股票 · 期权分析
ABBV 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $293.89
- 30D ATM IV
- 26.57%
- IV 百分位 · 1年
- 第 50
- 25Δ 风险逆转
- +1.71
- 期限斜率 90/30
- 1.065
▼ -0.56 pts 较前一交易日
概览
ABBV 期权当前计入的 30 天平值隐含波动率为 26.6%,相当于未来一个月约 ±7.6% 的波动。这高于它过去一年 242 个交易日中 50% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.71 个波动率点,大致处在它自己过去一年区间的中部。
较长期限的期权波动率更高:90 天波动率比 30 天高 7%。
它的下一次财报在 2027-01-05(根据其财报周期估算)。
在最近 12 次财报中,期权市场平均计入了 ±4.1% 的波动,ABBV 实际平均波动 5.4%,12 次中有 8 次落在计入的区间之内。
01 · 读数
当前读数
最近一个交易日的 30 天曲面,每个读数都放在它自身的历史里比较。
主要读数 · 30 天期限
- 30 天 ATM 隐含波动率ⓘ
- 26.57%
- 25-delta 风险逆转ⓘ
- +1.71
- 25-delta 蝶式价差ⓘ
- +0.42
- 期限结构斜率ⓘ
- 1.065
对应 30 天内约 ±7.6% 的波动，平常一天约 ±1.7%。
高于过去一年中 50% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.71 个点。
高于过去一年中 16% 的读数。
两翼的隐含波动率比平值高 0.42 个点。
90 天的隐含波动率比 30 天高 7%。
高于过去一年中 68% 的读数。
30 天隐含波动率处在什么位置
对比此前 242 个交易日(一年窗口)
- IV 百分位,1 年
- 50%
- IV 排名,1 年
- 26%
- IV 百分位,2 年
- 59%
- IV 排名,2 年
- 26%
排名是当前读数在窗口内最低与最高读数之间的位置,所以过去只要有一个极端值,之后的读数都会被压在一端附近。百分位是低于当前读数的交易日所占的比例,不受那个极端值有多极端的影响。窗口内少于 180 个交易日时,两者都不显示。
交易日明细
- 标的收盘价
- $293.89
- 30 天隐含远期价
- $294.63
- 60 天 ATM IV
- 26.60%
- 90 天 ATM IV
- 28.31%
- 180 天 ATM IV
- 28.53%
- 使用的到期日数
- 12
- 总未平仓量
- 188,236
- Put / call 未平仓量比
- 0.40
远期价由最接近平值的几个行权价上的 put-call 平价关系推出,而不是直接取标的收盘价。本页所有的价值状态(moneyness)和 delta 都以它为基准。
02 · 历史
读数是怎么走到这里的
存档窗口内的每个交易日,每次收盘一个点。
30 天平值隐含波动率
最近 348 个交易日
显示底层数据(最近 120 个)
| 交易日 | 30 天 ATM IV | 25-delta RR | 期限斜率 | 收盘价 |
|---|---|---|---|---|
| 2026-11-10 | 26.57% | +1.71 | 1.065 | $293.89 |
| 2026-11-09 | 27.13% | +2.59 | 1.031 | $293.30 |
| 2026-11-06 | 28.05% | +2.31 | 1.007 | $291.31 |
| 2026-11-05 | 28.49% | +2.44 | 1.002 | $288.24 |
| 2026-11-04 | 25.54% | +4.42 | 1.072 | $294.83 |
| 2026-11-03 | 27.76% | +2.27 | 0.997 | $286.00 |
| 2026-11-02 | 27.70% | +2.82 | 1.000 | $288.84 |
| 2026-10-30 | 26.66% | +1.59 | 1.046 | $294.89 |
| 2026-10-29 | 29.84% | +1.16 | 0.933 | $290.79 |
| 2026-10-28 | 30.93% | +1.57 | 0.920 | $285.99 |
| 2026-10-27 | 30.11% | +2.25 | 0.956 | $286.39 |
| 2026-10-26 | 31.58% | +2.23 | 0.904 | $286.74 |
| 2026-10-23 | 31.99% | +3.24 | 0.895 | $285.64 |
| 2026-10-22 | 31.56% | +3.21 | 0.916 | $285.19 |
| 2026-10-21 | 29.46% | +1.69 | 0.931 | $284.80 |
| 2026-10-20 | 29.68% | +1.19 | 0.917 | $289.08 |
| 2026-10-19 | 29.68% | +1.88 | 0.920 | $282.68 |
| 2026-10-16 | 30.95% | +2.06 | 0.905 | $285.42 |
| 2026-10-15 | 30.77% | +1.77 | 0.903 | $283.40 |
| 2026-10-14 | 30.86% | +1.96 | 0.905 | $283.48 |
| 2026-10-13 | 31.25% | +1.14 | 0.878 | $274.36 |
| 2026-10-09 | 29.74% | +2.75 | 0.925 | $276.47 |
| 2026-10-08 | 31.05% | +2.19 | 0.902 | $272.42 |
| 2026-10-07 | 31.03% | +2.31 | 0.907 | $271.36 |
| 2026-10-06 | 31.20% | +1.54 | 0.888 | $266.69 |
| 2026-10-05 | 31.00% | +2.02 | 0.894 | $265.76 |
| 2026-10-02 | 29.69% | +1.43 | 0.940 | $262.82 |
| 2026-10-01 | 30.64% | +1.75 | 0.927 | $259.93 |
| 2026-09-30 | 30.39% | +1.73 | 0.934 | $261.59 |
| 2026-09-29 | 29.09% | +0.82 | 0.969 | $263.29 |
| 2026-09-28 | 29.54% | +2.05 | 0.975 | $266.28 |
| 2026-09-25 | 27.01% | +2.26 | 1.064 | $264.34 |
| 2026-09-24 | 27.48% | +2.67 | 1.049 | $265.12 |
| 2026-09-23 | 26.25% | +1.81 | 1.100 | $265.08 |
| 2026-09-22 | 25.96% | +2.94 | 1.078 | $265.21 |
| 2026-09-21 | 26.05% | +2.81 | 1.085 | $264.48 |
| 2026-09-18 | 25.95% | +2.71 | 1.105 | $263.96 |
| 2026-09-17 | 25.87% | +2.62 | 1.100 | $264.02 |
| 2026-09-16 | 26.92% | +1.83 | 1.084 | $262.51 |
| 2026-09-15 | — | — | — | $263.04 |
| 2026-09-14 | 26.54% | +1.90 | 1.085 | $261.77 |
| 2026-09-11 | — | — | — | $257.12 |
| 2026-09-10 | 26.19% | +3.58 | 1.096 | $255.00 |
| 2026-09-09 | 24.78% | +1.07 | 1.142 | $250.91 |
| 2026-09-08 | — | — | — | $248.78 |
| 2026-09-04 | 25.00% | +0.79 | 1.139 | $256.46 |
| 2026-09-03 | — | — | — | $260.21 |
| 2026-09-02 | 24.88% | +1.79 | 1.124 | $261.72 |
| 2026-09-01 | 24.99% | +1.75 | 1.158 | $259.99 |
| 2026-08-31 | 26.60% | +2.12 | 1.070 | $256.42 |
| 2026-08-28 | 23.97% | +2.35 | 1.179 | $255.48 |
| 2026-08-27 | 24.12% | +1.71 | 1.168 | $258.15 |
| 2026-08-26 | 24.53% | +2.13 | 1.173 | $262.90 |
| 2026-08-25 | 25.00% | +1.32 | 1.155 | $265.79 |
| 2026-08-24 | 25.17% | +2.39 | 1.131 | $264.52 |
| 2026-08-21 | 24.24% | +0.91 | 1.169 | $264.96 |
| 2026-08-20 | 25.37% | +1.33 | 1.087 | $261.83 |
| 2026-08-19 | 25.17% | +1.67 | 1.121 | $265.97 |
| 2026-08-18 | 24.38% | +1.77 | 1.134 | $258.92 |
| 2026-08-17 | 24.77% | +1.58 | 1.111 | $250.33 |
| 2025-10-22 | 26.68% | +1.74 | 0.912 | $228.68 |
| 2025-10-21 | 27.80% | +2.39 | 0.865 | $231.39 |
| 2025-10-20 | 28.12% | +3.92 | 0.861 | $232.06 |
| 2025-10-17 | 27.93% | +2.36 | 0.887 | $229.57 |
| 2025-10-16 | 29.42% | +2.23 | 0.881 | $226.87 |
| 2025-10-15 | 27.62% | +2.19 | 0.904 | $226.22 |
| 2025-10-14 | 27.87% | +2.74 | 0.892 | $229.13 |
| 2025-10-10 | 29.24% | +2.22 | 0.886 | $230.50 |
| 2025-10-09 | 28.25% | +2.16 | 0.896 | $230.69 |
| 2025-10-08 | 28.08% | +2.10 | 0.887 | $231.24 |
| 2025-10-07 | 28.30% | +2.55 | 0.890 | $232.83 |
| 2025-10-06 | 27.87% | +2.03 | 0.900 | $230.19 |
| 2025-10-03 | 28.05% | +2.36 | 0.897 | $233.91 |
| 2025-10-02 | 27.99% | +2.54 | 0.915 | $236.56 |
| 2025-10-01 | 25.45% | +1.65 | 1.002 | $244.38 |
| 2025-09-30 | 22.87% | +2.82 | 1.035 | $231.54 |
| 2025-09-29 | 23.24% | +3.10 | 0.993 | $223.16 |
| 2025-09-26 | 22.93% | +3.15 | 1.027 | $220.61 |
| 2025-09-25 | 22.25% | +3.81 | 1.072 | $218.54 |
| 2025-09-24 | 22.72% | +2.37 | 1.039 | $219.99 |
| 2025-09-23 | 22.18% | +2.33 | 1.046 | $222.61 |
| 2025-09-22 | 20.77% | +1.78 | 1.113 | $222.59 |
| 2025-09-19 | 22.50% | +2.57 | 1.058 | $222.47 |
| 2025-09-18 | 21.43% | +2.76 | 1.055 | $221.99 |
| 2025-09-17 | 22.45% | +2.53 | 1.012 | $220.81 |
| 2025-09-16 | — | — | — | $216.26 |
| 2025-09-15 | 21.50% | +2.20 | 1.098 | $217.61 |
| 2025-09-12 | 19.05% | +1.58 | 1.187 | $218.34 |
| 2025-09-11 | 22.11% | +3.38 | 1.050 | $220.22 |
| 2025-09-10 | 22.46% | +3.17 | 1.025 | $211.64 |
| 2025-09-09 | 22.64% | +3.73 | 1.002 | $210.42 |
| 2025-09-08 | 21.34% | +2.98 | 1.074 | $209.79 |
| 2025-09-05 | 19.72% | +3.01 | 1.156 | $212.56 |
| 2025-09-04 | 19.49% | +2.63 | 1.165 | $213.00 |
| 2025-09-03 | 21.81% | +3.69 | 1.054 | $211.86 |
| 2025-09-02 | 21.83% | +3.94 | 1.060 | $211.92 |
| 2025-08-29 | 19.94% | +4.32 | 1.124 | $210.40 |
| 2025-08-28 | 18.49% | +1.37 | 1.216 | $207.92 |
| 2025-08-27 | 19.66% | +3.22 | 1.163 | $208.06 |
| 2025-08-26 | 19.41% | +3.21 | 1.186 | $208.36 |
| 2025-08-25 | 19.38% | +2.98 | 1.188 | $207.55 |
| 2025-08-22 | 18.52% | +2.49 | 1.216 | $210.60 |
| 2025-08-21 | 18.83% | +3.38 | 1.240 | $209.50 |
| 2025-08-20 | 19.44% | +2.81 | 1.177 | $209.15 |
| 2025-08-19 | 19.52% | +3.01 | 1.169 | $206.19 |
| 2025-08-18 | 18.02% | +3.41 | 1.272 | $206.57 |
| 2025-08-15 | — | — | — | $206.69 |
| 2025-08-14 | 20.91% | +2.98 | 1.109 | $204.68 |
| 2025-08-13 | 20.77% | +3.30 | 1.086 | $201.47 |
| 2025-08-12 | 20.90% | +2.93 | 1.099 | $198.64 |
| 2025-08-11 | 22.49% | +3.08 | 1.056 | $198.64 |
| 2025-08-08 | 21.11% | +2.85 | 1.102 | $198.05 |
| 2025-08-07 | 22.32% | +3.42 | 1.078 | $198.86 |
| 2025-08-06 | 22.37% | +3.00 | 1.067 | $196.30 |
| 2025-08-05 | 21.98% | +3.23 | 1.088 | $198.55 |
| 2025-08-04 | 22.68% | +3.52 | 1.070 | $197.19 |
| 2025-08-01 | 25.74% | +4.21 | 1.010 | $195.22 |
| 2025-07-31 | 24.12% | +2.82 | 1.028 | $189.02 |
| 2025-07-30 | 31.53% | +4.79 | 0.855 | $189.31 |
| 2025-07-29 | 28.00% | +3.75 | 0.881 | $191.22 |
图表覆盖存档中的全部交易日,共 348 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 348 个交易日
虚线标出零的位置,即 25-delta put 与 call 隐含波动率相同之处。
03 · 偏斜
偏斜曲线
按 delta 排列的隐含波动率,近月到期日
按 delta 排列的隐含波动率
3d (2026-11-13) · 10d (2026-11-20) · 17d (2026-11-27)
横轴是 call 的 delta。虚线中线右侧的读数取自该行权价上的虚值 put,波动率正是从这个合约的报价反解出来的。只有在保留下来的报价从两侧夹住该 delta 时才会画点;最后一个有成交的行权价之外一律不外推。
显示底层数据
| Delta | 3d | 10d | 17d |
|---|---|---|---|
| 10Δ 看涨 | 28.50% | — | — |
| 15Δ 看涨 | 28.57% | 25.70% | — |
| 20Δ 看涨 | 28.70% | 25.38% | — |
| 25Δ 看涨 | 29.03% | 25.96% | 24.64% |
| 30Δ 看涨 | 29.99% | 26.13% | 24.64% |
| 35Δ 看涨 | 30.76% | 25.90% | 24.94% |
| 40Δ 看涨 | 30.99% | 26.13% | 25.16% |
| 45Δ 看涨 | 31.15% | 26.19% | 25.35% |
| ATM | 31.50% | 26.22% | 25.68% |
| 45Δ 看跌 | 32.05% | 26.43% | 25.92% |
| 40Δ 看跌 | 32.37% | 26.68% | 26.13% |
| 35Δ 看跌 | 32.48% | 26.98% | 27.16% |
| 30Δ 看跌 | 32.70% | 27.51% | 27.12% |
| 25Δ 看跌 | 33.86% | 28.17% | 26.56% |
| 20Δ 看跌 | 34.18% | 28.23% | 26.84% |
| 15Δ 看跌 | 34.11% | 29.76% | 28.92% |
| 10Δ 看跌 | 35.52% | 31.07% | 31.16% |
| 5Δ 看跌 | 36.61% | — | 33.40% |
各到期日的两翼读数
| 到期日 | 天数 | 远期价 | ATM IV | 25Δ put | 25Δ call | RR | 蝶式价差 | 报价数 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-13 | 3 | $294.18 | 31.50% | 33.86% | 29.03% | +4.83 | -0.06 | 11 |
| 2026-11-20 | 10 | $294.50 | 26.22% | 28.17% | 25.96% | +2.21 | +0.84 | 15 |
| 2026-11-27 | 17 | $294.67 | 25.68% | 26.56% | 24.64% | +1.92 | -0.08 | 19 |
| 2026-12-04 | 24 | $294.94 | 25.40% | 26.53% | 24.80% | +1.72 | +0.26 | 18 |
| 2026-12-11 | 31 | $294.57 | 26.72% | 28.01% | 26.31% | +1.71 | +0.44 | 13 |
| 2026-12-18 | 38 | $295.53 | 26.04% | 27.03% | 25.02% | +2.01 | -0.01 | 8 |
| 2027-01-15 | 66 | $295.49 | 26.68% | 28.09% | 25.75% | +2.35 | +0.24 | 11 |
| 2027-02-19 | 101 | $295.98 | 28.77% | 30.32% | 27.30% | +3.01 | +0.04 | 12 |
| 2027-03-19 | 129 | $296.65 | 28.43% | 30.14% | 27.37% | +2.77 | +0.33 | 16 |
| 2027-05-21 | 192 | $297.19 | 28.55% | 31.33% | 27.73% | +3.60 | +0.98 | 17 |
| 2027-06-17 | 219 | $298.43 | 28.48% | 30.58% | 27.36% | +3.22 | +0.49 | 19 |
| 2027-09-17 | 311 | $299.45 | 29.61% | 30.92% | 27.94% | +2.98 | -0.18 | 24 |
上面每条曲线代表一个到期日。纵向位置是隐含波动率,横向位置是读数所取合约的 delta。对美股来说,曲线通常向右上方倾斜,也就是虚值 put 的隐含波动率高于距离相同的 call。
25-delta 风险逆转把这个斜率概括成一个数字:25-delta put 的波动率减去 25-delta call 的波动率。蝶式价差(butterfly)概括的是弯曲程度:两翼的平均值减去平值读数。
04 · 期限结构
期限结构
各到期日的平值隐含波动率
各到期日的平值隐含波动率
12 个上市到期日得出了可用读数
横轴是距到期天数的平方根,这是波动率本身所在的尺度。按方差计算平坦的曲线,在这里会画成一条直线,而不会在最近一周急剧弯折。
显示底层数据
| 到期日 | 天数 | 远期价 | ATM IV | ATM 行权价 | 使用的报价数 |
|---|---|---|---|---|---|
| 2026-11-13 | 3 天 | $294.18 | 31.50% | $294.30 | 11 |
| 2026-11-20 | 10 天 | $294.50 | 26.22% | $294.78 | 15 |
| 2026-11-27 | 17 天 | $294.67 | 25.68% | $295.13 | 19 |
| 2026-12-04 | 24 天 | $294.94 | 25.40% | $295.56 | 18 |
| 2026-12-11 | 31 天 | $294.57 | 26.72% | $295.47 | 13 |
| 2026-12-18 | 38 天 | $295.53 | 26.04% | $296.58 | 8 |
| 2027-01-15 | 66 天 | $295.49 | 26.68% | $297.40 | 11 |
| 2027-02-19 | 101 天 | $295.98 | 28.77% | $299.39 | 12 |
| 2027-03-19 | 129 天 | $296.65 | 28.43% | $300.92 | 16 |
| 2027-05-21 | 192 天 | $297.19 | 28.55% | $303.63 | 17 |
| 2027-06-17 | 219 天 | $298.43 | 28.48% | $305.79 | 19 |
| 2027-09-17 | 311 天 | $299.45 | 29.61% | $310.85 | 24 |
恒定期限
在前后相邻的上市到期日之间按总方差插值
- 30 天
- 26.57%
- 60 天
- 26.60%
- 90 天
- 28.31%
- 180 天
- 28.53%
插值是对总方差做线性插值,而不是对波动率。直接对波动率插值,隐含的两个到期日之间的远期方差可能为负。超出最长上市到期日的期限会标为不可用,而不是外推。
期限结构斜率
最近 348 个交易日
虚线标出 1.00,即 90 天与 30 天平值波动率相等之处。在它上方,较长期限的波动率更高。
期限结构就是每个上市到期日的平值隐含波动率,按到期日有多远排开画出来。标的平稳时,它通常缓缓向上倾斜,因为期限越长,能容纳的不确定性越多。
当市场为某个有确定日期的事件定价时,它会倒挂:包含预定公告的到期日,除了平常交易的方差之外还要加上该事件的方差,所以较短的合约可能显示出比较长合约更高的波动率。
05 · 财报
财报
每次财报前期权计入了多大的波动,以及实际发生了什么
下一次财报
期权定价与实际结果对照
最近 12 次财报
- 落在隐含区间内
- 12 次中 8 次
- 67% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 4.1%
- 平均实际波动幅度
- 5.4%
- 绝对值
历次财报
最新的在前。隐含波动幅度为一个标准差,按发布前一个交易日的价格计算。
| 财报日 | 时段 | 隐含 ± | 实际 | 实际 / 隐含 |
|---|---|---|---|---|
| 2026-10-30 | 开盘前 | 6.2% | +1.4% | 0.23× |
| 2026-10-06 | 未说明时间 | 2.6% | +1.8% | 0.67× |
| 2026-10-05 | 收盘后 | 3.0% | +0.3% | 0.12× |
| 2026-07-31 | 开盘前 | — | — | — |
| 2026-07-06 | 收盘后 | — | — | — |
| 2026-04-29 | 开盘前 | — | — | — |
| 2026-04-03 | 收盘后 | — | — | — |
| 2026-02-04 | 开盘前 | — | — | — |
| 2026-01-07 | 收盘后 | — | — | — |
| 2025-10-31 | 开盘前 | — | — | — |
| 2025-10-03 | 收盘后 | 3.3% | +7.0% | 2.12× |
| 2025-07-31 | 开盘前 | 5.8% | -0.2% | 0.03× |
| 2025-07-03 | 未说明时间 | 2.9% | +32.3% | 11.28× |
| 2025-04-25 | 开盘前 | 7.1% | +3.2% | 0.44× |
| 2025-04-03 | 收盘后 | 3.1% | -7.3% | 2.38× |
| 2025-01-31 | 开盘前 | 6.5% | +4.7% | 0.73× |
| 2025-01-06 | 收盘后 | 2.0% | -0.3% | 0.16× |
| 2024-10-30 | 开盘前 | 4.9% | +6.4% | 1.29× |
| 2024-10-03 | 收盘后 | 1.2% | -0.6% | 0.49× |
| 2024-07-25 | 开盘前 | — | — | — |
| 2024-07-03 | 未说明时间 | — | — | — |
| 2024-04-26 | 开盘前 | — | — | — |
| 2024-04-03 | 收盘后 | — | — | — |
| 2024-02-02 | 开盘前 | — | — | — |
| 2024-01-05 | 收盘后 | — | — | — |
| 2023-10-27 | 开盘前 | — | — | — |
| 2023-10-04 | 收盘后 | — | — | — |
隐含波动幅度取自财报日之后第一个到期日的平值跨式组合(straddle),换算成一个标准差的波动,再除以远期价。实际波动幅度是跨越该事件的收盘到收盘收益率,从发布前一个交易日量到发布后一个交易日。
已经过去的财报日期来自公司自己提交的 8-K 文件,是准确的。尚未到来的日期,要么是公司已公布的,要么是根据其财报周期作出的估计。