02 // Options Lab
CAT $863.20
CBOE delayed · 18 expiries · 4,106 contracts · IV30 42.0% · r = 3.70%
Volatility smile
F = $859.64 · ATM 85.1% · move ±1.9%
ATM volatility term structure
Option chain
Loading 2026-08-07 chain…
Pricer — engine comparison
BSM analytic vs Leisen–Reimer American (301 steps) vs Monte Carlo (60k antithetic paths), computed in your browser.
BSM (European)
$16.75
LR American
$16.77
EEP $0.02
Monte Carlo
$16.77
± $0.14 (95%)
| Delta | 0.5378 |
| Gamma | 0.01032 |
| Vega (per vol pt) | 0.1793 |
| Theta (per day) | -7.4206 |
| Rho (per rate pt) | 0.0123 |
| Vanna | -0.0238 |
| Volga | 0.1030 |
| Digital (cash-or-nothing $1) | $0.5203 |
| Risk-neutral P(ITM) | 52.0% |