股票 · 期权分析
ASML 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $1,507.85
- 30D ATM IV
- 49.04%
- IV 百分位 · 1年
- 第 94
- 25Δ 风险逆转
- +4.93
- 期限斜率 90/30
- 0.919
▲ +1.91 pts 较前一交易日
概览
ASML 期权当前计入的 30 天平值隐含波动率为 49.0%,相当于未来一个月约 ±14.1% 的波动。这高于它过去一年 252 个交易日中 94% 的读数。
它的 25-delta put 比 call 的隐含波动率高 4.93 个波动率点,大致处在它自己过去一年区间的中部。
期限结构倒挂:90 天波动率比 30 天低 8%。当市场把某个有确定日期的事件计入较近的到期日时,就会出现这种情况。
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ⓘ
- 49.04%
- 25-delta 风险逆转ⓘ
- +4.93
- 25-delta 蝶式价差ⓘ
- +0.30
- 期限结构斜率ⓘ
- 0.919
对应 30 天内约 ±14.1% 的波动，平常一天约 ±3.1%。
高于过去一年中 94% 的读数。
距平值同样远时，put 比 call的隐含波动率高 4.93 个点。
高于过去一年中 88% 的读数。
两翼的隐含波动率比平值高 0.30 个点。
90 天的隐含波动率比 30 天低 8%。
高于过去一年中 27% 的读数。
30 天隐含波动率处在什么位置
对比此前 252 个交易日(一年窗口)
- IV 百分位,1 年
- 94%
- IV 排名,1 年
- 50%
- IV 百分位,2 年
- 95%
- IV 排名,2 年
- 50%
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
- $1,507.85
- 30 天隐含远期价
- $1,511.76
- 60 天 ATM IV
- 45.10%
- 90 天 ATM IV
- 45.08%
- 180 天 ATM IV
- 44.26%
- 使用的到期日数
- 13
- 总未平仓量
- 127,980
- Put / call 未平仓量比
- 1.08
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 305 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 | 49.04% | +4.93 | 0.919 | $1,507.85 |
| 2026-11-09 | 47.13% | +6.46 | 0.950 | $1,513.25 |
| 2026-11-06 | 52.46% | +8.12 | 0.898 | $1,424.75 |
| 2026-11-05 | 54.51% | +7.06 | 0.888 | $1,356.65 |
| 2026-11-04 | 46.39% | +1.08 | 0.922 | $1,496.30 |
| 2026-11-03 | 46.35% | +5.14 | 0.923 | $1,552.14 |
| 2026-11-02 | 45.95% | +2.42 | 0.948 | $1,526.14 |
| 2026-10-30 | 43.73% | +3.07 | 0.957 | $1,565.90 |
| 2026-10-29 | 40.34% | +0.36 | 0.982 | $1,675.70 |
| 2026-10-28 | 41.61% | +1.49 | 0.955 | $1,662.85 |
| 2026-10-27 | 42.19% | +1.80 | 0.963 | $1,635.57 |
| 2026-10-26 | 42.28% | +1.95 | 0.956 | $1,590.90 |
| 2026-10-23 | 41.46% | +2.71 | 0.967 | $1,571.80 |
| 2026-10-22 | 43.37% | +2.50 | 0.938 | $1,560.54 |
| 2026-10-21 | 40.29% | +1.59 | 0.963 | $1,676.69 |
| 2026-10-20 | 39.95% | +1.02 | 0.954 | $1,630.84 |
| 2026-10-19 | 39.32% | +0.80 | 0.973 | $1,647.12 |
| 2026-10-16 | 41.03% | -0.52 | 0.941 | $1,641.52 |
| 2026-10-15 | 38.41% | +0.88 | 0.970 | $1,657.44 |
| 2026-10-14 | 42.50% | -3.58 | 0.915 | $1,650.00 |
| 2026-10-13 | 43.08% | -1.09 | 0.920 | $1,717.76 |
| 2026-10-09 | 43.59% | +0.04 | 0.924 | $1,780.34 |
| 2026-10-08 | 46.45% | -1.94 | 0.898 | $1,769.79 |
| 2026-10-07 | 44.49% | -0.92 | 0.917 | $1,804.96 |
| 2026-10-06 | 44.50% | -3.49 | 0.921 | $1,834.10 |
| 2026-10-05 | 44.71% | -0.90 | 0.943 | $1,859.86 |
| 2026-10-02 | 44.39% | -0.09 | 0.977 | $1,867.31 |
| 2026-10-01 | 44.66% | -0.75 | 0.975 | $1,808.49 |
| 2026-09-30 | 47.33% | -1.09 | 0.944 | $1,811.67 |
| 2026-09-29 | 48.63% | -0.38 | 0.919 | $1,834.39 |
| 2026-09-28 | 48.53% | -0.69 | 0.916 | $1,771.41 |
| 2026-09-25 | 46.45% | -2.26 | 0.945 | $1,743.94 |
| 2026-09-24 | 46.83% | -0.98 | 0.941 | $1,722.50 |
| 2026-09-23 | 46.71% | -0.54 | 0.951 | $1,744.61 |
| 2026-09-22 | 46.99% | -0.99 | 0.952 | $1,747.90 |
| 2026-09-21 | 46.78% | -0.09 | 0.951 | $1,711.32 |
| 2026-09-18 | 44.44% | -1.16 | 0.981 | $1,679.92 |
| 2026-09-17 | 43.48% | -0.43 | 0.980 | $1,629.67 |
| 2026-09-16 | 45.45% | -1.12 | 0.955 | $1,602.22 |
| 2025-10-22 | 38.23% | +2.13 | 0.961 | $1,011.57 |
| 2025-10-21 | 36.63% | +2.00 | 0.986 | $1,025.02 |
| 2025-10-20 | 37.68% | +2.33 | 0.977 | $1,042.15 |
| 2025-10-17 | 39.49% | +2.55 | 0.939 | $1,029.27 |
| 2025-10-16 | 42.36% | +1.54 | 0.913 | $1,019.59 |
| 2025-10-15 | 43.38% | +0.85 | 0.872 | $1,009.81 |
| 2025-10-14 | 48.03% | +2.33 | 0.856 | $983.18 |
| 2025-10-10 | 50.26% | +1.28 | 0.821 | $936.19 |
| 2025-10-09 | 47.28% | -0.44 | 0.842 | $980.54 |
| 2025-10-08 | 49.06% | -0.20 | 0.827 | $987.81 |
| 2025-10-07 | 48.34% | -1.16 | 0.852 | $1,002.30 |
| 2025-10-06 | 49.29% | -1.40 | 0.822 | $1,043.30 |
| 2025-10-03 | 45.35% | -0.36 | 0.856 | $1,032.22 |
| 2025-10-02 | 45.94% | -1.18 | 0.849 | $1,030.17 |
| 2025-10-01 | 45.05% | +0.20 | 0.854 | $1,003.27 |
| 2025-09-30 | 42.98% | -0.20 | 0.865 | $968.09 |
| 2025-09-29 | 43.46% | -0.85 | 0.856 | $962.61 |
| 2025-09-26 | 42.76% | +0.28 | 0.845 | $951.52 |
| 2025-09-25 | 44.88% | -0.05 | 0.837 | $949.55 |
| 2025-09-24 | 43.77% | +0.36 | 0.834 | $946.94 |
| 2025-09-23 | 46.03% | -0.83 | 0.833 | $963.51 |
| 2025-09-22 | 44.59% | -1.49 | 0.840 | $957.80 |
| 2025-09-19 | 43.16% | -0.87 | 0.847 | $932.15 |
| 2025-09-18 | 43.84% | -1.27 | 0.842 | $927.80 |
| 2025-09-17 | 42.09% | -1.68 | 0.843 | $872.27 |
| 2025-09-16 | 40.86% | +0.10 | 0.895 | $878.42 |
| 2025-09-15 | 40.53% | +0.17 | 0.887 | $867.30 |
| 2025-09-12 | 32.16% | +1.81 | 1.056 | $813.87 |
| 2025-09-11 | 30.86% | +2.02 | 1.102 | $804.16 |
| 2025-09-10 | 29.52% | +1.95 | 1.150 | $793.14 |
| 2025-09-09 | 29.35% | +2.59 | 1.154 | $805.13 |
| 2025-09-08 | 29.09% | +2.81 | 1.147 | $796.25 |
| 2025-09-05 | 29.39% | +1.68 | 1.163 | $781.70 |
| 2025-09-04 | 30.20% | +2.66 | 1.136 | $753.43 |
| 2025-09-03 | 28.98% | +3.38 | 1.189 | $736.82 |
| 2025-09-02 | 31.13% | +3.54 | 1.122 | $725.85 |
| 2025-08-29 | 29.11% | +3.88 | 1.161 | $742.62 |
| 2025-08-28 | 27.49% | +3.77 | 1.211 | $763.46 |
| 2025-08-27 | 28.20% | +1.62 | 1.197 | $770.00 |
| 2025-08-26 | 28.54% | +3.69 | 1.163 | $763.20 |
| 2025-08-25 | 28.15% | +1.39 | 1.183 | $754.46 |
| 2025-08-22 | 26.78% | +1.89 | 1.234 | $754.89 |
| 2025-08-21 | 29.82% | +1.95 | 1.136 | $735.40 |
| 2025-08-20 | 29.46% | +1.20 | 1.137 | $749.49 |
| 2025-08-19 | 29.18% | +0.81 | 1.146 | $743.61 |
| 2025-08-18 | 28.42% | +1.14 | 1.162 | $747.55 |
| 2025-08-15 | 28.40% | +1.99 | 1.173 | $742.16 |
| 2025-08-14 | 28.73% | +1.54 | 1.143 | $755.21 |
| 2025-08-13 | 28.03% | +0.21 | 1.176 | $755.57 |
| 2025-08-12 | 27.76% | +2.27 | 1.166 | $741.79 |
| 2025-08-11 | 27.13% | +2.36 | 1.201 | $721.31 |
| 2025-08-08 | 27.74% | +0.60 | 1.173 | $722.32 |
| 2025-08-07 | 29.48% | +2.42 | 1.106 | $713.12 |
| 2025-08-06 | 27.85% | +2.13 | 1.166 | $690.96 |
| 2025-08-05 | 28.71% | +2.14 | 1.144 | $689.63 |
| 2025-08-04 | 28.24% | +3.29 | 1.128 | $699.36 |
| 2025-08-01 | 29.32% | +3.46 | 1.122 | $689.82 |
| 2025-07-31 | 28.89% | +2.28 | 1.143 | $694.71 |
| 2025-07-30 | 28.12% | +1.84 | 1.147 | $721.45 |
| 2025-07-29 | 28.15% | +2.08 | 1.145 | $718.49 |
| 2025-07-28 | 26.94% | +1.82 | 1.178 | $729.99 |
| 2025-07-25 | 26.31% | +0.71 | 1.179 | $711.25 |
| 2025-07-24 | 25.54% | +3.17 | 1.248 | $725.08 |
| 2025-07-23 | 27.48% | +0.60 | 1.174 | $716.93 |
| 2025-07-22 | 27.60% | +0.83 | 1.187 | $705.48 |
| 2025-07-21 | 28.20% | +0.59 | 1.139 | $719.68 |
| 2025-07-18 | 27.74% | +0.85 | 1.159 | $734.58 |
| 2025-07-17 | 29.10% | +0.63 | 1.115 | $744.91 |
| 2025-07-16 | 31.82% | +1.28 | 1.046 | $754.45 |
| 2025-07-15 | 38.41% | +3.48 | 0.937 | $823.02 |
| 2025-07-14 | 38.23% | +2.06 | 0.930 | $806.73 |
| 2025-07-11 | 37.67% | +3.29 | 0.938 | $801.93 |
| 2025-07-10 | 37.93% | +1.03 | 0.925 | $802.09 |
| 2025-07-09 | 38.12% | +2.63 | 0.942 | $799.83 |
| 2025-07-08 | 38.94% | +0.73 | 0.938 | $794.10 |
| 2025-07-07 | 40.66% | +2.43 | 0.912 | $785.09 |
| 2025-07-03 | 39.06% | +3.80 | 0.908 | $794.50 |
| 2025-07-02 | 38.65% | +3.98 | 0.923 | $799.59 |
| 2025-07-01 | 37.75% | +3.08 | 0.946 | $790.47 |
| 2025-06-30 | 38.11% | +2.49 | 0.929 | $801.39 |
| 2025-06-27 | 38.45% | +2.62 | 0.910 | $795.95 |
图表覆盖存档中的全部交易日,共 305 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 305 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 | 58.42% | — | — |
| 10Δ 看涨 | 58.62% | 52.13% | — |
| 15Δ 看涨 | 59.03% | 51.72% | 46.76% |
| 20Δ 看涨 | 59.85% | 51.82% | 49.43% |
| 25Δ 看涨 | 60.35% | 52.07% | 46.49% |
| 30Δ 看涨 | 60.62% | 52.65% | 47.31% |
| 35Δ 看涨 | 60.90% | 52.98% | 47.92% |
| 40Δ 看涨 | 61.64% | 53.18% | 48.47% |
| 45Δ 看涨 | 61.50% | 53.58% | 49.14% |
| ATM | 62.21% | 54.03% | 49.05% |
| 45Δ 看跌 | 62.55% | 54.48% | 49.96% |
| 40Δ 看跌 | 63.51% | 54.82% | 50.90% |
| 35Δ 看跌 | 64.27% | 55.04% | 50.36% |
| 30Δ 看跌 | 66.14% | 55.58% | 50.91% |
| 25Δ 看跌 | 66.71% | 56.19% | 50.41% |
| 20Δ 看跌 | 68.17% | 57.87% | 52.05% |
| 15Δ 看跌 | 71.61% | 58.43% | 52.78% |
| 10Δ 看跌 | 75.34% | 61.92% | — |
| 5Δ 看跌 | 78.16% | 66.38% | — |
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 | $1,507.00 | 62.21% | 66.71% | 60.35% | +6.37 | +1.32 | 65 |
| 2026-11-20 | 10 | $1,508.60 | 54.03% | 56.19% | 52.07% | +4.11 | +0.10 | 71 |
| 2026-11-27 | 17 | $1,509.45 | 49.05% | 50.41% | 46.49% | +3.92 | -0.61 | 55 |
| 2026-12-04 | 24 | $1,510.90 | 48.16% | 54.03% | 47.18% | +6.86 | +2.45 | 72 |
| 2026-12-11 | 31 | $1,511.91 | 49.15% | 51.51% | 46.83% | +4.68 | +0.02 | 68 |
| 2026-12-18 | 38 | $1,513.17 | 46.80% | 49.51% | 45.12% | +4.39 | +0.51 | 60 |
| 2026-12-24 | 44 | $1,514.07 | 47.29% | 50.48% | 44.16% | +6.32 | +0.03 | 32 |
| 2027-01-15 | 66 | $1,518.79 | 44.54% | 47.27% | 43.26% | +4.01 | +0.72 | 79 |
| 2027-02-19 | 101 | $1,523.49 | 45.24% | 47.68% | 43.83% | +3.86 | +0.51 | 77 |
| 2027-03-19 | 129 | $1,528.93 | 44.64% | 47.10% | 43.32% | +3.78 | +0.57 | 104 |
| 2027-04-16 | 157 | $1,534.91 | 43.91% | 46.20% | 43.07% | +3.14 | +0.72 | 108 |
| 2027-06-17 | 219 | $1,543.75 | 44.67% | 46.96% | 43.87% | +3.09 | +0.74 | 122 |
| 2027-09-17 | 311 | $1,559.22 | 44.69% | 46.44% | 44.18% | +2.27 | +0.62 | 100 |
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
13 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 | $1,507.00 | 62.21% | $1,509.40 | 65 |
| 2026-11-20 | 10 天 | $1,508.60 | 54.03% | $1,514.64 | 71 |
| 2026-11-27 | 17 天 | $1,509.45 | 49.05% | $1,517.93 | 55 |
| 2026-12-04 | 24 天 | $1,510.90 | 48.16% | $1,522.47 | 72 |
| 2026-12-11 | 31 天 | $1,511.91 | 49.15% | $1,527.50 | 68 |
| 2026-12-18 | 38 天 | $1,513.17 | 46.80% | $1,530.52 | 60 |
| 2026-12-24 | 44 天 | $1,514.07 | 47.29% | $1,534.62 | 32 |
| 2027-01-15 | 66 天 | $1,518.79 | 44.54% | $1,546.28 | 79 |
| 2027-02-19 | 101 天 | $1,523.49 | 45.24% | $1,567.25 | 77 |
| 2027-03-19 | 129 天 | $1,528.93 | 44.64% | $1,583.73 | 104 |
| 2027-04-16 | 157 天 | $1,534.91 | 43.91% | $1,599.90 | 108 |
| 2027-06-17 | 219 天 | $1,543.75 | 44.67% | $1,638.98 | 122 |
| 2027-09-17 | 311 天 | $1,559.22 | 44.69% | $1,697.70 | 100 |
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
- 49.04%
- 60 天
- 45.10%
- 90 天
- 45.08%
- 180 天
- 44.26%
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 305 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
期权定价与实际结果对照
最近 1 次财报
- 落在隐含区间内
- 1 次中 1 次
- 100% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 6.7%
- 平均实际波动幅度
- 3.9%
- 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 |
|---|---|---|---|---|
| 2026-10-14 | 开盘前 | 6.7% | -3.9% | 0.58× |
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。