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Table 1

Table 1: STOCK INDEX OPTION DATA FOR JULY 2, 2007
OBSERVATION EXPIRATION STOCK STRIKE LAST LAST LAST INDEX
DATE DATE INDEX CALL OR PUT PRICE VOLUME TRADE BID ASK VALUE
20070702 20070818 OEX C 695 12 17.9 17.3 18.7 699.49
20070702 20070818 OEX P 695 26 11.9 10.6 11.6 699.49
20070702 20070818 OEX C 700 50 14.3 14.1 15.2 699.49
20070702 20070818 OEX P 700 21 13.1 12.6 13.4 699.49
20070702 20070818 OEX C 705 2 10.0 11.3 12.3 699.49
20070702 20070818 OEX P 705 0 14.5 15.6 699.49
20070702 20070922 OEX C 690 0 26.7 28.4 699.49
20070702 20070922 OEX P 690 113 14.1 13.2 14.1 699.49
20070702 20070922 OEX C 700 61 19.8 20.2 21.6 699.49
20070702 20070922 OEX P 700 0 16.8 17.7 699.49
20070702 20070922 OEX C 710 0 14.5 15.7 699.49
20070702 20070922 OEX P 710 0 20.7 22.1 699.49
20070702 20070818 SPX C 1515 205 33.6 36.1 38.1 1519.43
20070702 20070818 SPX P 1515 87 27.0 25.2 27.2 1519.43
20070702 20070818 SPX C 1520 82 34.5 32.9 34.9 1519.43
20070702 20070818 SPX P 1520 108 30.4 27.0 29.0 1519.43
20070702 20070818 SPX C 1525 1615 30.0 29.9 31.9 1519.43
20070702 20070818 SPX P 1525 2256 30.0 28.9 30.9 1519.43
20070702 20070922 SPX C 1515 0 49.8 51.8 1519.43
20070702 20070922 SPX P 1515 2 36.6 33.8 35.8 1519.43
20070702 20070922 SPX C 1520 108 46.4 46.6 48.6 1519.43
20070702 20070922 SPX P 1520 85 41.0 35.5 37.5 1519.43
20070702 20070922 SPX C 1525 11077 41.0 43.5 45.5 1519.43
20070702 20070922 SPX P 1525 10381 41.0 37.3 39.3 1519.43

Table 2

Table 2: DAILY STOCK INDEX VALUES FOR FIRST HALF OF 2007
DATE SPX OEX
3-Jan-2007 1416.60 660.29
4-Jan-2007 1418.34 0.12% 661.00
5-Jan-2007 1409.71 -0.61% 657.50
8-Jan-2007 1412.84 0.22% 659.15
9-Jan-2007 1412.11 -0.05% 657.89
10-Jan-2007 1414.85 0.19% 658.35
11-Jan-2007 1423.82 0.63% 661.64
12-Jan-2007 1430.73 0.49% 665.67
16-Jan-2007 1431.90 0.08% 666.03
17-Jan-2007 1430.62 -0.09% 665.20
18-Jan-2007 1426.37 -0.30% 664.04
19-Jan-2007 1430.50 0.29% 665.38
22-Jan-2007 1422.95 -0.53% 662.41
23-Jan-2007 1427.99 0.35% 664.12
24-Jan-2007 1440.13 0.85% 669.94
25-Jan-2007 1423.90 -1.13% 661.34
26-Jan-2007 1422.18 -0.12% 660.35
29-Jan-2007 1420.62 -0.11% 659.55
30-Jan-2007 1428.82 0.58% 662.79
31-Jan-2007 1438.24 0.66% 666.78
1-Feb-2007 1445.94 0.54% 668.89
2-Feb-2007 1448.39 0.17% 669.59
5-Feb-2007 1446.99 -0.10% 669.21
6-Feb-2007 1448.00 0.07% 668.91
7-Feb-2007 1450.02 0.14% 668.46
8-Feb-2007 1448.31 -0.12% 667.16
9-Feb-2007 1438.06 -0.71% 663.18
12-Feb-2007 1433.37 -0.33% 661.02
13-Feb-2007 1444.26 0.76% 665.82
14-Feb-2007 1455.30 0.76% 670.21
15-Feb-2007 1456.81 0.10% 669.73
16-Feb-2007 1455.54 -0.09% 668.84
20-Feb-2007 1459.68 0.28% 670.05
21-Feb-2007 1457.63 -0.14% 668.40
22-Feb-2007 1456.38 -0.09% 667.22
23-Feb-2007 1451.19 -0.36% 664.01
26-Feb-2007 1449.37 -0.13% 663.38
27-Feb-2007 1399.04 -3.47% 639.71
28-Feb-2007 1406.82 0.56% 643.74
1-Mar-2007 1403.17 -0.26% 642.05
2-Mar-2007 1387.17 -1.14% 635.28
5-Mar-2007 1374.12 -0.94% 630.47
6-Mar-2007 1395.41 1.55% 639.96
7-Mar-2007 1391.97 -0.25% 638.16
8-Mar-2007 1401.89 0.71% 642.28
9-Mar-2007 1402.85 0.07% 642.42
12-Mar-2007 1406.60 0.27% 644.19
13-Mar-2007 1377.95 -2.04% 631.17
14-Mar-2007 1387.17 0.67% 635.15
15-Mar-2007 1392.28 0.37% 636.74
16-Mar-2007 1386.95 -0.38% 633.94
19-Mar-2007 1402.06 1.09% 640.69
20-Mar-2007 1410.94 0.63% 644.71
21-Mar-2007 1435.04 1.71% 655.51
22-Mar-2007 1434.54 -0.03% 656.07
23-Mar-2007 1436.11 0.11% 655.98
26-Mar-2007 1437.50 0.10% 656.92
27-Mar-2007 1428.61 -0.62% 653.07
28-Mar-2007 1417.23 -0.80% 647.87
29-Mar-2007 1422.53 0.37% 650.93
30-Mar-2007 1420.86 -0.12% 649.89
2-Apr-2007 1424.55 0.26% 650.65
3-Apr-2007 1437.77 0.93% 656.66
4-Apr-2007 1439.37 0.11% 657.77
5-Apr-2007 1443.76 0.30% 659.73
9-Apr-2007 1444.61 0.06% 660.13
10-Apr-2007 1448.39 0.26% 662.08
11-Apr-2007 1438.87 -0.66% 658.13
12-Apr-2007 1447.80 0.62% 662.38
13-Apr-2007 1452.85 0.35% 665.35
16-Apr-2007 1468.47 1.08% 672.01
17-Apr-2007 1471.48 0.20% 673.56
18-Apr-2007 1472.50 0.07% 674.10
19-Apr-2007 1470.73 -0.12% 673.99
20-Apr-2007 1484.35 0.93% 680.82
23-Apr-2007 1480.93 -0.23% 677.59
24-Apr-2007 1480.41 -0.04% 677.16
25-Apr-2007 1495.42 1.01% 684.37
26-Apr-2007 1494.25 -0.08% 683.66
27-Apr-2007 1494.07 -0.01% 684.42
30-Apr-2007 1482.37 -0.78% 680.65
1-May-2007 1486.30 0.27% 683.22
2-May-2007 1495.92 0.65% 686.42
3-May-2007 1502.39 0.43% 689.40
4-May-2007 1505.62 0.21% 690.95
7-May-2007 1509.48 0.26% 692.79
8-May-2007 1507.72 -0.12% 692.05
9-May-2007 1512.58 0.32% 693.43
10-May-2007 1491.47 -1.40% 683.73
11-May-2007 1505.85 0.96% 690.04
14-May-2007 1503.15 -0.18% 689.31
15-May-2007 1501.19 -0.13% 689.18
16-May-2007 1514.14 0.86% 695.95
17-May-2007 1512.75 -0.09% 695.16
18-May-2007 1522.75 0.66% 699.80
21-May-2007 1525.10 0.15% 699.91
22-May-2007 1524.12 -0.06% 699.12
23-May-2007 1522.28 -0.12% 699.01
24-May-2007 1507.51 -0.97% 693.47
25-May-2007 1515.73 0.55% 697.27
29-May-2007 1518.11 0.16% 697.70
30-May-2007 1530.23 0.80% 702.99
31-May-2007 1530.62 0.03% 702.43
1-Jun-2007 1536.34 0.37% 704.71
4-Jun-2007 1539.18 0.18% 705.57
5-Jun-2007 1530.95 -0.53% 702.28
6-Jun-2007 1517.38 -0.89% 696.57
7-Jun-2007 1490.72 -1.76% 685.33
8-Jun-2007 1507.67 1.14% 693.11
11-Jun-2007 1509.12 0.10% 693.73
12-Jun-2007 1493.00 -1.07% 686.16
13-Jun-2007 1515.67 1.52% 696.06
14-Jun-2007 1522.97 0.48% 699.82
15-Jun-2007 1532.91 0.65% 704.53
18-Jun-2007 1531.05 -0.12% 704.18
19-Jun-2007 1533.70 0.17% 705.79
20-Jun-2007 1512.84 -1.36% 696.78
21-Jun-2007 1522.19 0.62% 700.78
22-Jun-2007 1502.56 -1.29% 690.77
25-Jun-2007 1497.74 -0.32% 689.72
26-Jun-2007 1492.89 -0.32% 687.78
27-Jun-2007 1506.34 0.90% 693.94
28-Jun-2007 1505.71 -0.04% 693.86
29-Jun-2007 1503.35 -0.16% 692.77
0.712%
15.87
0.1130022894

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
20070629 -0.0016 -0.0016 0.0000 1503.35 692.77
20070702 0.0108 0.0108 0.0000 1519.43 699.49 0.01202680 0.00554216
20070703 0.0038 0.0036 0.0002 1524.87 702.93 0.30236657 0.13919851
20070705 0.0003 0.0003 0.0000 1525.40 702.82 0.01677357 0.00773223
20070706 0.0037 0.0034 0.0003 1530.44 704.50 0.43473900 0.20030370
20070709 0.0009 0.0009 0.0000 1531.85 705.58 0.00918264 0.00422700
20070710 -0.0143 -0.0143 0.0000 1510.12 696.21 0.00459555 0.00211674
20070711 0.0058 0.0057 0.0001 1518.76 700.60 0.18272452 0.08424141
20070712 0.0190 0.0190 0.0000 1547.70 714.74 0.01366884 0.00630540
20070713 0.0031 0.0031 0.0000 1552.50 717.17 0.01857240 0.00857688
20070716 -0.0019 -0.0019 0.0000 1549.52 717.01 0.00000000 0.00000000
20070717 -0.0001 -0.0001 0.0000 1549.37 717.22 0.00000000 0.00000000
20070718 -0.0021 -0.0022 0.0001 1546.17 714.92 0.16113448 0.07459088
20070719 0.0046 0.0046 0.0000 1553.08 718.11 0.03710808 0.01715808
20070720 -0.0123 -0.0123 0.0001 1534.10 709.92 0.14443644 0.06678423
20070723 0.0048 0.0048 0.0000 1541.57 714.76 0.01994330 0.00922896
20070724 -0.0195 -0.0195 0.0000 1511.04 701.20 0.00000000 0.00000000
20070725 0.0046 0.0045 0.0000 1518.09 705.94 0.01511040 0.00701200
20070726 -0.0233 -0.0233 0.0000 1482.66 689.84 0.00303618 0.00141188
20070727 -0.0159 -0.0160 0.0001 1458.95 679.14 0.21795102 0.10140648
20070730 0.0101 0.0101 0.0000 1473.91 685.09 0.03355585 0.01562022
20070731 -0.0126 -0.0126 0.0000 1455.27 675.75 0.00884346 0.00411054
20070801 0.0073 0.0073 0.0001 1465.81 681.85 0.09313728 0.04324800
20070802 0.0047 0.0045 0.0002 1472.20 684.51 0.34739697 0.16159845
20070803 -0.0264 -0.0265 0.0001 1433.06 667.42 0.08833200 0.04107060
20070806 0.0241 0.0241 0.0000 1467.67 683.66 0.02722814 0.01268098
20070807 0.0061 0.0060 0.0000 1476.71 687.82 0.05577146 0.02597908
20070808 0.0146 0.0143 0.0003 1497.49 698.14 0.49617456 0.23110752
20070809 -0.0291 -0.0293 0.0002 1453.09 676.02 0.26805071 0.12496706
20070810 0.0000 0.0000 0.0000 1453.64 675.62 0.00290618 0.00135204
20070813 -0.0003 -0.0005 0.0002 1452.92 674.51 0.22240692 0.10336986
20070814 -0.0183 -0.0184 0.0001 1426.54 663.96 0.16127412 0.07487061
20070815 -0.0135 -0.0139 0.0003 1406.70 655.83 0.43509470 0.20250780
20070816 0.0033 0.0033 0.0000 1411.27 658.30 0.05626800 0.02623320
20070817 0.0244 0.0244 0.0000 1445.94 674.53 0.00000000 0.00000000
20070820 -0.0003 -0.0003 0.0000 1445.55 674.12 0.00000000 0.00000000
20070821 0.0012 0.0012 0.0000 1447.12 673.85 0.00578220 0.00269648
20070822 0.0117 0.0117 0.0001 1464.07 681.28 0.08972144 0.04177870
20070823 -0.0012 -0.0012 0.0000 1462.50 681.84 0.01903291 0.00885664
20070824 0.0118 0.0116 0.0001 1479.37 689.47 0.15648750 0.07295688
20070827 -0.0085 -0.0085 0.0000 1466.79 684.74 0.00887622 0.00413682
20070828 -0.0234 -0.0234 0.0000 1432.36 668.99 0.06600555 0.03081330
20070829 0.0222 0.0218 0.0004 1463.76 683.02 0.53570264 0.25020226
20070830 -0.0042 -0.0042 0.0001 1457.64 680.46 0.08489808 0.03961516
20070831 0.0112 0.0112 0.0000 1473.99 687.47 0.02769516 0.01292874
20070904 0.0104 0.0104 0.0000 1489.42 694.23 0.02358384 0.01099952
20070905 -0.0111 -0.0115 0.0004 1472.29 686.63 0.66874958 0.31170927
20070906 0.0044 0.0042 0.0002 1478.55 688.91 0.25470617 0.11878699
20070907 -0.0168 -0.0168 0.0000 1453.55 677.74 0.00000000 0.00000000
20070910 -0.0013 -0.0014 0.0000 1451.70 678.04 0.05378135 0.02507638
20070911 0.0137 0.0137 0.0000 1471.49 687.65 0.00290340 0.00135608
20070912 0.0003 0.0000 0.0003 1471.56 688.42 0.39877379 0.18635315
20070913 0.0085 0.0084 0.0001 1483.95 695.00 0.08535048 0.03992836
20070914 0.0003 0.0003 0.0000 1484.25 694.38 0.00296790 0.00139000
20070917 -0.0052 -0.0052 0.0000 1476.65 691.12 0.01038975 0.00486066
20070918 0.0292 0.0292 0.0000 1519.78 710.08 0.01771980 0.00829344
20070919 0.0062 0.0062 0.0000 1529.03 713.53 0.04407362 0.02059232
20070920 -0.0065 -0.0067 0.0002 1518.75 709.81 0.32568339 0.15198189
20070921 0.0047 0.0047 0.0000 1525.75 713.35 0.00000000 0.00000000
20070924 -0.0052 -0.0052 0.0000 1517.73 710.14 0.00000000 0.00000000
20070925 -0.0004 -0.0004 0.0000 1517.21 710.52 0.02731914 0.01278252
20070926 0.0055 0.0053 0.0002 1525.42 714.06 0.27764943 0.13002516
20070927 0.0040 0.0039 0.0000 1531.38 716.46 0.05796596 0.02713428
20070928 -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)