02 // Options Lab
SPCX $154.42
CBOE delayed · 19 expiries · 3,188 contracts · IV30 49.2% · r = 3.98%
Volatility smile
F = $154.53 · ATM 55.1% · move ±4.7%
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)
$3.32
LR American
$3.32
EEP $0.00
Monte Carlo
$3.33
± $0.03 (95%)
| Delta | 0.4904 |
| Gamma | 0.04481 |
| Vega (per vol pt) | 0.0645 |
| Theta (per day) | -0.4564 |
| Rho (per rate pt) | 0.0079 |
| Vanna | 0.0594 |
| Volga | 0.0235 |
| Digital (cash-or-nothing $1) | $0.4671 |
| Risk-neutral P(ITM) | 46.7% |