股票 · 期权分析
BABA 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $102.72
- 30D ATM IV
- 48.61%
- IV 百分位 · 1年
- 第 76
- 25Δ 风险逆转
- -1.70
- 期限斜率 90/30
- 0.894
▲ +0.97 pts 较前一交易日
概览
BABA 期权当前计入的 30 天平值隐含波动率为 48.6%,相当于未来一个月约 ±13.9% 的波动。这高于它过去一年 252 个交易日中 76% 的读数。
它的 25-delta call 比 put 的隐含波动率高 1.70 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 11%。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。
它的下一次财报在 2026-11-19 开盘前。
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ⓘ
- 48.61%
- 25-delta 风险逆转ⓘ
- -1.70
- 25-delta 蝶式价差ⓘ
- -0.06
- 期限结构斜率ⓘ
- 0.894
对应 30 天内约 ±13.9% 的波动，平常一天约 ±3.1%。
高于过去一年中 76% 的读数。
距平值同样远时，call 比 put的隐含波动率高 1.70 个点。
高于过去一年中 69% 的读数。
两翼的隐含波动率比平值低 0.06 个点。
90 天的隐含波动率比 30 天低 11%。
高于过去一年中 13% 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
- 76%
- IV 排名,1 年
- 40%
- IV 百分位,2 年
- 80%
- IV 排名,2 年
- 46%
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
- $102.72
- 30 天隐含远期价
- $103.00
- 60 天 ATM IV
- 44.33%
- 90 天 ATM IV
- 43.47%
- 180 天 ATM IV
- 43.39%
- 使用的到期日数
- 13
- 总未平仓量
- 1,299,813
- Put / call 未平仓量比
- 0.62
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 344 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 | 48.61% | -1.70 | 0.894 | $102.72 |
| 2026-11-09 | 47.64% | -0.10 | 0.913 | $105.38 |
| 2026-11-06 | 48.32% | +0.38 | 0.919 | $109.45 |
| 2026-11-05 | 51.38% | +1.46 | 0.893 | $108.07 |
| 2026-11-04 | 47.49% | -0.84 | 0.909 | $105.29 |
| 2026-11-03 | 46.67% | -0.22 | 0.934 | $100.36 |
| 2026-11-02 | 46.11% | -1.10 | 0.954 | $101.50 |
| 2026-10-30 | 47.29% | -0.18 | 0.929 | $98.04 |
| 2026-10-29 | 44.26% | -0.75 | 0.963 | $99.54 |
| 2026-10-28 | 44.08% | +0.50 | 0.968 | $100.96 |
| 2026-10-27 | 42.87% | +0.42 | 0.971 | $100.24 |
| 2026-10-26 | 42.88% | +0.72 | 0.999 | $100.25 |
| 2026-10-23 | 42.86% | +1.23 | 0.986 | $99.64 |
| 2026-10-22 | 43.14% | -0.11 | 0.968 | $101.82 |
| 2026-10-21 | 41.95% | -0.44 | 0.981 | $104.41 |
| 2026-10-20 | 40.64% | -1.23 | 1.009 | $108.61 |
| 2026-10-19 | 39.89% | +0.13 | 1.017 | $108.57 |
| 2026-10-16 | 39.13% | +0.14 | 1.049 | $109.11 |
| 2026-10-15 | 40.07% | -1.14 | 1.026 | $111.13 |
| 2026-10-14 | 38.95% | -1.22 | 1.066 | $111.17 |
| 2026-10-13 | 38.74% | -2.54 | 1.084 | $110.85 |
| 2026-10-09 | 36.43% | -1.95 | 1.124 | $111.37 |
| 2026-10-08 | 35.45% | -2.12 | 1.162 | $105.70 |
| 2026-10-07 | 37.19% | -2.95 | 1.112 | $107.00 |
| 2026-10-06 | 36.58% | -3.53 | 1.128 | $109.26 |
| 2026-10-05 | 38.86% | -3.55 | 1.084 | $110.80 |
| 2026-10-02 | 34.88% | -2.28 | 1.179 | $105.85 |
| 2026-10-01 | 36.42% | -1.65 | 1.129 | $107.45 |
| 2026-09-30 | 35.86% | -1.84 | 1.141 | $107.54 |
| 2026-09-29 | 37.42% | -2.18 | 1.119 | $107.74 |
| 2026-09-28 | 37.16% | -2.14 | 1.119 | $108.76 |
| 2026-09-25 | 36.37% | -2.76 | 1.148 | $109.74 |
| 2026-09-24 | 38.23% | -3.53 | 1.128 | $110.63 |
| 2026-09-23 | 39.36% | -3.96 | 1.091 | $110.80 |
| 2026-09-22 | 41.92% | -3.39 | 1.073 | $116.31 |
| 2026-09-21 | 45.58% | -3.81 | 1.015 | $115.75 |
| 2026-09-18 | 43.70% | -2.74 | 1.039 | $113.24 |
| 2026-09-17 | 42.31% | -2.96 | 1.054 | $108.54 |
| 2026-09-16 | 41.78% | -1.11 | 1.062 | $107.27 |
| 2026-09-15 | 42.24% | -2.08 | 1.039 | $109.34 |
| 2026-09-14 | 42.02% | -1.81 | 1.059 | $109.23 |
| 2026-09-11 | 40.49% | -3.27 | 1.052 | $109.30 |
| 2026-09-10 | 41.87% | -5.16 | 1.031 | $108.56 |
| 2026-09-09 | 39.55% | -2.62 | 1.064 | $109.40 |
| 2026-09-08 | 46.16% | -3.12 | 0.963 | $112.66 |
| 2026-09-04 | 44.35% | -5.74 | 0.986 | $113.24 |
| 2026-09-03 | 42.05% | -5.20 | 1.016 | $111.81 |
| 2026-09-02 | 40.64% | -5.03 | 1.041 | $111.81 |
| 2026-09-01 | 40.71% | -3.36 | 1.047 | $112.85 |
| 2026-08-31 | 39.94% | -3.05 | 1.104 | $114.02 |
| 2026-08-28 | 43.11% | -3.70 | 1.027 | $118.90 |
| 2026-08-27 | 39.57% | -4.48 | 1.137 | $116.31 |
| 2026-08-26 | 41.56% | -3.39 | 1.069 | $119.83 |
| 2026-08-25 | 40.85% | -4.04 | 1.085 | $119.44 |
| 2026-08-24 | 41.40% | -4.58 | 1.085 | $118.47 |
| 2026-08-21 | 40.70% | -3.24 | 1.059 | $119.34 |
| 2026-08-20 | 40.78% | -3.71 | 1.016 | $130.53 |
| 2026-08-19 | 46.57% | -2.34 | 0.944 | $128.90 |
| 2026-08-18 | 46.74% | -1.93 | 0.922 | $128.15 |
| 2025-10-22 | 54.98% | -3.83 | 0.881 | $165.86 |
| 2025-10-21 | 53.15% | -2.51 | 0.898 | $166.67 |
| 2025-10-20 | 54.34% | -2.41 | 0.884 | $173.47 |
| 2025-10-17 | 54.03% | -1.26 | 0.887 | $167.05 |
| 2025-10-16 | 55.19% | -3.31 | 0.879 | $165.09 |
| 2025-10-15 | 52.80% | -2.84 | 0.914 | $165.91 |
| 2025-10-14 | 54.38% | -2.60 | 0.880 | $162.86 |
| 2025-10-10 | 52.86% | +0.23 | 0.894 | $159.01 |
| 2025-10-09 | 48.21% | -5.87 | 0.964 | $173.68 |
| 2025-10-08 | 47.32% | -2.99 | 1.009 | $181.12 |
| 2025-10-07 | 45.91% | -4.29 | 1.018 | $181.33 |
| 2025-10-06 | 47.81% | -7.32 | 0.995 | $187.22 |
| 2025-10-03 | 45.17% | -4.18 | 1.060 | $188.03 |
| 2025-10-02 | 49.07% | -5.78 | 1.026 | $189.34 |
| 2025-10-01 | 48.50% | -6.14 | 1.033 | $182.78 |
| 2025-09-30 | 47.99% | -5.66 | 1.033 | $178.73 |
| 2025-09-29 | 48.28% | -4.32 | 1.031 | $179.90 |
| 2025-09-26 | 43.70% | -4.83 | 1.079 | $171.91 |
| 2025-09-25 | 49.56% | -6.95 | 0.988 | $175.47 |
| 2025-09-24 | 47.29% | -3.59 | 1.048 | $176.44 |
| 2025-09-23 | 43.61% | -6.76 | 1.043 | $163.08 |
| 2025-09-22 | 44.41% | -6.05 | 1.050 | $164.25 |
| 2025-09-19 | 46.55% | -7.14 | 0.985 | $162.81 |
| 2025-09-18 | 46.61% | -7.71 | 1.017 | $162.48 |
| 2025-09-17 | 47.24% | -6.59 | 1.014 | $166.17 |
| 2025-09-16 | 47.46% | -5.35 | 0.976 | $162.21 |
| 2025-09-15 | 46.49% | -6.50 | 1.000 | $158.04 |
| 2025-09-12 | 45.18% | -6.26 | 1.002 | $155.06 |
| 2025-09-11 | 46.21% | -6.53 | 0.989 | $155.44 |
| 2025-09-10 | 41.02% | -4.60 | 1.043 | $143.93 |
| 2025-09-09 | 41.93% | -4.61 | 1.036 | $147.10 |
| 2025-09-08 | 39.23% | -5.15 | 1.085 | $141.20 |
| 2025-09-05 | 38.36% | -4.25 | 1.076 | $135.58 |
| 2025-09-04 | 36.56% | -4.23 | 1.109 | $130.92 |
| 2025-09-03 | 39.27% | -6.13 | 1.054 | $136.45 |
| 2025-09-02 | 40.58% | -3.82 | 1.054 | $138.55 |
| 2025-08-29 | 39.85% | -4.40 | 1.063 | $135.00 |
| 2025-08-28 | 47.13% | -4.80 | 0.886 | $119.57 |
| 2025-08-27 | 44.63% | -2.76 | 0.923 | $122.23 |
| 2025-08-26 | 42.75% | -3.82 | 0.942 | $124.19 |
| 2025-08-25 | 44.77% | -3.89 | 0.898 | $124.35 |
| 2025-08-22 | 43.38% | -4.28 | 0.953 | $122.94 |
| 2025-08-21 | 44.07% | -4.48 | 0.932 | $118.09 |
| 2025-08-20 | 43.04% | -4.41 | 0.946 | $119.49 |
| 2025-08-19 | 44.34% | -4.44 | 0.928 | $119.99 |
| 2025-08-18 | 44.69% | -6.05 | 0.941 | $121.40 |
| 2025-08-15 | 42.66% | -3.88 | 0.957 | $121.26 |
| 2025-08-14 | 42.98% | -5.44 | 0.973 | $122.28 |
| 2025-08-13 | 46.84% | -4.33 | 0.914 | $126.86 |
| 2025-08-12 | 44.25% | -6.30 | 0.933 | $122.42 |
| 2025-08-11 | 43.96% | -5.33 | 0.921 | $118.64 |
| 2025-08-08 | 41.95% | -5.46 | 0.956 | $120.36 |
| 2025-08-07 | 43.81% | -6.33 | 0.918 | $120.96 |
| 2025-08-06 | 43.29% | -4.78 | 0.934 | $120.86 |
| 2025-08-05 | 36.95% | -1.60 | 1.037 | $117.04 |
| 2025-08-04 | 40.62% | -4.10 | 0.953 | $117.50 |
| 2025-08-01 | 42.79% | -3.43 | 0.921 | $117.07 |
| 2025-07-31 | 41.60% | -4.80 | 0.945 | $120.63 |
| 2025-07-30 | 41.03% | -6.13 | 0.928 | $117.38 |
| 2025-07-29 | 41.79% | -4.40 | 0.918 | $119.36 |
| 2025-07-28 | 42.66% | -5.72 | 0.945 | $122.15 |
图表覆盖存档中的全部交易日,共 344 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 344 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 | 56.28% | 67.94% | 57.82% |
| 10Δ 看涨 | 53.89% | 64.01% | 55.91% |
| 15Δ 看涨 | 52.90% | 62.79% | 54.43% |
| 20Δ 看涨 | 52.61% | 62.37% | 53.16% |
| 25Δ 看涨 | 51.72% | 62.16% | 52.78% |
| 30Δ 看涨 | 51.27% | 61.73% | 52.68% |
| 35Δ 看涨 | 51.09% | 61.31% | 53.04% |
| 40Δ 看涨 | 50.97% | 61.10% | 53.31% |
| 45Δ 看涨 | 50.37% | 60.09% | 52.76% |
| ATM | 49.87% | 60.16% | 53.06% |
| 45Δ 看跌 | 49.58% | 60.40% | 52.84% |
| 40Δ 看跌 | 49.35% | 59.88% | 52.77% |
| 35Δ 看跌 | 49.21% | 59.94% | 52.77% |
| 30Δ 看跌 | 49.22% | 60.12% | 52.40% |
| 25Δ 看跌 | 49.32% | 60.24% | 52.53% |
| 20Δ 看跌 | 49.61% | 60.68% | 52.09% |
| 15Δ 看跌 | 49.64% | 61.15% | 52.69% |
| 10Δ 看跌 | 50.78% | 61.82% | 54.14% |
| 5Δ 看跌 | 52.19% | 63.70% | — |
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 | $102.65 | 49.87% | 49.32% | 51.72% | -2.40 | +0.64 | 32 |
| 2026-11-20 | 10 | $102.72 | 60.16% | 60.24% | 62.16% | -1.93 | +1.03 | 40 |
| 2026-11-27 | 17 | $102.87 | 53.06% | 52.53% | 52.78% | -0.25 | -0.40 | 42 |
| 2026-12-04 | 24 | $103.00 | 49.59% | 48.95% | 49.29% | -0.34 | -0.48 | 38 |
| 2026-12-11 | 31 | $103.00 | 48.49% | 47.54% | 49.43% | -1.88 | -0.00 | 34 |
| 2026-12-18 | 38 | $103.04 | 46.90% | 46.39% | 47.19% | -0.81 | -0.11 | 22 |
| 2026-12-24 | 44 | $103.23 | 46.36% | 45.09% | 47.22% | -2.13 | -0.21 | 28 |
| 2027-01-15 | 66 | $103.44 | 43.81% | 43.72% | 44.40% | -0.68 | +0.24 | 24 |
| 2027-02-19 | 101 | $104.06 | 43.36% | 43.67% | 43.40% | +0.27 | +0.17 | 28 |
| 2027-03-19 | 129 | $104.34 | 43.26% | 43.65% | 43.85% | -0.19 | +0.49 | 29 |
| 2027-04-16 | 157 | $104.72 | 43.30% | 43.17% | 45.70% | -2.54 | +1.13 | 25 |
| 2027-06-17 | 219 | $105.00 | 43.49% | 43.03% | 44.25% | -1.22 | +0.15 | 30 |
| 2027-09-17 | 311 | $105.86 | 43.30% | 43.61% | 44.24% | -0.63 | +0.62 | 35 |
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 | $102.65 | 49.87% | $102.75 | 32 |
| 2026-11-20 | 10 天 | $102.72 | 60.16% | $103.24 | 40 |
| 2026-11-27 | 17 天 | $102.87 | 53.06% | $103.55 | 42 |
| 2026-12-04 | 24 天 | $103.00 | 49.59% | $103.84 | 38 |
| 2026-12-11 | 31 天 | $103.00 | 48.49% | $104.03 | 34 |
| 2026-12-18 | 38 天 | $103.04 | 46.90% | $104.23 | 22 |
| 2026-12-24 | 44 天 | $103.23 | 46.36% | $104.57 | 28 |
| 2027-01-15 | 66 天 | $103.44 | 43.81% | $105.25 | 24 |
| 2027-02-19 | 101 天 | $104.06 | 43.36% | $106.81 | 28 |
| 2027-03-19 | 129 天 | $104.34 | 43.26% | $107.85 | 29 |
| 2027-04-16 | 157 天 | $104.72 | 43.30% | $109.03 | 25 |
| 2027-06-17 | 219 天 | $105.00 | 43.49% | $111.13 | 30 |
| 2027-09-17 | 311 天 | $105.86 | 43.30% | $114.66 | 35 |
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
- 48.61%
- 60 天
- 44.33%
- 90 天
- 43.47%
- 180 天
- 43.39%
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 344 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