02 // Options Lab
META $605.71
CBOE delayed · 24 expiries · 7,258 contracts · IV30 44.0% · r = 3.99%
Volatility smile
F = $606.00 · ATM 70.7% · move ±2.9%
ATM volatility term structure
Option chain
Loading 2026-11-06 chain…
Pricer — engine comparison
BSM analytic vs Leisen–Reimer American (301 steps) vs Monte Carlo (60k antithetic paths), computed in your browser.
BSM (European)
$9.37
LR American
$9.37
EEP $0.00
Monte Carlo
$9.39
± $0.08 (95%)
| Delta | 0.5227 |
| Gamma | 0.01777 |
| Vega (per vol pt) | 0.1263 |
| Theta (per day) | -4.5421 |
| Rho (per rate pt) | 0.0084 |
| Vanna | -0.0112 |
| Volga | 0.0201 |
| Digital (cash-or-nothing $1) | $0.5079 |
| Risk-neutral P(ITM) | 50.8% |