30 0.007644 670.21 0.00659 14-Feb-2007 1455.30 0.007644 670.21 0.00659 14-May-2007 1503.15 -0.001793 689.31 -0.00106
15-Feb-2007 1456.81 0.001038 669.73 -0.00072 15-Feb-2007 1456.81 0.001038 669.73 -0.00072 15-May-2007 1501.19 -0.001304 689.18 -0.00019
16-Feb-2007 1455.54 -0.000872 668.84 -0.00133 16-Feb-2007 1455.54 -0.000872 668.84 -0.00133 16-May-2007 1514.14 0.008626 695.95 0.00982
20-Feb-2007 1459.68 0.002844 670.05 0.00181 20-Feb-2007 1459.68 0.002844 670.05 0.00181 17-May-2007 1512.75 -0.000918 695.16 -0.00114
21-Feb-2007 1457.63 -0.001404 668.40 -0.00246 21-Feb-2007 1457.63 -0.001404 668.40 -0.00246 18-May-2007 1522.75 0.006610 699.80 0.00667
22-Feb-2007 1456.38 -0.000858 667.22 -0.00177 22-Feb-2007 1456.38 -0.000858 667.22 -0.00177 21-May-2007 1525.10 0.001543 699.91 0.00016
23-Feb-2007 1451.19 -0.003564 664.01 -0.00481 23-Feb-2007 1451.19 -0.003564 664.01 -0.00481 22-May-2007 1524.12 -0.000643 699.12 -0.00113
26-Feb-2007 1449.37 -0.001254 663.38 -0.00095 26-Feb-2007 1449.37 -0.001254 663.38 -0.00095 23-May-2007 1522.28 -0.001207 699.01 -0.00016
27-Feb-2007 1399.04 -0.034725 639.71 -0.03568 27-Feb-2007 1399.04 -0.034725 639.71 -0.03568 24-May-2007 1507.51 -0.009703 693.47 -0.00793
28-Feb-2007 1406.82 0.005561 643.74 0.00630 28-Feb-2007 1406.82 0.005561 643.74 0.00630 25-May-2007 1515.73 0.005453 697.27 0.00548
1-Mar-2007 1403.17 -0.002595 642.05 -0.00263 1-Mar-2007 1403.17 -0.002595 642.05 -0.00263 29-May-2007 1518.11 0.001570 697.70 0.00062
2-Mar-2007 1387.17 -0.011403 635.28 -0.01054 2-Mar-2007 1387.17 -0.011403 635.28 -0.01054 30-May-2007 1530.23 0.007984 702.99 0.00758
5-Mar-2007 1374.12 -0.009408 630.47 -0.00757 5-Mar-2007 1374.12 -0.009408 630.47 -0.00757 31-May-2007 1530.62 0.000255 702.43 -0.00080
6-Mar-2007 1395.41 0.015494 639.96 0.01505 6-Mar-2007 1395.41 0.015494 639.96 0.01505 1-Jun-2007 1536.34 0.003737 704.71 0.00325
7-Mar-2007 1391.97 -0.002465 638.16 -0.00281 7-Mar-2007 1391.97 -0.002465 638.16 -0.00281 4-Jun-2007 1539.18 0.001849 705.57 0.00122
8-Mar-2007 1401.89 0.007127 642.28 0.00646 8-Mar-2007 1401.89 0.007127 642.28 0.00646 5-Jun-2007 1530.95 -0.005347 702.28 -0.00466
9-Mar-2007 1402.85 0.000685 642.42 0.00022 9-Mar-2007 1402.85 0.000685 642.42 0.00022 6-Jun-2007 1517.38 -0.008864 696.57 -0.00813
12-Mar-2007 1406.60 0.002673 644.19 0.00276 12-Mar-2007 1406.60 0.002673 644.19 0.00276 7-Jun-2007 1490.72 -0.017570 685.33 -0.01614
13-Mar-2007 1377.95 -0.020368 631.17 -0.02021 13-Mar-2007 1377.95 -0.020368 631.17 -0.02021 8-Jun-2007 1507.67 0.011370 693.11 0.01135
14-Mar-2007 1387.17 0.006691 635.15 0.00631 14-Mar-2007 1387.17 0.006691 635.15 0.00631 11-Jun-2007 1509.12 0.000962 693.73 0.00089
15-Mar-2007 1392.28 0.003684 636.74 0.00250 15-Mar-2007 1392.28 0.003684 636.74 0.00250 12-Jun-2007 1493.00 -0.010682 686.16 -0.01091
16-Mar-2007 1386.95 -0.003828 633.94 -0.00440 16-Mar-2007 1386.95 -0.003828 633.94 -0.00440 13-Jun-2007 1515.67 0.015184 696.06 0.01443
19-Mar-2007 1402.06 0.010894 640.69 0.01065 19-Mar-2007 1402.06 0.010894 640.69 0.01065 14-Jun-2007 1522.97 0.004816 699.82 0.00540
20-Mar-2007 1410.94 0.006334 644.71 0.00627 20-Mar-2007 1410.94 0.006334 644.71 0.00627 15-Jun-2007 1532.91 0.006527 704.53 0.00673
21-Mar-2007 1435.04 0.017081 655.51 0.01675 21-Mar-2007 1435.04 0.017081 655.51 0.01675 18-Jun-2007 1531.05 -0.001213 704.18 -0.00050
22-Mar-2007 1434.54 -0.000348 656.07 0.00085 22-Mar-2007 1434.54 -0.000348 656.07 0.00085 19-Jun-2007 1533.70 0.001731 705.79 0.00229
23-Mar-2007 1436.11 0.001094 655.98 -0.00014 23-Mar-2007 1436.11 0.001094 655.98 -0.00014 20-Jun-2007 1512.84 -0.013601 696.78 -0.01277
26-Mar-2007 1437.50 0.000968 656.92 0.00143 26-Mar-2007 1437.50 0.000968 656.92 0.00143 21-Jun-2007 1522.19 0.006180 700.78 0.00574
27-Mar-2007 1428.61 -0.006184 653.07 -0.00586 27-Mar-2007 1428.61 -0.006184 653.07 -0.00586 22-Jun-2007 1502.56 -0.012896 690.77 -0.01428
28-Mar-2007 1417.23 -0.007966 647.87 -0.00796 28-Mar-2007 1417.23 -0.007966 647.87 -0.00796 25-Jun-2007 1497.74 -0.003208 689.72 -0.00152
29-Mar-2007 1422.53 0.003740 650.93 0.00472 29-Mar-2007 1422.53 0.003740 650.93 0.00472 26-Jun-2007 1492.89 -0.003238 687.78 -0.00281
30-Mar-2007 1420.86 -0.001174 649.89 -0.00160 30-Mar-2007 1420.86 -0.001174 649.89 -0.00160 27-Jun-2007 1506.34 0.009009 693.94 0.00896
2-Apr-2007 1424.55 0.002597 650.65 0.00117 28-Jun-2007 1505.71 -0.000418 693.86 -0.00012
3-Apr-2007 1437.77 0.009280 656.66 0.00924 29-Jun-2007 1503.35 -0.001567 692.77 -0.00157
4-Apr-2007 1439.37 0.001113 657.77 0.00169 Std. 0.0076518502 Std. 0.007573299
5-Apr-2007 1443.76 0.003050 659.73 0.00298 Std. 0.006558317 Std. 0.0063840391
9-Apr-2007 1444.61 0.000589 660.13 0.00061
10-Apr-2007 1448.39 0.002617 662.08 0.00295
11-Apr-2007 1438.87 -0.006573 658.13 -0.00597
12-Apr-2007 1447.80 0.006206 662.38 0.00646
13-Apr-2007 1452.85 0.003488 665.35 0.00448
16-Apr-2007 1468.47 0.010751 672.01 0.01001
17-Apr-2007 1471.48 0.002050 673.56 0.00231
18-Apr-2007 1472.50 0.000693 674.10 0.00080
19-Apr-2007 1470.73 -0.001202 673.99 -0.00016
20-Apr-2007 1484.35 0.009261 680.82 0.01013
23-Apr-2007 1480.93 -0.002304 677.59 -0.00474
24-Apr-2007 1480.41 -0.000351 677.16 -0.00063
25-Apr-2007 1495.42 0.010139 684.37 0.01065
26-Apr-2007 1494.25 -0.000782 683.66 -0.00104
27-Apr-2007 1494.07 -0.000120 684.42 0.00111
30-Apr-2007 1482.37 -0.007831 680.65 -0.00551
1-May-2007 1486.30 0.002651 683.22 0.00378
2-May-2007 1495.92 0.006472 686.42 0.00468
3-May-2007 1502.39 0.004325 689.40 0.00434
4-May-2007 1505.62 0.002150 690.95 0.00225
7-May-2007 1509.48 0.002564 692.79 0.00266
8-May-2007 1507.72 -0.001166 692.05 -0.00107
9-May-2007 1512.58 0.003223 693.43 0.00199
10-May-2007 1491.47 -0.013956 683.73 -0.01399
11-May-2007 1505.85 0.009641 690.04 0.00923
14-May-2007 1503.15 -0.001793 689.31 -0.00106
15-May-2007 1501.19 -0.001304 689.18 -0.00019
16-May-2007 1514.14 0.008626 695.95 0.00982
17-May-2007 1512.75 -0.000918 695.16 -0.00114
18-May-2007 1522.75 0.006610 699.80 0.00667
21-May-2007 1525.10 0.001543 699.91 0.00016
22-May-2007 1524.12 -0.000643 699.12 -0.00113
23-May-2007 1522.28 -0.001207 699.01 -0.00016
24-May-2007 1507.51 -0.009703 693.47 -0.00793
25-May-2007 1515.73 0.005453 697.27 0.00548
29-May-2007 1518.11 0.001570 697.70 0.00062
30-May-2007 1530.23 0.007984 702.99 0.00758
31-May-2007 1530.62 0.000255 702.43 -0.00080
1-Jun-2007 1536.34 0.003737 704.71 0.00325
4-Jun-2007 1539.18 0.001849 705.57 0.00122
5-Jun-2007 1530.95 -0.005347 702.28 -0.00466
6-Jun-2007 1517.38 -0.008864 696.57 -0.00813
7-Jun-2007 1490.72 -0.017570 685.33 -0.01614
8-Jun-2007 1507.67 0.011370 693.11 0.01135
11-Jun-2007 1509.12 0.000962 693.73 0.00089
12-Jun-2007 1493.00 -0.010682 686.16 -0.01091
13-Jun-2007 1515.67 0.015184 696.06 0.01443
14-Jun-2007 1522.97 0.004816 699.82 0.00540
15-Jun-2007 1532.91 0.006527 704.53 0.00673
18-Jun-2007 1531.05 -0.001213 704.18 -0.00050
19-Jun-2007 1533.70 0.001731 705.79 0.00229
20-Jun-2007 1512.84 -0.013601 696.78 -0.01277
21-Jun-2007 1522.19 0.006180 700.78 0.00574
22-Jun-2007 1502.56 -0.012896 690.77 -0.01428
25-Jun-2007 1497.74 -0.003208 689.72 -0.00152
26-Jun-2007 1492.89 -0.003238 687.78 -0.00281
27-Jun-2007 1506.34 0.009009 693.94 0.00896
28-Jun-2007 1505.71 -0.000418 693.86 -0.00012
29-Jun-2007 1503.35 -0.001567 692.77 -0.00157
Std. 0.007118 0.007011
WEEKENDS
ALL SIX MONTHS FIRST THREE MONTHS LAST THREE MONTHS
DATE SPX Return OEX Return DATE SPX Return OEX Return DATE SPX Return OEX Return
3-Jan-2007 1416.60 660.29 3-Jan-2007 1416.60 660.29 5-Apr-2007 1443.76 659.73
5-Jan-2007 1409.71 -0.004864 657.50 -0.00423 5-Jan-2007 1409.71 -0.004864 657.50 -0.00423 13-Apr-2007 1452.85 0.006296 665.35 0.00852
12-Jan-2007 1430.73 0.014911 665.67 0.01243 12-Jan-2007 1430.73 0.014911 665.67 0.01243 20-Apr-2007 1484.35 0.021682 680.82 0.02325
19-Jan-2007 1430.50 -0.000161 665.38 -0.00044 19-Jan-2007 1430.50 -0.000161 665.38 -0.00044 27-Apr-2007 1494.07 0.006548 684.42 0.00529
26-Jan-2007 1422.18 -0.005816 660.35 -0.00756 26-Jan-2007 1422.18 -0.005816 660.35 -0.00756 4-May-2007 1505.62 0.007731 690.95 0.00954
2-Feb-2007 1448.39 0.018429 669.59 0.01399 2-Feb-2007 1448.39 0.018429 669.59 0.01399 11-May-2007 1505.85 0.000153 690.04 -0.00132
9-Feb-2007 1438.06 -0.007132 663.18 -0.00957 9-Feb-2007 1438.06 -0.007132 663.18 -0.00957 18-May-2007 1522.75 0.011223 699.80 0.01414
16-Feb-2007 1455.54 0.012155 668.84 0.00853 16-Feb-2007 1455.54 0.012155 668.84 0.00853 25-May-2007 1515.73 -0.004610 697.27 -0.00362
23-Feb-2007 1451.19 -0.002989 664.01 -0.00722 23-Feb-2007 1451.19 -0.002989 664.01 -0.00722 1-Jun-2007 1536.34 0.013597 704.71 0.01067
2-Mar-2007 1387.17 -0.044116 635.28 -0.04327 2-Mar-2007 1387.17 -0.044116 635.28 -0.04327 8-Jun-2007 1507.67 -0.018661 693.11 -0.01646
9-Mar-2007 1402.85 0.011304 642.42 0.01124 9-Mar-2007 1402.85 0.011304 642.42 0.01124 15-Jun-2007 1532.91 0.016741 704.53 0.01648
16-Mar-2007 1386.95 -0.011334 633.94 -0.01320 16-Mar-2007 1386.95 -0.011334 633.94 -0.01320 22-Jun-2007 1502.56 -0.019799 690.77 -0.01953
23-Mar-2007 1436.11 0.035445 655.98 0.03477 23-Mar-2007 1436.11 0.035445 655.98 0.03477 29-Jun-2007 1503.35 0.000526 692.77 0.00290
30-Mar-2007 1420.86 -0.010619 649.89 -0.00928 30-Mar-2007 1420.86 -0.010619 649.89 -0.00928
5-Apr-2007 1443.76 0.016117 659.73 0.01514
13-Apr-2007 1452.85 0.006296 665.35 0.00852 Std. 0.018390 Std. 0.017748 Std. 0.012323 Std. 0.012200
20-Apr-2007 1484.35 0.021682 680.82 0.02325
27-Apr-2007 1494.07 0.006548 684.42 0.00529
4-May-2007 1505.62 0.007731 690.95 0.00954
11-May-2007 1505.85 0.000153 690.04 -0.00132
18-May-2007 1522.75 0.011223 699.80 0.01414
25-May-2007 1515.73 -0.004610 697.27 -0.00362
1-Jun-2007 1536.34 0.013597 704.71 0.01067
8-Jun-2007 1507.67 -0.018661 693.11 -0.01646
15-Jun-2007 1532.91 0.016741 704.53 0.01648
22-Jun-2007 1502.56 -0.019799 690.77 -0.01953
29-Jun-2007 1503.35 0.000526 692.77 0.00290
Std 0.015777 std 0.01548

Table 3

TABLE 3: INPUTS FOR OPTION PRICING FORMULAE
(1) On July 2, 2007, the values of the stock indices were SPX=1519.43 and OEX=699.49.
(2) On July 2, 2007, the 3-month T-bill rate (quoted as a bank discount yield) was 4.81.
(3) On July 2, 2007, the days to expiration are 47 and 82 days for the August and September option contracts, respectively.
(4) On July 2, 2007, one can get estimates of daily dividends for SPX and OEX using CRSP S&P 500 returns, although the estimates
for OEX are admittedly "quick and dirty" estimates and less accurate than those for SPX. The second and third columns are data
for the S&P 500 from CRSP, including the total return with dividends (CSP500_RET) and the return without dividends (CSP500_RETX)
for the CRSP Value-Weighted Index of the S&P 500 Universe. The fourth column is the difference obtained by subtracting returns in
the third column from returns in the second column. This difference equals the dividend component of the S&P 500 return exactly,
but it only approximates the dividend component of the OEX return. (Analogues of the two S&P 500 return variables are unavailable
from CRSP, which is why this approximation is used.) Given this difference, one can estimate dividends at time t+1 by multiplying the
value of the index at time t by the value of the difference variable at time t+1.
DATE CSP500_RET CSP500_RETX DIFFERENCE SPX OEX SPX EST DIV OEX EST DIV
6/29/07 -0.0016 -0.0016 0.0000 1503.35 692.77
7/2/07 0.0108 0.0108 0.0000 1519.43 699.49 0.01202680 0.00554216
7/3/07 0.0038 0.0036 0.0002 1524.87 702.93 0.30236657 0.13919851
7/5/07 0.0003 0.0003 0.0000 1525.40 702.82 0.01677357 0.00773223
7/6/07 0.0037 0.0034 0.0003 1530.44 704.50 0.43473900 0.20030370
7/9/07 0.0009 0.0009 0.0000 1531.85 705.58 0.00918264 0.00422700
7/10/07 -0.0143 -0.0143 0.0000 1510.12 696.21 0.00459555 0.00211674
7/11/07 0.0058 0.0057 0.0001 1518.76 700.60 0.18272452 0.08424141
7/12/07 0.0190 0.0190 0.0000 1547.70 714.74 0.01366884 0.00630540
7/13/07 0.0031 0.0031 0.0000 1552.50 717.17 0.01857240 0.00857688
7/16/07 -0.0019 -0.0019 0.0000 1549.52 717.01 0.00000000 0.00000000
7/17/07 -0.0001 -0.0001 0.0000 1549.37 717.22 0.00000000 0.00000000
7/18/07 -0.0021 -0.0022 0.0001 1546.17 714.92 0.16113448 0.07459088
7/19/07 0.0046 0.0046 0.0000 1553.08 718.11 0.03710808 0.01715808
7/20/07 -0.0123 -0.0123 0.0001 1534.10 709.92 0.14443644 0.06678423
7/23/07 0.0048 0.0048 0.0000 1541.57 714.76 0.01994330 0.00922896
7/24/07 -0.0195 -0.0195 0.0000 1511.04 701.20 0.00000000 0.00000000
7/25/07 0.0046 0.0045 0.0000 1518.09 705.94 0.01511040 0.00701200
7/26/07 -0.0233 -0.0233 0.0000 1482.66 689.84 0.00303618 0.00141188
7/27/07 -0.0159 -0.0160 0.0001 1458.95 679.14 0.21795102 0.10140648
7/30/07 0.0101 0.0101 0.0000 1473.91 685.09 0.03355585 0.01562022
7/31/07 -0.0126 -0.0126 0.0000 1455.27 675.75 0.00884346 0.00411054
8/1/07 0.0073 0.0073 0.0001 1465.81 681.85 0.09313728 0.04324800
8/2/07 0.0047 0.0045 0.0002 1472.20 684.51 0.34739697 0.16159845
8/3/07 -0.0264 -0.0265 0.0001 1433.06 667.42 0.08833200 0.04107060
8/6/07 0.0241 0.0241 0.0000 1467.67 683.66 0.02722814 0.01268098
8/7/07 0.0061 0.0060 0.0000 1476.71 687.82 0.05577146 0.02597908
8/8/07 0.0146 0.0143 0.0003 1497.49 698.14 0.49617456 0.23110752
8/9/07 -0.0291 -0.0293 0.0002 1453.09 676.02 0.26805071 0.12496706
8/10/07 0.0000 0.0000 0.0000 1453.64 675.62 0.00290618 0.00135204
8/13/07 -0.0003 -0.0005 0.0002 1452.92 674.51 0.22240692 0.10336986
8/14/07 -0.0183 -0.0184 0.0001 1426.54 663.96 0.16127412 0.07487061
8/15/07 -0.0135 -0.0139 0.0003 1406.70 655.83 0.43509470 0.20250780
8/16/07 0.0033 0.0033 0.0000 1411.27 658.30 0.05626800 0.02623320
8/17/07 0.0244 0.0244 0.0000 1445.94 674.53 0.00000000 0.00000000
8/20/07 -0.0003 -0.0003 0.0000 1445.55 674.12 0.00000000 0.00000000
8/21/07 0.0012 0.0012 0.0000 1447.12 673.85 0.00578220 0.00269648
8/22/07 0.0117 0.0117 0.0001 1464.07 681.28 0.08972144 0.04177870
8/23/07 -0.0012 -0.0012 0.0000 1462.50 681.84 0.01903291 0.00885664
8/24/07 0.0118 0.0116 0.0001 1479.37 689.47 0.15648750 0.07295688
8/27/07 -0.0085 -0.0085 0.0000 1466.79 684.74 0.00887622 0.00413682
8/28/07 -0.0234 -0.0234 0.0000 1432.36 668.99 0.06600555 0.03081330
8/29/07 0.0222 0.0218 0.0004 1463.76 683.02 0.53570264 0.25020226
8/30/07 -0.0042 -0.0042 0.0001 1457.64 680.46 0.08489808 0.03961516
8/31/07 0.0112 0.0112 0.0000 1473.99 687.47 0.02769516 0.01292874
9/4/07 0.0104 0.0104 0.0000 1489.42 694.23 0.02358384 0.01099952
9/5/07 -0.0111 -0.0115 0.0004 1472.29 686.63 0.66874958 0.31170927
9/6/07 0.0044 0.0042 0.0002 1478.55 688.91 0.25470617 0.11878699
9/7/07 -0.0168 -0.0168 0.0000 1453.55 677.74 0.00000000 0.00000000
9/10/07 -0.0013 -0.0014 0.0000 1451.70 678.04 0.05378135 0.02507638
9/11/07 0.0137 0.0137 0.0000 1471.49 687.65 0.00290340 0.00135608
9/12/07 0.0003 0.0000 0.0003 1471.56 688.42 0.39877379 0.18635315
9/13/07 0.0085 0.0084 0.0001 1483.95 695.00 0.08535048 0.03992836
9/14/07 0.0003 0.0003 0.0000 1484.25 694.38 0.00296790 0.00139000
9/17/07 -0.0052 -0.0052 0.0000 1476.65 691.12 0.01038975 0.00486066
9/18/07 0.0292 0.0292 0.0000 1519.78 710.08 0.01771980 0.00829344
9/19/07 0.0062 0.0062 0.0000 1529.03 713.53 0.04407362 0.02059232
9/20/07 -0.0065 -0.0067 0.0002 1518.75 709.81 0.32568339 0.15198189
9/21/07 0.0047 0.0047 0.0000 1525.75 713.35 0.00000000 0.00000000
9/24/07 -0.0052 -0.0052 0.0000 1517.73 710.14 0.00000000 0.00000000
9/25/07 -0.0004 -0.0004 0.0000 1517.21 710.52 0.02731914 0.01278252
9/26/07 0.0055 0.0053 0.0002 1525.42 714.06 0.27764943 0.13002516
9/27/07 0.0040 0.0039 0.0000 1531.38 716.46 0.05796596 0.02713428
9/28/07 -0.0030 -0.0030 0.0000 1526.75 714.49 0.01990794 0.00931398

About SC0-Data.xls

This data accompanies Second City Options: A Case Study on Index Options, by Don M. Chance and Michael L. Hemler. (Current Draft: September 7, 2009)

Part 1

OEX
Straddle
LC @700 14.1
LP @ 700 12.6
26.7
Max profit Infinity, X-St-P
Max loss 26.7
Break even 673.3
Break even 726.7

Part 2

Time period SPX volatility OEX volatility
All 6 mons (daily) 11.3468% 11.1785%
First 3 mons (daily) 12.2767% 12.1582%
Last 3 mons (daily) 10.5215% 10.2412%
All 6 mons (weekly) 11.6417% 11.4214%
First 3 mons (weekly) 13.8629% 13.3812%
Last 3 mons (weekly) 9.2860% 9.1832%
* SPX and OEX volatility are calculated using 'HistoricalVolatility10e' excel sheet, by pluging in numbers from table 2.
Input for 'BlackScholesMertonBinomial10e.xlsm'
S0 SPX=1519.43, OEX=699.49
X
T 0.1287671233
Cont. comp. rate 4.8922%
Div. Table 3 (SPX & OEX est div)
OUTPUT (IMPLIED VOLATILITY)
Index Option X IMP Volatility
SPX C 1515 14.7662%
SPX P 1515 14.3325%
SPX C 1520 14.4367%
SPX P 1520 14.0819%
SPX C 1525 14.2286%
SPX P 1525 13.8238%
OPX C 695 14.2775%
OPX P 695 14.3089%
OPX C 700 13.5490%
OPX P 700 14.0045%
OPX C 705 13.0638%
OPX P 705 13.3727%