02 // Options Lab
PLTR $159.27
CBOE delayed · 19 expiries · 2,766 contracts · IV30 48.9% · r = 3.70%
Volatility smile
F = $156.01 · ATM 122.0% · move ±2.7%
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)
$6.44
LR American
$6.45
EEP $0.01
Monte Carlo
$6.45
± $0.03 (95%)
| Delta | 0.6735 |
| Gamma | 0.03543 |
| Vega (per vol pt) | 0.0300 |
| Theta (per day) | -1.7825 |
| Rho (per rate pt) | 0.0028 |
| Vanna | -0.1143 |
| Volga | 0.4293 |
| Digital (cash-or-nothing $1) | $0.6505 |
| Risk-neutral P(ITM) | 65.1% |