, or where overlapping futures prices required interpola-tion —numbers in these tables may disagree with those publishedin the financial press or stored in commercial data banks.178 REFERENCE
 
 
 
 
 
S&P500 INDEX
Based on Nearest Implied
Calendarmonth Year Option strike volatilityJANUARY 1993 Feb 435 11.88FEBRUARY 1993 Mar 445 10.07MARCH 1993 Apr 445 10.61APRIL 1993 Mey 450 12.03Y 1993 Jun 440 11.40JUNE 1993 dul 455 10.93,JULY 1993 Aua 445 10.37AUGUST 1993 Sep 450 10.20SEPTEMBER 1993 Oct 465 10.07OCTOBER 1993 Nov 460 10.02NOVEMBER 1993 Dec 470 988DECEMBER 1993 Jan 465 11.40JANUARY 1994 Feb 466 10,10FEBRUARY 1994 Mar 480 8.56MARCH 1994 465 12.56APRIL 1994 440 18.34MAY 1994 Jun 455 11.54JUNE 1994 dul 460 9.76JULY 1994 Aug 445 12.74AUGUST 1994 Sep 465 9.25SEPTEMBER 1994 Oct 475 10.00OCTOBER 1994 Nov 465 12.36NOVEMBER 1994 Dec 470 12.27DECEMBER —_ Jan 450 15.24JANUARY 1995 Feb 465 10.61FEBRUARY 1995 Mar 470 9.62MARCH 1995 fer 490 10.08APRIL 1995 v 505 10.80MAY. 1995 Jun 515 9.92JUNE S225 dul 540 10.44JULY 1995 Aug 545 10.56AUGUST 1995 Sep 560 11.03SEPTEMBER 1995 Oct 570 9.69OCTOBER 1995 Nov 685 11.24NOVEMBER 1995 Dec 11.14DECEMBER 1995 Jan 615 9.36JANUARY 1996 Mar 625 10.76FEBRUARY 1996 Mar 640 10.52MARCH 1996 655 14.40APRIL 1996 655 14.62MAY. 1996 Jun 655 13.77JUNE 1996 Jun 670 13.45JULY 1996 Aug 680 12.34GUST 1996 Aug 655 15.40SEPTEMBER 1996 Sep 955 15.69OCTOBER 1996 Nov 695 13.97NOVEMBER 1996 Nov 705 15.19DECEMBER 1996 Jan 765 15.83JANUARY 1997 Feb 745 18.08FEBRUARY 1997 Mar 790 17.19HH 1997 set 800 19.34APRIL 1997 y 765 17.84MAY. 1997 Jun 800 17.77JUNE 1997 855 18.32JULY 1997 ug 18.511997 Sep 955 20.65945 22.02
6age
g
&
8
DECEMBER 1997VOLATILITY PROFILES 179
S &P Futures (1996)Weekly High/Low/Close
allt
Implied volat lity
 180 REFERENCE
$&P500 INDEX 1996
max mins td iv fp max min s td iv
March option and March future 65175 1100 955 2043 26 12.2965835 1080 970 2041 25 12.40
Nov 20 60365 65925 1060 985 2039 24 12.63
Nov 21 60705 66425 1070 995 2059 23 12.93
Nov 22 60565 66180 1090 1005 2088 22 13.45
Nov 24 60685 65590 1110 1020 2122 21 14.12
Nov 27 60705 65140 1120 980 2088 20 14.34
Nov 28 61325 65040 985 945 1927 19 13.59
Nov 29 61345 64350 17
Nov 30 61275 65170 16
Dect 61380 65995 15
Dec4 62040 65925 14
Dec5 62445 64885 13
Dec6 62550 64760 12
Dec7 62240 64350 "
Dec8 62420 63825 10
Dec 11 62590 64725 9
Dec 12 62500 65070 8
Dec 13 62755 65745 7
Dec 14 62375 65120 6
Dec 15 62275 65415 5
Dec 18 61160 63205 4
Dec 19 61785 63885 3
Dec 20 61305 63480 2
Dec 21 61595 63750 1
Dec 22 61635 64160 March 96 option expires
Dec 26 61955
Dec 27 61920 ApriLoption and June future
Dec 28 61775
Dec 29 61845 64930 1480 1410 2884 43 13.55
Jan2 62510 1220 1210 2429 52 10.78Jan3 62695 1325 1025 2322 51 10.37Jan4 61980 1270 1250 2518 50 11.49Jan5 61930 1250 1180 2424 49 11.18Jan6 62240 1275 1055 2311 48 10.72Jang 60850 1315 1165 2467 47 11.83Jan 10 60075 1350 1275 2619 46 12.85Jan 11 60565 1260 1195 2450 45 12.06
65785 1470 1205 2651 42 12.4466605 1410 1255 2652 41 12.4466540 1355 1315 2667 40 12.6765500 1395 1315 2703 39 13.2265380 1435 1315 2740 38 13.6064965 1425 1390 2812 937 14.2364425 1485 1410 2889 36 14.9565330 1455 1285 2726 35 14.10
Jan 12 60495 1215 1210 2425 44 12.08 65690 1440 1250 2674 34 13.96Jan 15 60320 1230 1170 2395 43 12.11 66365 1340 1205 2534 33 13.29Jan 16 61090 1220 1130 2343 42 11.83 65725 1435 1160 2570 32 13.83Jan 17 60830 1245 1075 2305 41 11.84 66030 1295 1285 2579 31 14.03Jan 18 61050 1170 1120 2286 40 11.84 63800 1570 1370 2923 30 16.73Jan 19 61415 1120 1035 2148 39 11.20 64495 1350 1345 2695 29 15.52Jan 22 61370 1135 1005 2129 38 11.25 64090 1395 1305 2693 28 15.88Jan23 61615 1130 1015 2135 937 11.39 64375 1350 1225 2564 27 15.33Jan 24 62195 1120 925 2028 36 10.87 64750 1350 1075 2400 26 14.54Jan 25 61900 1070 970 2032 35 11.10 64700 1275 1075 2333 25 14.42Jan 26 62415 995 910 1898 34 10.43 65950 1170 1120 2286 24 14.15Jan 29 62620 995 875 1860 933 10.34 65730 1340 1080 2397 23 15.21Jan 30 63195 1040 845 1868 32 10.45 65615 1245 1130 2365 22 15.37dan 31 63795 1025 820 1827 31 10.28 65465 1140 1105 2242 21 14.95Feb1 63965 940 905 1842 30 10.52 65635 1145 1010 2143 20 14.60Feb2 63835 1045 880 1911 29 11.12 65590 1105 1015 2112 19 14.78Feb5 64190 1070 880 1933 28 11.38 65880 1080 960 2030 18 14.5227
Feb6 64820 1120 940 2044 12.14 65130 1095 965 2049 17 15.26
 
LEGEND: fp = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.$S&P500 INDEX 1996
fp max mins td iv
   
VOLATILITY PROFILES
fp max min
181
iv
                                                
Mar 28 65475 1020 995 2013 16 15.37 | May 29 66910 1025 935 1952 16 14.59Mar 29 65125 1070 945 2004 15 15.89 | May30 67340 960 800 1746 15 13.39Apr 1 65740 1030 790 1798 14 14.62 | May31 66695 1010 815 1808 14 14.49Apr2 65860 835 695 1518 13 12.78 | Jun3 66945 895 840 1730 13 14.34Apr3 65910 785 695 1472 12 12.90 | dun4 67320 910 730 1624 12 13.93Apr4 65960 ah Jdun5 67875 855 730 1574 11 13.99Apr8 64700 9 Jun6 67325 895 720 1599 10 15.02Aprg9 64500 8 Jun7 67380 780 660 1430 9 14.14Apr10 63325 7 dun 10 67130 765 635 1389 8 14.63Apr11 63360 6 Junt1 67145 725 580 1292 7 14.54Apr12 64060 5 dun12 66970 645 615 1268 6 15.33Apri5 64580 4 dun 13° 66875 635 510 1134 5 15.16Apr16 64730 3 dun 14 66475 535 510 1043 4 15.69Apr17 64485 2 Jun 17 88570 3Apr18 64595 1 Jun 18 66170 2Apr 19 64705 April 96 option expires Jun 19 66290 1
. dun 20 66120 June 96 option expires
dune option and June futureAugust option and September future
Apr4 65960 1755 1715 3467 55 14.17Apr8 64700 1855 1655 3493 53 14.83 | Jun 17 67150 1740 1590 3317 44 14.90Apr9 64500 1715 1715 3430 52 14.75 | Jun18 66750 1770 1520 3268 43 14.93Apr10 63325 2095 1775 3842 51 16.99 | Jun 19 66870 1705 1575 3269 42 15.09Apr'11 63360 1890 1750 3628 50 16.20 | Jun 20 66685 1695 1510 3189 41 14.94Apri2 64060 1725 1665 3385 49 15.10 | Jun21 67345 1595 1440 3022 40 14.19Apr15 64580 1670 1590 3253 48 14.54 | Jun 24 67515 1485 1470 2954 39 14.01Apr16 64730 1725 1435 3134 47 14.13 | Jun 25 67415 1455 1370 2818 38 13.56Apr17 64485 1595 1580 3174 46 14.51 | Jun 26 66865 1445 1310 2744 37 13.49Apr18 64595 1595 1500 3087 45 14.25 | Jun27 67305 1475 1170 2617 36 12.96Apr19 64705 1570 1365 2917 44 13.59 | Jun 28 67680 1350 1170 2504 35 12.51Apr 22 65205 1540 1335 2857 43 13.37 | Jul1 68060 1295 1165 2449 34 12.34Apr 23 65500 1380 1380 2760 42 13.00 | Jul2 67880 1265 1145 2400 33 12.31Apr 24 65170 1490 1320 2796 41 13.40 | Jul3 67610 1275 1165 2431 32 12.71Apr25 65505 1360 1355 2715 40 13.10 | Jul5 66110 1315 1190 2494 30 13.78Apr26 65645 1415 1275 2678 39 13.07 | Juls 65630 1345 1215 2549 29 14.42Apr29 65515 1355 1340 2694 38 13.34 | Jul9 65915 1240 1155 2388 28 13.69Apr30 65485 1365 1350 2714 37 13.63 | Jul10 66170 1235 1065 2285 27 13.29May 1 65645 1435 1290 2713 36 13.77 | Jul11 64835 1300 1135 2421 26 14.65May2 64585 1460 1375 2828 35 14.80 | Jul12 64805 1280 1085 2348 25 14.49May3 64350 1410 1260 2657 34 14.16 | Jul15 63025 1380 1335 2693 24 17.44
    
2678
LEGEND: = futures price, max = closest strike high option price, min = closeststrike low option price, s = price corrected at-the-money-straddle, td = number oftrading days till expiry, iv = implied volatility.182 REFERENCE
$&P500 INDEX 1996fp ma mn os dd i fp max mn ss td ivAug7 66620 7 Sep 20 69190 1595 1405 2984 40 13.64Aug& 66620 6 Sep 23 69240 1625 1385 2989 39 13.83Aug? 66245 5 Sep 24 69205 1580 1375 2937 38 13.77Aug 12 66775 4 Sep 25 69105 1510 1405 2906 37 13.83Aug 13 66180 3 Sep 26 69195 1565 1215 2748 36 13,24Aug 14 66360 2 Sep 27 69140 1485 1345 2818 35 13.78Aug 15 66360 1 Sep 30 69140 1495 1355 2838 34 14.08Aug 16 66810 August 96 option expires Oct1 69510 1400 1390 2789 33 13.97Oct2 69935 1385 1320 2700 32 13.6September option and September future | Oct3 69770 1485 1295 2698 31 13.29Oct4 70720 1365 1145 2491 30 12.86Aug5 66170 1490 1320 2796 33 14.71 | Oct7 70820 1310 1130 2424 29 12,71Aug6 66425 1390 1315 2699 32 14.36 | Oct&8 70475 1235 1210 2443 28 13.10Aug7 66620 1385 1245 2600 31 14.2 j Oct9 70050 1260 1210 2468 27 13.55Aug8 66620 1330 1210 2530 30 13.87 | Oct10 69840 1300 1140 2426 26 13.6Aug9 66245 1440 1195 2613 29 14.65 | Oct11 70590 1175 1085 2263 25 12.76Aug 12 68775 1315 1070 2363 28 13.38 | Oct14 70750 1250 1000 2228 24 12.85Aug 13 66180 1335 1085 2398 27 13.94} Oct15 70665 1210 1045 2241 23 13.22Aug 14 68360 1305 1055 2338 26 13. | Oct16 70860 1145 1005 2138 22 12.87Aug 15 66360 1250 1000 2228 25 13.43 | Oct17 71100 1120 1020 2132 21 13.08Aug 16 66810 1190 935 2102 24 12.84 | Oct18 71585 1065 980 2038 20 12.73Aug 19 66820 1160 915 2053 23 12.81} Oct2l 71440 1045 985 2025 19 13.01Aug 20 66795 1120 870 1967 22 12.56 | Oct22 70910 1075 985 2052 18 13.64Aug2l 66600 990 890 1872 21 12.26 } Oct23 71105 1060 955 2006 17 13.69Aug 22 67185 970 860 181 20 12.12 | Oct24 70375 1105 980 2074 16 14.74Aug 23 66880 950 830 1770 19 12.14} Oct25 70535 1005 970 1972 15 14.44Aug26 66420 965 885 1843 18 13.08 | Oct28 70035 1040 1005 2042 14 15.59Aug27 66670 975 805 176 17 12.8 | Oct29 70625 1030 905 1924 13 15.11Aug28 68570 895 825 1714 16 12.87 | Oct30 70280 1060 840 1880 12 15.44Aug 29 65715 1000 755 1732 15 13.41 j Oct3l 70965 935 900 1832 11 15.57Aug30 65135 995 860 183 14 15.13 | Nw1 70650 930 780 1697 10 15.19Sep3 65585 940 845 1777 12 15.644 | Nw4 71125 835 710 1534 9 14.38Sep4 65660 960 800 1746 11 18.03} Nw5 71540 800 660 1448 8 14.31Sep5 64900 970 870 1832 10 17.85} Nw6 72940 740 630 1360 7 14.10Sep6 65825 845 595 14