股票 · 期权分析
BAC 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $50.68
- 30D ATM IV
- 25.81%
- IV 百分位 · 1年
- 第 55
- 25Δ 风险逆转
- +3.67
- 期限斜率 90/30
- 1.043
▼ -0.30 pts 较前一交易日
概览
BAC 期权当前计入的 30 天平值隐含波动率为 25.8%,相当于未来一个月约 ±7.4% 的波动。这高于它过去一年 252 个交易日中 55% 的读数。
它的 25-delta put 比 call 的隐含波动率高 3.67 个波动率点,大致处在它自己过去一年区间的中部。
它的下一次财报在 2027-01-13(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,BAC 实际平均波动 1.6%,7 次中有 7 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ⓘ
- 25.81%
- 25-delta 风险逆转ⓘ
- +3.67
- 25-delta 蝶式价差ⓘ
- -0.13
- 期限结构斜率ⓘ
- 1.043
对应 30 天内约 ±7.4% 的波动，平常一天约 ±1.6%。
高于过去一年中 55% 的读数。
距平值同样远时，put 比 call的隐含波动率高 3.67 个点。
高于过去一年中 62% 的读数。
两翼的隐含波动率比平值低 0.13 个点。
90 天的隐含波动率比 30 天高 4%。
高于过去一年中 54% 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
- 55%
- IV 排名,1 年
- 15%
- IV 百分位,2 年
- 56%
- IV 排名,2 年
- 16%
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
- $50.68
- 30 天隐含远期价
- $50.57
- 60 天 ATM IV
- 26.86%
- 90 天 ATM IV
- 26.93%
- 180 天 ATM IV
- 27.09%
- 使用的到期日数
- 15
- 总未平仓量
- 1,722,615
- Put / call 未平仓量比
- 1.23
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 | 25.81% | +3.67 | 1.043 | $50.68 |
| 2026-11-09 | 26.11% | +2.85 | 1.021 | $50.55 |
| 2026-11-06 | 27.01% | +3.77 | 1.015 | $49.42 |
| 2026-11-05 | 28.90% | +5.20 | 0.964 | $49.76 |
| 2026-11-04 | 25.01% | +3.38 | 1.037 | $51.63 |
| 2026-11-03 | 27.68% | +2.60 | 1.000 | $49.66 |
| 2026-11-02 | 26.82% | +3.11 | 1.005 | $49.57 |
| 2026-10-30 | 25.54% | +3.39 | 1.037 | $50.01 |
| 2026-10-29 | 23.65% | +2.39 | 1.079 | $51.14 |
| 2026-10-28 | 24.03% | +3.20 | 1.073 | $50.85 |
| 2026-10-27 | 23.65% | +2.70 | 1.094 | $50.68 |
| 2026-10-26 | 24.20% | +2.62 | 1.074 | $50.52 |
| 2026-10-23 | 24.23% | +2.58 | 1.069 | $50.56 |
| 2026-10-22 | 23.75% | +2.92 | 1.072 | $51.08 |
| 2026-10-21 | 23.37% | +2.94 | 1.075 | $50.78 |
| 2026-10-20 | 24.04% | +2.72 | 1.049 | $50.64 |
| 2026-10-19 | 23.89% | +2.71 | 1.052 | $50.39 |
| 2026-10-16 | 24.13% | +2.09 | 1.037 | $51.23 |
| 2026-10-15 | 23.38% | +1.78 | 1.059 | $51.70 |
| 2026-10-14 | 24.76% | +2.31 | 0.996 | $51.39 |
| 2026-10-13 | 26.94% | +2.64 | 0.957 | $53.96 |
| 2026-10-09 | 27.46% | +2.87 | 0.944 | $54.32 |
| 2026-10-08 | 28.62% | +3.44 | 0.935 | $53.61 |
| 2026-10-07 | 27.36% | +3.34 | 0.955 | $53.52 |
| 2026-10-06 | 26.67% | +2.80 | 0.975 | $54.09 |
| 2026-10-05 | 27.17% | +2.70 | 0.955 | $54.00 |
| 2026-10-02 | 28.11% | +3.40 | 0.948 | $53.75 |
| 2026-10-01 | 29.14% | +3.66 | 0.930 | $53.73 |
| 2026-09-30 | 28.24% | +3.32 | 0.932 | $54.43 |
| 2026-09-29 | 29.03% | +3.41 | 0.905 | $54.96 |
| 2026-09-28 | 28.27% | +3.60 | 0.919 | $55.47 |
| 2026-09-25 | 27.26% | +3.46 | 0.952 | $56.70 |
| 2026-09-24 | 28.02% | +3.77 | 0.938 | $56.03 |
| 2026-09-23 | 27.45% | +2.81 | 0.938 | $56.00 |
| 2026-09-22 | 26.88% | +3.21 | 0.955 | $56.20 |
| 2026-09-21 | 25.52% | +2.36 | 0.966 | $57.96 |
| 2026-09-18 | 25.32% | +2.71 | 0.976 | $57.73 |
| 2026-09-17 | 25.50% | +2.84 | 0.979 | $58.18 |
| 2026-09-16 | 28.08% | +3.08 | 0.931 | $57.90 |
| 2026-09-15 | 26.65% | +2.82 | 0.956 | $59.52 |
| 2026-09-14 | 25.30% | +2.80 | 0.988 | $59.47 |
| 2026-09-11 | 22.94% | +2.51 | 1.063 | $62.69 |
| 2026-09-10 | 23.27% | +3.19 | 1.064 | $62.56 |
| 2026-09-09 | 22.32% | +2.75 | 1.127 | $62.67 |
| 2026-09-08 | 22.79% | +2.48 | 1.111 | $62.39 |
| 2026-09-04 | 20.85% | +2.40 | 1.150 | $62.68 |
| 2026-09-03 | 20.41% | +2.30 | 1.155 | $63.04 |
| 2026-09-02 | 20.03% | +3.04 | 1.199 | $62.60 |
| 2026-09-01 | 21.43% | +2.72 | 1.117 | $61.99 |
| 2026-08-31 | 20.50% | +2.38 | 1.144 | $61.94 |
| 2026-08-28 | 19.93% | +2.24 | 1.177 | $62.32 |
| 2026-08-27 | 20.42% | +1.73 | 1.162 | $61.17 |
| 2026-08-26 | 20.63% | +2.07 | 1.149 | $62.23 |
| 2026-08-25 | 20.32% | +2.82 | 1.160 | $62.43 |
| 2026-08-24 | 20.62% | +3.09 | 1.157 | $62.33 |
| 2026-08-21 | 20.50% | +2.44 | 1.147 | $61.69 |
| 2026-08-20 | 20.73% | +2.29 | 1.132 | $61.86 |
| 2026-08-19 | 19.74% | +3.18 | 1.165 | $63.17 |
| 2026-08-18 | 19.73% | +2.58 | 1.179 | $64.23 |
| 2026-08-17 | 19.76% | +1.58 | 1.166 | $63.89 |
| 2025-10-22 | 27.62% | +4.54 | 0.965 | $51.10 |
| 2025-10-21 | 25.74% | +3.57 | 0.993 | $51.52 |
| 2025-10-20 | 26.43% | +4.73 | 0.976 | $52.04 |
| 2025-10-17 | 27.84% | +4.34 | 0.975 | $51.28 |
| 2025-10-16 | 33.67% | +5.92 | 0.908 | $50.44 |
| 2025-10-15 | 27.64% | +3.83 | 0.957 | $52.28 |
| 2025-10-14 | 31.25% | +4.37 | 0.887 | $50.09 |
| 2025-10-10 | 33.65% | +5.22 | 0.877 | $48.65 |
| 2025-10-09 | 31.09% | +3.52 | 0.895 | $49.79 |
| 2025-10-08 | 31.18% | +3.55 | 0.890 | $49.84 |
| 2025-10-07 | 29.39% | +3.14 | 0.919 | $50.29 |
| 2025-10-06 | 29.03% | +3.16 | 0.920 | $50.39 |
| 2025-10-03 | 28.06% | +3.19 | 0.936 | $50.64 |
| 2025-10-02 | 28.01% | +3.41 | 0.938 | $50.48 |
| 2025-10-01 | 28.15% | +2.85 | 0.926 | $50.68 |
| 2025-09-30 | 27.60% | +3.56 | 0.954 | $51.59 |
| 2025-09-29 | 26.24% | +3.64 | 0.969 | $52.42 |
| 2025-09-26 | 25.65% | +2.65 | 0.971 | $52.21 |
| 2025-09-25 | 27.77% | +3.44 | 0.938 | $51.85 |
| 2025-09-24 | 27.78% | +3.75 | 0.928 | $51.70 |
| 2025-09-23 | 27.74% | +3.91 | 0.935 | $51.70 |
| 2025-09-22 | 26.22% | +2.92 | 0.935 | $51.92 |
| 2025-09-19 | 26.13% | +3.15 | 0.932 | $52.25 |
| 2025-09-18 | 26.08% | +3.29 | 0.933 | $52.13 |
| 2025-09-17 | 27.15% | +3.77 | 0.923 | $51.40 |
| 2025-09-16 | 27.21% | +3.42 | 0.927 | $50.66 |
| 2025-09-15 | 25.83% | +2.70 | 0.945 | $50.59 |
| 2025-09-12 | 23.22% | +2.84 | 1.072 | $50.58 |
| 2025-09-11 | 22.62% | +3.45 | 1.087 | $50.75 |
| 2025-09-10 | 22.58% | +2.33 | 1.095 | $50.13 |
| 2025-09-09 | 22.42% | +2.98 | 1.098 | $50.29 |
| 2025-09-08 | 22.23% | +3.55 | 1.130 | $49.46 |
| 2025-09-05 | 22.29% | +3.51 | 1.124 | $49.77 |
| 2025-09-04 | 21.75% | +3.07 | 1.124 | $50.62 |
| 2025-09-03 | 22.28% | +3.73 | 1.124 | $50.06 |
| 2025-09-02 | 22.81% | +3.77 | 1.097 | $50.42 |
| 2025-08-29 | 21.67% | +3.00 | 1.126 | $50.74 |
| 2025-08-28 | 21.91% | +2.77 | 1.117 | $50.49 |
| 2025-08-27 | 22.32% | +3.21 | 1.099 | $50.38 |
| 2025-08-26 | 22.04% | +2.94 | 1.120 | $50.25 |
| 2025-08-25 | 22.49% | +2.77 | 1.110 | $49.48 |
| 2025-08-22 | 21.30% | +3.28 | 1.126 | $49.48 |
| 2025-08-21 | 23.54% | +3.66 | 1.099 | $48.26 |
| 2025-08-20 | 23.09% | +3.25 | 1.107 | $48.35 |
| 2025-08-19 | 23.19% | +3.25 | 1.092 | $48.08 |
| 2025-08-18 | 22.66% | +3.28 | 1.106 | $47.92 |
| 2025-08-15 | 22.15% | +3.41 | 1.111 | $46.94 |
| 2025-08-14 | 22.19% | +3.27 | 1.098 | $47.71 |
| 2025-08-13 | 22.20% | +3.21 | 1.089 | $47.24 |
| 2025-08-12 | 21.58% | +3.80 | 1.093 | $47.50 |
| 2025-08-11 | 23.68% | +3.66 | 1.042 | $46.16 |
| 2025-08-08 | 22.75% | +3.23 | 1.070 | $46.01 |
| 2025-08-07 | 24.12% | +3.21 | 1.061 | $44.92 |
| 2025-08-06 | 23.44% | +3.26 | 1.066 | $45.42 |
| 2025-08-05 | 24.23% | +3.76 | 1.044 | $45.56 |
| 2025-08-04 | 22.54% | +2.80 | 1.078 | $45.85 |
| 2025-08-01 | 25.84% | +4.67 | 1.017 | $45.66 |
| 2025-07-31 | 22.18% | +2.60 | 1.088 | $47.27 |
| 2025-07-30 | 21.23% | +2.86 | 1.114 | $47.96 |
| 2025-07-29 | 20.08% | +3.04 | 1.149 | $47.95 |
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 |
|---|---|---|---|
| 5Δ 看涨 | 31.57% | 26.77% | — |
| 10Δ 看涨 | 29.50% | 25.82% | 23.51% |
| 15Δ 看涨 | 28.84% | 25.52% | 23.50% |
| 20Δ 看涨 | 28.81% | 25.64% | 23.38% |
| 25Δ 看涨 | 28.81% | 25.70% | 23.61% |
| 30Δ 看涨 | 28.81% | 25.74% | 24.03% |
| 35Δ 看涨 | 28.81% | 25.93% | 24.32% |
| 40Δ 看涨 | 28.82% | 26.20% | 24.50% |
| 45Δ 看涨 | 28.83% | 26.44% | 24.67% |
| ATM | 28.88% | 26.61% | 24.91% |
| 45Δ 看跌 | 28.95% | 26.73% | 25.29% |
| 40Δ 看跌 | 29.04% | 26.88% | 25.66% |
| 35Δ 看跌 | 29.14% | 27.12% | 25.87% |
| 30Δ 看跌 | 29.24% | 27.61% | 26.14% |
| 25Δ 看跌 | 29.34% | 28.01% | 26.68% |
| 20Δ 看跌 | 29.49% | 28.55% | 27.02% |
| 15Δ 看跌 | 30.42% | 29.49% | 28.05% |
| 10Δ 看跌 | 32.04% | 31.32% | 29.41% |
| 5Δ 看跌 | 36.56% | 34.89% | 32.52% |
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 | $50.68 | 28.88% | 29.34% | 28.81% | +0.53 | +0.20 | 11 |
| 2026-11-20 | 10 | $50.73 | 26.61% | 28.01% | 25.70% | +2.32 | +0.25 | 20 |
| 2026-11-27 | 17 | $50.76 | 24.91% | 26.68% | 23.61% | +3.07 | +0.23 | 17 |
| 2026-12-04 | 24 | $50.59 | 26.18% | 27.55% | 24.48% | +3.07 | -0.17 | 15 |
| 2026-12-11 | 31 | $50.57 | 25.76% | 27.52% | 23.77% | +3.75 | -0.12 | 16 |
| 2026-12-18 | 38 | $50.60 | 25.41% | 27.72% | 23.73% | +3.99 | +0.32 | 18 |
| 2026-12-24 | 44 | $50.60 | 25.44% | 27.46% | 23.91% | +3.55 | +0.25 | 16 |
| 2027-01-15 | 66 | $50.79 | 27.20% | 29.46% | 25.58% | +3.88 | +0.32 | 19 |
| 2027-02-19 | 101 | $50.97 | 26.85% | 28.94% | 25.12% | +3.82 | +0.18 | 12 |
| 2027-03-19 | 129 | $50.96 | 26.36% | 28.95% | 24.80% | +4.16 | +0.51 | 16 |
| 2027-04-16 | 157 | $51.04 | 27.07% | 29.67% | 25.36% | +4.31 | +0.44 | 13 |
| 2027-05-21 | 192 | $51.25 | 27.10% | 29.62% | 25.49% | +4.13 | +0.45 | 15 |
| 2027-06-17 | 219 | $51.22 | 26.96% | 29.41% | 25.35% | +4.06 | +0.42 | 20 |
| 2027-07-16 | 248 | $51.32 | 27.20% | 29.22% | 25.55% | +3.67 | +0.18 | 17 |
| 2027-09-17 | 311 | $51.59 | 27.16% | 29.05% | 25.50% | +3.55 | +0.12 | 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
15 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 | $50.68 | 28.88% | $50.70 | 11 |
| 2026-11-20 | 10 天 | $50.73 | 26.61% | $50.78 | 20 |
| 2026-11-27 | 17 天 | $50.76 | 24.91% | $50.84 | 17 |
| 2026-12-04 | 24 天 | $50.59 | 26.18% | $50.71 | 15 |
| 2026-12-11 | 31 天 | $50.57 | 25.76% | $50.71 | 16 |
| 2026-12-18 | 38 天 | $50.60 | 25.41% | $50.77 | 18 |
| 2026-12-24 | 44 天 | $50.60 | 25.44% | $50.80 | 16 |
| 2027-01-15 | 66 天 | $50.79 | 27.20% | $51.13 | 19 |
| 2027-02-19 | 101 天 | $50.97 | 26.85% | $51.48 | 12 |
| 2027-03-19 | 129 天 | $50.96 | 26.36% | $51.59 | 16 |
| 2027-04-16 | 157 天 | $51.04 | 27.07% | $51.85 | 13 |
| 2027-05-21 | 192 天 | $51.25 | 27.10% | $52.25 | 15 |
| 2027-06-17 | 219 天 | $51.22 | 26.96% | $52.35 | 20 |
| 2027-07-16 | 248 天 | $51.32 | 27.20% | $52.62 | 17 |
| 2027-09-17 | 311 天 | $51.59 | 27.16% | $53.24 | 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
- 25.81%
- 60 天
- 26.86%
- 90 天
- 26.93%
- 180 天
- 27.09%
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 7 次财报
- 落在隐含区间内
- 7 次中 7 次
- 100% —— 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
- 1.6%
- 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 | 未说明时间 | 2.1% | +0.6% | 0.29× |
| 2026-10-14 | 开盘前 | 2.5% | +0.6% | 0.24× |
| 2026-07-14 | 开盘前 | — | — | — |
| 2026-04-15 | 开盘前 | — | — | — |
| 2026-01-14 | 开盘前 | — | — | — |
| 2025-10-15 | 开盘前 | 4.9% | +4.4% | 0.88× |
| 2025-07-16 | 开盘前 | 4.5% | -0.3% | 0.06× |
| 2025-04-15 | 开盘前 | 5.8% | +3.6% | 0.62× |
| 2025-01-16 | 开盘前 | 4.3% | -1.0% | 0.23× |
| 2024-10-15 | 开盘前 | 4.9% | +0.5% | 0.09× |
| 2024-07-16 | 开盘前 | — | — | — |
| 2024-04-16 | 开盘前 | — | — | — |
| 2024-01-12 | 开盘前 | — | — | — |
| 2024-01-08 | 开盘前 | — | — | — |
| 2023-10-17 | 未说明时间 | — | — | — |
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。