02 // Options Lab
NVDA $221.16
CBOE delayed · 24 expiries · 3,900 contracts · IV30 42.0% · r = 3.70%
Volatility smile
F = $218.93 · ATM 89.8% · move ±2.0%
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)
$4.69
LR American
$4.69
EEP $0.01
Monte Carlo
$4.69
± $0.04 (95%)
| Delta | 0.5498 |
| Gamma | 0.03806 |
| Vega (per vol pt) | 0.0458 |
| Theta (per day) | -2.0011 |
| Rho (per rate pt) | 0.0032 |
| Vanna | -0.0348 |
| Volga | 0.0507 |
| Digital (cash-or-nothing $1) | $0.5314 |
| Risk-neutral P(ITM) | 53.1% |