02 // Options Lab
TSLA $324.32
CBOE delayed · 24 expiries · 5,978 contracts · IV30 42.0% · r = 3.70%
Volatility smile
F = $324.29 · ATM 56.3% · move ±1.2%
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)
$3.43
LR American
$3.44
EEP $0.00
Monte Carlo
$3.44
± $0.03 (95%)
| Delta | 0.4727 |
| Gamma | 0.04166 |
| Vega (per vol pt) | 0.0675 |
| Theta (per day) | -1.8478 |
| Rho (per rate pt) | 0.0041 |
| Vanna | 0.0688 |
| Volga | 0.0792 |
| Digital (cash-or-nothing $1) | $0.4612 |
| Risk-neutral P(ITM) | 46.1% |