02 // Options Lab
PLTR $181.48
CBOE delayed · 19 expiries · 2,296 contracts · IV30 46.9% · r = 3.98%
Volatility smile
F = $181.57 · ATM 48.1% · move ±4.1%
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)
$3.20
LR American
$3.20
EEP $0.00
Monte Carlo
$3.21
± $0.03 (95%)
| Delta | 0.4695 |
| Gamma | 0.04358 |
| Vega (per vol pt) | 0.0756 |
| Theta (per day) | -0.4639 |
| Rho (per rate pt) | 0.0090 |
| Vanna | 0.1051 |
| Volga | 0.1531 |
| Digital (cash-or-nothing $1) | $0.4493 |
| Risk-neutral P(ITM) | 44.9% |