02 // Options Lab
BETA $21.43
CBOE delayed · 6 expiries · 116 contracts · IV30 78.9% · r = 3.98%
Volatility smile
F = $21.53 · ATM 76.0% · move ±34.2%
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)
$3.42
LR American
$3.42
EEP $0.00
Monte Carlo
$3.43
± $0.05 (95%)
| Delta | 0.5609 |
| Gamma | 0.04255 |
| Vega (per vol pt) | 0.0472 |
| Theta (per day) | -0.0156 |
| Rho (per rate pt) | 0.0273 |
| Vanna | 0.1357 |
| Volga | -0.2694 |
| Digital (cash-or-nothing $1) | $0.3909 |
| Risk-neutral P(ITM) | 39.6% |