02 // Options Lab
COIN $202.70
CBOE delayed · 20 expiries · 2,864 contracts · IV30 66.0% · r = 3.98%
Volatility smile
F = $202.82 · ATM 75.3% · move ±6.4%
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)
$5.38
LR American
$5.38
EEP $0.00
Monte Carlo
$5.39
± $0.06 (95%)
| Delta | 0.4618 |
| Gamma | 0.02487 |
| Vega (per vol pt) | 0.0843 |
| Theta (per day) | -0.8066 |
| Rho (per rate pt) | 0.0097 |
| Vanna | 0.0923 |
| Volga | 0.1881 |
| Digital (cash-or-nothing $1) | $0.4304 |
| Risk-neutral P(ITM) | 43.1% |