02 // Options Lab
COIN $134.75
CBOE delayed · 20 expiries · 2,762 contracts · IV30 72.5% · r = 3.99%
Volatility smile
F = $136.80 · ATM 119.2% · move ±4.9%
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)
$2.20
LR American
$2.20
EEP $0.00
Monte Carlo
$2.21
± $0.03 (95%)
| Delta | 0.3864 |
| Gamma | 0.04554 |
| Vega (per vol pt) | 0.0270 |
| Theta (per day) | -1.6208 |
| Rho (per rate pt) | 0.0014 |
| Vanna | 0.1128 |
| Volga | 0.2297 |
| Digital (cash-or-nothing $1) | $0.3627 |
| Risk-neutral P(ITM) | 36.3% |