02 // Options Lab
CAT $553.49
CBOE delayed · 18 expiries · 3,486 contracts · IV30 47.4% · r = 3.99%
Volatility smile
F = $553.70 · ATM 83.7% · move ±3.4%
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)
$9.01
LR American
$9.01
EEP $0.00
Monte Carlo
$9.02
± $0.09 (95%)
| Delta | 0.4862 |
| Gamma | 0.01645 |
| Vega (per vol pt) | 0.1155 |
| Theta (per day) | -4.8977 |
| Rho (per rate pt) | 0.0071 |
| Vanna | 0.0374 |
| Volga | 0.0376 |
| Digital (cash-or-nothing $1) | $0.4687 |
| Risk-neutral P(ITM) | 46.9% |