02 // Options Lab
CAT $819.56
CBOE delayed · 18 expiries · 3,416 contracts · IV30 35.0% · r = 3.98%
Volatility smile
F = $819.90 · ATM 38.6% · move ±3.3%
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)
$13.15
LR American
$13.15
EEP $0.00
Monte Carlo
$13.17
± $0.12 (95%)
| Delta | 0.5068 |
| Gamma | 0.01205 |
| Vega (per vol pt) | 0.3422 |
| Theta (per day) | -1.6907 |
| Rho (per rate pt) | 0.0441 |
| Vanna | 0.0242 |
| Volga | -0.0352 |
| Digital (cash-or-nothing $1) | $0.4904 |
| Risk-neutral P(ITM) | 49.1% |