02 // Options Lab
SPCX $122.75
CBOE delayed · 26 expiries · 3,876 contracts · IV30 66.6% · r = 3.99%
Volatility smile
F = $123.35 · ATM 121.3% · move ±5.0%
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)
$3.25
LR American
$3.25
EEP $0.00
Monte Carlo
$3.25
± $0.03 (95%)
| Delta | 0.5271 |
| Gamma | 0.05107 |
| Vega (per vol pt) | 0.0256 |
| Theta (per day) | -1.5669 |
| Rho (per rate pt) | 0.0017 |
| Vanna | -0.0014 |
| Volga | 0.0006 |
| Digital (cash-or-nothing $1) | $0.5016 |
| Risk-neutral P(ITM) | 50.2% |