02 // Options Lab
META $588.83
CBOE delayed · 24 expiries · 7,714 contracts · IV30 37.0% · r = 3.70%
Volatility smile
F = $590.05 · ATM 75.9% · move ±1.7%
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)
$8.83
LR American
$8.83
EEP $0.00
Monte Carlo
$8.85
± $0.08 (95%)
| Delta | 0.4904 |
| Gamma | 0.01706 |
| Vega (per vol pt) | 0.1229 |
| Theta (per day) | -4.7316 |
| Rho (per rate pt) | 0.0077 |
| Vanna | 0.0336 |
| Volga | 0.0250 |
| Digital (cash-or-nothing $1) | $0.4745 |
| Risk-neutral P(ITM) | 47.5% |