02 // Options Lab
NVDA $181.76
CBOE delayed · 25 expiries · 4,158 contracts · IV30 62.1% · r = 3.99%
Volatility smile
F = $182.02 · ATM 96.1% · move ±3.9%
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)
$3.32
LR American
$3.32
EEP $0.00
Monte Carlo
$3.32
± $0.03 (95%)
| Delta | 0.4799 |
| Gamma | 0.04356 |
| Vega (per vol pt) | 0.0379 |
| Theta (per day) | -1.8437 |
| Rho (per rate pt) | 0.0023 |
| Vanna | 0.0419 |
| Volga | 0.0202 |
| Digital (cash-or-nothing $1) | $0.4597 |
| Risk-neutral P(ITM) | 46.0% |