02 // Options Lab
BETA $24.52
CBOE delayed · 6 expiries · 134 contracts · IV30 75.8% · r = 3.99%
Volatility smile
F = $25.35 · ATM 68.8% · move ±24.2%
ATM volatility term structure
Option chain
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Pricer — engine comparison
BSM analytic vs Leisen–Reimer American (301 steps) vs Monte Carlo (60k antithetic paths), computed in your browser.
BSM (European)
$2.96
LR American
$2.96
EEP $0.00
Monte Carlo
$2.97
± $0.03 (95%)
| Delta | 0.5633 |
| Gamma | 0.05359 |
| Vega (per vol pt) | 0.0431 |
| Theta (per day) | -0.0240 |
| Rho (per rate pt) | 0.0211 |
| Vanna | 0.0915 |
| Volga | -0.1439 |
| Digital (cash-or-nothing $1) | $0.4339 |
| Risk-neutral P(ITM) | 43.7% |