02 // Options Lab
SPCX $115.23
CBOE delayed · 20 expiries · 3,840 contracts · IV30 85.1% · r = 3.70%
Volatility smile
F = $114.92 · ATM 246.9% · move ±5.4%
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)
$6.02
LR American
$6.02
EEP $0.00
Monte Carlo
$6.03
± $0.06 (95%)
| Delta | 0.5302 |
| Gamma | 0.02670 |
| Vega (per vol pt) | 0.0240 |
| Theta (per day) | -2.9320 |
| Rho (per rate pt) | 0.0015 |
| Vanna | 0.0085 |
| Volga | -0.0039 |
| Digital (cash-or-nothing $1) | $0.4790 |
| Risk-neutral P(ITM) | 47.9% |