股票 · 期权分析
ABT 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $110.46
- 30D ATM IV
- 25.23%
- IV 百分位 · 1年
- 第 66
- 25Δ 风险逆转
- +2.82
- 期限斜率 90/30
- 1.078
▼ -1.55 pts 较前一交易日
概览
ABT 期权当前计入的 30 天平值隐含波动率为 25.2%,相当于未来一个月约 ±7.2% 的波动。这高于它过去一年 223 个交易日中 66% 的读数。
它的 25-delta put 比 call 的隐含波动率高 2.82 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 8%。
它的下一次财报在 2027-01-14(根据其财报周期估算)。
在最近 7 次财报中,期权市场平均计入了 ±4.2% 的波动,ABT 实际平均波动 2.7%,7 次中有 6 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ⓘ
- 25.23%
- 25-delta 风险逆转ⓘ
- +2.82
- 25-delta 蝶式价差ⓘ
- +1.03
- 期限结构斜率ⓘ
- 1.078
对应 30 天内约 ±7.2% 的波动，平常一天约 ±1.6%。
高于过去一年中 66% 的读数。
距平值同样远时，put 比 call的隐含波动率高 2.82 个点。
高于过去一年中 52% 的读数。
两翼的隐含波动率比平值高 1.03 个点。
90 天的隐含波动率比 30 天高 8%。
高于过去一年中 79% 的读数。
30 天隐含波动率处在什么位置
对比此前 223 个交易日(一年窗口)
- IV 百分位,1 年
- 66%
- IV 排名,1 年
- 32%
- IV 百分位,2 年
- 74%
- IV 排名,2 年
- 32%
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
- $110.46
- 30 天隐含远期价
- $110.64
- 60 天 ATM IV
- 25.47%
- 90 天 ATM IV
- 27.19%
- 180 天 ATM IV
- 28.24%
- 使用的到期日数
- 12
- 总未平仓量
- 156,242
- Put / call 未平仓量比
- 0.37
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 347 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 | 25.23% | +2.82 | 1.078 | $110.46 |
| 2026-11-09 | 26.78% | +2.19 | 1.027 | $110.51 |
| 2026-11-06 | 27.20% | +1.91 | 1.018 | $109.93 |
| 2026-11-05 | 28.10% | +1.06 | 0.980 | $113.60 |
| 2026-11-04 | — | — | — | $115.51 |
| 2026-11-03 | 27.47% | +1.50 | 0.996 | $109.40 |
| 2026-11-02 | 28.45% | +1.63 | 0.973 | $110.16 |
| 2026-10-30 | 28.52% | +0.45 | 0.948 | $106.20 |
| 2026-10-29 | 26.07% | +1.40 | 1.025 | $104.57 |
| 2026-10-28 | 25.42% | +2.20 | 1.048 | $102.64 |
| 2026-10-27 | 26.50% | +2.39 | 1.006 | $103.10 |
| 2026-10-26 | 26.74% | +2.38 | 1.008 | $104.88 |
| 2026-10-23 | 26.84% | +2.13 | 1.004 | $103.70 |
| 2026-10-22 | 26.70% | +1.71 | 1.008 | $102.51 |
| 2026-10-21 | 28.36% | +1.65 | 0.951 | $100.51 |
| 2026-10-20 | 35.28% | +1.78 | 0.817 | $102.45 |
| 2026-10-19 | 32.71% | +2.02 | 0.866 | $104.06 |
| 2026-10-16 | 32.13% | +1.35 | 0.885 | $104.89 |
| 2026-10-15 | 32.44% | +1.99 | 0.861 | $104.68 |
| 2026-10-14 | 33.30% | +1.09 | 0.829 | $102.97 |
| 2026-10-13 | 32.46% | +1.50 | 0.869 | $102.61 |
| 2026-10-09 | 31.61% | +2.15 | 0.888 | $99.60 |
| 2026-10-08 | 32.40% | +1.81 | 0.869 | $98.49 |
| 2026-10-07 | 31.94% | +0.60 | 0.887 | $98.73 |
| 2026-10-06 | 32.87% | +0.21 | 0.851 | $98.16 |
| 2026-10-05 | 31.76% | +2.20 | 0.874 | $100.10 |
| 2026-10-02 | 31.35% | +0.63 | 0.885 | $97.50 |
| 2026-10-01 | 31.78% | +1.94 | 0.878 | $96.69 |
| 2026-09-30 | 32.86% | +0.11 | 0.861 | $98.83 |
| 2026-09-29 | 33.81% | +2.94 | 0.829 | $100.95 |
| 2026-09-28 | 33.47% | +0.15 | 0.846 | $100.98 |
| 2026-09-25 | 32.05% | +2.17 | 0.881 | $101.29 |
| 2026-09-24 | 30.65% | +1.39 | 0.937 | $101.07 |
| 2026-09-23 | 31.54% | +0.43 | 0.896 | $103.49 |
| 2026-09-22 | 31.75% | -0.60 | 0.859 | $103.69 |
| 2026-09-21 | 30.86% | -0.89 | 0.901 | $102.98 |
| 2026-09-18 | 28.24% | +1.97 | 0.991 | $102.61 |
| 2026-09-17 | 28.90% | +1.79 | 0.971 | $102.23 |
| 2026-09-16 | 28.81% | +1.38 | 0.980 | $102.36 |
| 2026-09-15 | 28.27% | +0.80 | 0.999 | $102.03 |
| 2026-09-14 | 28.01% | +1.67 | 1.036 | $103.09 |
| 2026-09-11 | 27.31% | +2.86 | 1.016 | $101.95 |
| 2026-09-10 | 27.94% | +2.33 | 1.011 | $103.36 |
| 2026-09-09 | 27.10% | +1.80 | 1.072 | $105.23 |
| 2026-09-08 | 28.25% | +0.93 | 0.968 | $105.52 |
| 2026-09-04 | — | — | — | $108.33 |
| 2026-09-03 | 25.13% | +2.74 | 1.060 | $108.79 |
| 2026-09-02 | — | — | — | $110.47 |
| 2026-09-01 | — | — | — | $108.93 |
| 2026-08-31 | — | — | — | $110.36 |
| 2026-08-28 | 24.27% | +0.84 | 1.058 | $112.47 |
| 2026-08-26 | 24.82% | +1.48 | 1.111 | $114.10 |
| 2026-08-25 | 27.17% | -1.56 | 1.040 | $116.13 |
| 2026-08-24 | 24.88% | +2.70 | 1.115 | $116.67 |
| 2026-08-21 | — | — | — | $116.64 |
| 2026-08-20 | — | — | — | $114.14 |
| 2026-08-19 | 24.05% | +1.27 | 1.152 | $114.43 |
| 2026-08-18 | — | — | — | $112.68 |
| 2026-08-17 | — | — | — | $110.37 |
| 2025-10-22 | 18.72% | +2.43 | 1.005 | $127.95 |
| 2025-10-21 | — | — | — | $127.54 |
| 2025-10-20 | 19.43% | +2.47 | 0.984 | $129.51 |
| 2025-10-17 | 20.27% | +2.02 | 0.992 | $128.54 |
| 2025-10-16 | 21.51% | +2.68 | 0.987 | $127.63 |
| 2025-10-15 | 22.24% | +2.37 | 0.960 | $129.45 |
| 2025-10-14 | — | — | — | $133.27 |
| 2025-10-10 | 27.35% | +3.66 | 0.853 | $132.57 |
| 2025-10-09 | 26.67% | +4.04 | 0.863 | $133.31 |
| 2025-10-08 | — | — | — | $134.27 |
| 2025-10-07 | 26.68% | +3.61 | 0.853 | $133.02 |
| 2025-10-06 | 25.72% | +4.00 | 0.882 | $133.74 |
| 2025-10-03 | 27.56% | +4.64 | 0.823 | $134.59 |
| 2025-10-02 | 26.16% | +2.87 | 0.867 | $132.99 |
| 2025-10-01 | 26.14% | +3.04 | 0.875 | $133.47 |
| 2025-09-30 | 26.20% | +3.43 | 0.865 | $133.94 |
| 2025-09-29 | 26.31% | +3.70 | 0.866 | $133.11 |
| 2025-09-26 | 25.67% | +2.86 | 0.890 | $133.55 |
| 2025-09-25 | 25.82% | +3.17 | 0.868 | $133.31 |
| 2025-09-24 | 24.72% | +2.19 | 0.893 | $133.89 |
| 2025-09-23 | 23.86% | +3.30 | 0.906 | $135.89 |
| 2025-09-22 | 22.51% | +2.11 | 0.972 | $136.62 |
| 2025-09-19 | 22.69% | +1.98 | 0.976 | $136.04 |
| 2025-09-18 | 24.61% | +2.78 | 0.892 | $134.57 |
| 2025-09-17 | — | — | — | $134.17 |
| 2025-09-16 | 24.45% | +3.46 | 0.918 | $132.76 |
| 2025-09-15 | 23.81% | +3.60 | 0.926 | $131.33 |
| 2025-09-12 | 22.10% | +3.34 | 0.994 | $133.73 |
| 2025-09-11 | 20.56% | +2.85 | 1.051 | $132.65 |
| 2025-09-10 | — | — | — | $129.36 |
| 2025-09-09 | 20.21% | +2.87 | 1.053 | $131.95 |
| 2025-09-08 | 21.56% | +3.63 | 1.000 | $132.20 |
| 2025-09-05 | 18.75% | +3.22 | 1.142 | $132.94 |
| 2025-09-04 | 17.89% | +2.65 | 1.175 | $132.81 |
| 2025-09-03 | 17.02% | +4.21 | 1.210 | $132.18 |
| 2025-09-02 | 19.32% | +4.65 | 1.062 | $131.46 |
| 2025-08-29 | 18.26% | +2.73 | 1.125 | $132.66 |
| 2025-08-28 | 18.60% | +1.00 | 1.104 | $131.37 |
| 2025-08-27 | 18.97% | +3.03 | 1.056 | $131.46 |
| 2025-08-26 | 19.94% | +1.29 | 1.022 | $131.59 |
| 2025-08-25 | 18.56% | +2.01 | 1.104 | $131.87 |
| 2025-08-22 | 17.53% | +2.58 | 1.136 | $132.59 |
| 2025-08-21 | 19.21% | +3.25 | 1.089 | $132.00 |
| 2025-08-20 | 18.74% | +2.81 | 1.102 | $132.44 |
| 2025-08-19 | 18.90% | +3.21 | 1.087 | $131.25 |
| 2025-08-18 | 18.90% | +2.62 | 1.071 | $130.27 |
| 2025-08-15 | 18.65% | +2.14 | 1.066 | $131.75 |
| 2025-08-14 | 19.85% | +3.27 | 1.049 | $129.28 |
| 2025-08-13 | 19.62% | +1.54 | 1.017 | $129.40 |
| 2025-08-12 | 19.07% | +2.89 | 1.018 | $131.02 |
| 2025-08-11 | 19.49% | +2.76 | 1.030 | $131.36 |
| 2025-08-08 | 17.33% | +2.60 | 1.103 | $134.28 |
| 2025-08-07 | — | — | — | $132.06 |
| 2025-08-06 | 19.44% | +1.89 | 1.014 | $130.93 |
| 2025-08-05 | 19.38% | +2.36 | 1.035 | $130.69 |
| 2025-08-04 | 19.00% | +2.88 | 1.061 | $129.93 |
| 2025-08-01 | 20.12% | +2.53 | 1.039 | $127.29 |
| 2025-07-31 | 20.31% | +2.81 | 1.012 | $126.19 |
| 2025-07-30 | 18.56% | +2.08 | 1.052 | $128.55 |
| 2025-07-29 | 18.84% | +1.76 | 1.045 | $128.01 |
| 2025-07-28 | 19.21% | +2.72 | 1.056 | $126.35 |
图表覆盖存档中的全部交易日,共 347 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 347 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 |
|---|---|---|---|
| 5Δ 看涨 | — | 27.26% | — |
| 10Δ 看涨 | 29.40% | 26.50% | — |
| 15Δ 看涨 | 29.75% | 26.42% | — |
| 20Δ 看涨 | 29.99% | 26.35% | 24.33% |
| 25Δ 看涨 | 30.16% | 26.05% | 24.22% |
| 30Δ 看涨 | 30.31% | 26.57% | 24.02% |
| 35Δ 看涨 | 30.59% | 27.28% | 25.24% |
| 40Δ 看涨 | 30.87% | 27.68% | 25.64% |
| 45Δ 看涨 | 30.85% | 27.57% | 24.94% |
| ATM | 30.47% | 27.88% | 24.75% |
| 45Δ 看跌 | 30.21% | 28.46% | 26.59% |
| 40Δ 看跌 | 30.58% | 28.56% | 26.98% |
| 35Δ 看跌 | 31.59% | 28.69% | 27.33% |
| 30Δ 看跌 | 32.56% | 28.77% | 27.72% |
| 25Δ 看跌 | 33.62% | 28.66% | 27.57% |
| 20Δ 看跌 | — | 29.10% | 27.67% |
| 15Δ 看跌 | — | 29.86% | — |
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 | $110.38 | 30.47% | 33.62% | 30.16% | +3.46 | +1.41 | 7 |
| 2026-11-20 | 10 | $110.45 | 27.88% | 28.66% | 26.05% | +2.61 | -0.52 | 13 |
| 2026-11-27 | 17 | $110.55 | 24.75% | 27.57% | 24.22% | +3.34 | +1.15 | 13 |
| 2026-12-04 | 24 | $110.57 | 26.41% | 27.30% | 24.36% | +2.94 | -0.58 | 14 |
| 2026-12-11 | 31 | $110.66 | 25.07% | 27.71% | 24.91% | +2.80 | +1.24 | 12 |
| 2026-12-18 | 38 | $110.75 | 26.42% | 27.54% | 25.46% | +2.08 | +0.08 | 9 |
| 2027-01-15 | 66 | $110.91 | 25.32% | 26.89% | 24.53% | +2.36 | +0.39 | 10 |
| 2027-02-19 | 101 | $111.06 | 27.72% | 29.38% | 26.26% | +3.12 | +0.10 | 11 |
| 2027-03-19 | 129 | $111.42 | 27.61% | 29.11% | 26.23% | +2.88 | +0.06 | 15 |
| 2027-05-21 | 192 | $111.07 | 28.34% | 29.81% | 27.45% | +2.36 | +0.30 | 15 |
| 2027-06-17 | 219 | $111.80 | 28.60% | 29.71% | 27.68% | +2.03 | +0.10 | 19 |
| 2027-09-17 | 311 | $112.44 | 28.75% | 29.50% | 28.02% | +1.48 | +0.01 | 19 |
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 | $110.38 | 30.47% | $110.42 | 7 |
| 2026-11-20 | 10 天 | $110.45 | 27.88% | $110.57 | 13 |
| 2026-11-27 | 17 天 | $110.55 | 24.75% | $110.71 | 13 |
| 2026-12-04 | 24 天 | $110.57 | 26.41% | $110.83 | 14 |
| 2026-12-11 | 31 天 | $110.66 | 25.07% | $110.95 | 12 |
| 2026-12-18 | 38 天 | $110.75 | 26.42% | $111.16 | 9 |
| 2027-01-15 | 66 天 | $110.91 | 25.32% | $111.55 | 10 |
| 2027-02-19 | 101 天 | $111.06 | 27.72% | $112.25 | 11 |
| 2027-03-19 | 129 天 | $111.42 | 27.61% | $112.93 | 15 |
| 2027-05-21 | 192 天 | $111.07 | 28.34% | $113.45 | 15 |
| 2027-06-17 | 219 天 | $111.80 | 28.60% | $114.57 | 19 |
| 2027-09-17 | 311 天 | $112.44 | 28.75% | $116.47 | 19 |
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
- 25.23%
- 60 天
- 25.47%
- 90 天
- 27.19%
- 180 天
- 28.24%
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 347 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 7 次财报
- 落在隐含区间内
- 7 次中 6 次
- 86% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 4.2%
- 平均实际波动幅度
- 2.7%
- 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 |
|---|---|---|---|---|
| 2026-10-21 | 开盘前 | 2.8% | +2.0% | 0.70× |
| 2026-10-15 | 未说明时间 | 1.6% | +0.2% | 0.13× |
| 2026-07-16 | 开盘前 | — | — | — |
| 2026-04-16 | 开盘前 | — | — | — |
| 2026-01-22 | 开盘前 | — | — | — |
| 2025-10-15 | 开盘前 | 6.3% | -2.9% | 0.46× |
| 2025-07-17 | 开盘前 | 5.6% | -8.5% | 1.53× |
| 2025-04-16 | 开盘前 | 4.9% | +2.8% | 0.57× |
| 2025-01-22 | 开盘前 | 4.3% | +0.8% | 0.20× |
| 2024-10-16 | 开盘前 | 4.2% | +1.5% | 0.36× |
| 2024-07-18 | 开盘前 | — | — | — |
| 2024-04-17 | 开盘前 | — | — | — |
| 2024-01-24 | 开盘前 | — | — | — |
| 2023-10-18 | 开盘前 | — | — | — |
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。