02 // Options Lab
NVDA $226.69
CBOE delayed · 24 expiries · 3,928 contracts · IV30 31.1% · r = 3.98%
Volatility smile
F = $226.69 · ATM 27.7% · move ±0.4%
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)
$2.32
LR American
$2.32
EEP $0.00
Monte Carlo
$2.32
± $0.01 (95%)
| Delta | 0.6996 |
| Gamma | 0.10579 |
| Vega (per vol pt) | 0.0413 |
| Theta (per day) | -0.5723 |
| Rho (per rate pt) | 0.0043 |
| Vanna | -0.6389 |
| Volga | 3.9683 |
| Digital (cash-or-nothing $1) | $0.6945 |
| Risk-neutral P(ITM) | 69.5% |