02 // Options Lab
TSLA $343.50
CBOE delayed · 23 expiries · 5,158 contracts · IV30 56.8% · r = 3.99%
Volatility smile
F = $343.58 · ATM 95.5% · move ±3.9%
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)
$6.17
LR American
$6.17
EEP $0.00
Monte Carlo
$6.18
± $0.06 (95%)
| Delta | 0.4770 |
| Gamma | 0.02321 |
| Vega (per vol pt) | 0.0716 |
| Theta (per day) | -3.4531 |
| Rho (per rate pt) | 0.0043 |
| Vanna | 0.0450 |
| Volga | 0.0468 |
| Digital (cash-or-nothing $1) | $0.4570 |
| Risk-neutral P(ITM) | 45.7% |