02 // Options Lab
BETA $22.81
CBOE delayed · 4 expiries · 94 contracts · IV30 87.5% · r = 3.70%
Volatility smile
F = $22.70 · ATM 85.2% · move ±45.2%
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)
$4.86
LR American
$4.89
EEP $0.02
Monte Carlo
$4.88
± $0.07 (95%)
| Delta | 0.5900 |
| Gamma | 0.02928 |
| Vega (per vol pt) | 0.0572 |
| Theta (per day) | -0.0142 |
| Rho (per rate pt) | 0.0379 |
| Vanna | 0.1356 |
| Volga | -0.5338 |
| Digital (cash-or-nothing $1) | $0.3738 |
| Risk-neutral P(ITM) | 38.0% |