02 // Options Lab
COIN $149.50
CBOE delayed · 21 expiries · 3,190 contracts · IV30 67.1% · r = 3.70%
Volatility smile
F = $145.50 · ATM 182.7% · move ±4.0%
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)
$8.11
LR American
$8.11
EEP $0.01
Monte Carlo
$8.11
± $0.05 (95%)
| Delta | 0.6412 |
| Gamma | 0.02611 |
| Vega (per vol pt) | 0.0292 |
| Theta (per day) | -2.6251 |
| Rho (per rate pt) | 0.0024 |
| Vanna | -0.0546 |
| Volga | 0.1549 |
| Digital (cash-or-nothing $1) | $0.6052 |
| Risk-neutral P(ITM) | 60.5% |