02 // Options Lab
META $733.18
CBOE delayed · 23 expiries · 6,694 contracts · IV30 43.5% · r = 3.98%
Volatility smile
F = $733.17 · ATM 60.4% · move ±0.9%
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)
$8.36
LR American
$8.37
EEP $0.00
Monte Carlo
$8.38
± $0.08 (95%)
| Delta | 0.4743 |
| Gamma | 0.01716 |
| Vega (per vol pt) | 0.1528 |
| Theta (per day) | -4.5977 |
| Rho (per rate pt) | 0.0093 |
| Vanna | 0.0631 |
| Volga | 0.1556 |
| Digital (cash-or-nothing $1) | $0.4618 |
| Risk-neutral P(ITM) | 46.2% |