02 // Options Lab
TSLA $373.69
CBOE delayed · 23 expiries · 4,674 contracts · IV30 43.6% · r = 3.98%
Volatility smile
F = $373.69 · ATM 46.6% · move ±0.7%
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)
$3.04
LR American
$3.04
EEP $0.00
Monte Carlo
$3.04
± $0.03 (95%)
| Delta | 0.4494 |
| Gamma | 0.04345 |
| Vega (per vol pt) | 0.0774 |
| Theta (per day) | -1.8189 |
| Rho (per rate pt) | 0.0045 |
| Vanna | 0.1288 |
| Volga | 0.3204 |
| Digital (cash-or-nothing $1) | $0.4397 |
| Risk-neutral P(ITM) | 44.0% |