股票 · 期权分析
DELL 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $334.38
- 30D ATM IV
- 91.11%
- IV 百分位 · 1年
- 第 99
- 25Δ 风险逆转
- +9.78
- 期限斜率 90/30
- 0.833
▲ +2.02 pts 较前一交易日
概览
DELL 期权当前计入的 30 天平值隐含波动率为 91.1%,相当于未来一个月约 ±26.1% 的波动。这高于它过去一年 252 个交易日中 99% 的读数。
它的 25-delta put 比 call 的隐含波动率高 9.78 个波动率点,过去一年里只有 5% 的交易日差距比这更大。
期限结构倒挂:90 天波动率比 30 天低 17%。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 2026-11-24 收盘后。
在最近 5 次财报中,期权市场平均计入了 ±11.1% 的波动,DELL 实际平均波动 206.5%,5 次中有 0 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ⓘ
- 91.11%
- 25-delta 风险逆转ⓘ
- +9.78
- 25-delta 蝶式价差ⓘ
- +1.50
- 期限结构斜率ⓘ
- 0.833
对应 30 天内约 ±26.1% 的波动，平常一天约 ±5.7%。
高于过去一年几乎所有的读数。
距平值同样远时，put 比 call的隐含波动率高 9.78 个点。
高于过去一年中 95% 的读数。
两翼的隐含波动率比平值高 1.50 个点。
90 天的隐含波动率比 30 天低 17%。
高于过去一年中 19% 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
- 99%
- IV 排名,1 年
- 89%
- IV 百分位,2 年
- 99%
- IV 排名,2 年
- 89%
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
- $334.38
- 30 天隐含远期价
- $333.81
- 60 天 ATM IV
- 80.41%
- 90 天 ATM IV
- 75.90%
- 180 天 ATM IV
- 72.50%
- 使用的到期日数
- 13
- 总未平仓量
- 435,636
- Put / call 未平仓量比
- 1.38
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 341 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 | 91.11% | +9.78 | 0.833 | $334.38 |
| 2026-11-09 | 89.09% | +8.65 | 0.833 | $346.31 |
| 2026-11-06 | 95.48% | +11.83 | 0.828 | $328.53 |
| 2026-11-05 | 98.77% | +11.53 | 0.809 | $316.91 |
| 2026-11-04 | 85.32% | +5.83 | 0.839 | $372.36 |
| 2026-11-03 | 83.64% | +7.35 | 0.835 | $408.40 |
| 2026-11-02 | 85.19% | +7.22 | 0.833 | $392.78 |
| 2026-10-30 | 79.00% | +6.04 | 0.848 | $424.30 |
| 2026-10-29 | 72.60% | +1.88 | 0.877 | $475.51 |
| 2026-10-28 | 72.29% | +0.01 | 0.890 | $493.79 |
| 2026-10-27 | 72.14% | +1.02 | 0.908 | $501.96 |
| 2026-10-26 | 71.33% | +1.48 | 0.900 | $467.09 |
| 2026-10-23 | 66.51% | +2.34 | 0.967 | $456.44 |
| 2026-10-22 | 67.77% | +3.36 | 0.955 | $452.95 |
| 2026-10-21 | 62.90% | +2.21 | 1.003 | $485.88 |
| 2026-10-20 | 64.63% | +2.55 | 0.990 | $461.56 |
| 2026-10-19 | 64.24% | +3.19 | 0.984 | $455.44 |
| 2026-10-16 | 65.73% | +2.80 | 0.977 | $451.71 |
| 2026-10-15 | 63.32% | +1.17 | 1.010 | $473.39 |
| 2026-10-14 | 62.91% | +0.94 | 1.003 | $507.93 |
| 2026-10-13 | 59.40% | +0.89 | 1.052 | $572.47 |
| 2026-10-09 | 57.25% | +0.04 | 1.078 | $586.06 |
| 2026-10-08 | 57.72% | -0.88 | 1.070 | $574.55 |
| 2026-10-07 | 57.02% | -1.04 | 1.086 | $578.96 |
| 2026-10-06 | 57.13% | -0.29 | 1.085 | $574.00 |
| 2026-10-05 | 56.06% | -1.24 | 1.099 | $552.29 |
| 2026-10-02 | 58.14% | -0.59 | 1.103 | $562.52 |
| 2026-10-01 | 59.34% | -0.81 | 1.090 | $541.74 |
| 2026-09-30 | 60.40% | -0.87 | 1.074 | $537.95 |
| 2026-09-29 | 59.70% | -1.18 | 1.089 | $539.59 |
| 2026-09-28 | 60.29% | -1.74 | 1.086 | $543.43 |
| 2026-09-25 | 59.36% | -1.08 | 1.110 | $562.89 |
| 2026-09-24 | 60.18% | -2.70 | 1.096 | $536.02 |
| 2026-09-23 | 60.05% | -0.65 | 1.107 | $549.83 |
| 2026-09-22 | 61.08% | -1.87 | 1.102 | $548.92 |
| 2026-09-21 | 60.71% | -0.15 | 1.106 | $575.31 |
| 2026-09-18 | 58.59% | -0.64 | 1.128 | $568.06 |
| 2026-09-17 | 61.57% | -0.01 | 1.106 | $588.40 |
| 2026-09-16 | 62.56% | +0.49 | 1.097 | $563.29 |
| 2026-09-15 | 61.20% | -0.27 | 1.106 | $543.51 |
| 2026-09-14 | 60.64% | -0.16 | 1.101 | $534.28 |
| 2026-09-11 | 61.87% | +0.51 | 1.093 | $567.29 |
| 2026-09-10 | 59.72% | -1.96 | 1.105 | $506.62 |
| 2026-09-09 | 63.04% | -1.31 | 1.075 | $535.25 |
| 2026-09-08 | 64.68% | -1.10 | 1.055 | $533.88 |
| 2026-09-04 | 60.90% | -1.08 | 1.082 | $524.14 |
| 2026-09-03 | 60.19% | +1.80 | 1.079 | $516.39 |
| 2026-09-02 | 60.91% | +0.17 | 1.031 | $492.20 |
| 2026-09-01 | 74.04% | -1.96 | 0.912 | $425.00 |
| 2026-08-31 | 71.36% | -3.04 | 0.945 | $456.01 |
| 2026-08-28 | 71.95% | -1.64 | 0.952 | $456.24 |
| 2026-08-27 | 75.26% | +1.01 | 0.942 | $472.26 |
| 2026-08-26 | 77.46% | -1.40 | 0.927 | $463.82 |
| 2026-08-25 | 78.44% | +0.98 | 0.932 | $451.50 |
| 2026-08-24 | 78.76% | +0.26 | 0.939 | $433.19 |
| 2026-08-21 | 77.96% | +1.06 | 0.947 | $442.08 |
| 2026-08-20 | 79.29% | -1.61 | 0.927 | $434.78 |
| 2025-10-22 | 51.54% | -1.41 | 0.915 | $150.13 |
| 2025-10-21 | 45.68% | -0.06 | 1.019 | $149.43 |
| 2025-10-20 | 46.37% | +3.58 | 1.011 | $147.87 |
| 2025-10-17 | 46.92% | +3.30 | 1.025 | $149.59 |
| 2025-10-16 | 47.53% | +3.76 | 1.038 | $151.31 |
| 2025-10-15 | 49.53% | +1.97 | 0.993 | $153.70 |
| 2025-10-14 | 49.73% | +0.94 | 0.992 | $148.77 |
| 2025-10-10 | 53.30% | +0.70 | 0.964 | $150.57 |
| 2025-10-09 | 50.13% | -3.04 | 0.995 | $155.95 |
| 2025-10-08 | 49.04% | +0.48 | 1.064 | $164.53 |
| 2025-10-07 | 49.50% | -2.95 | 0.977 | $150.87 |
| 2025-10-06 | 47.33% | +0.51 | 1.010 | $145.76 |
| 2025-10-03 | 43.12% | -0.22 | 1.061 | $140.74 |
| 2025-10-02 | 43.04% | +0.14 | 1.066 | $147.37 |
| 2025-10-01 | 45.75% | +1.52 | 1.019 | $149.68 |
| 2025-09-30 | 38.56% | -0.51 | 1.130 | $141.77 |
| 2025-09-29 | 38.09% | +3.57 | 1.133 | $133.90 |
| 2025-09-26 | 37.43% | +1.62 | 1.155 | $130.76 |
| 2025-09-25 | 41.29% | -3.49 | 1.063 | $130.96 |
| 2025-09-24 | 39.40% | +1.14 | 1.112 | $132.09 |
| 2025-09-23 | 41.19% | +0.76 | 1.070 | $134.34 |
| 2025-09-22 | 39.52% | +0.85 | 1.118 | $135.69 |
| 2025-09-19 | 36.20% | +4.02 | 1.160 | $131.94 |
| 2025-09-18 | 37.13% | +1.75 | 1.130 | $132.11 |
| 2025-09-17 | 37.45% | +2.22 | 1.097 | $130.34 |
| 2025-09-16 | 37.48% | +2.51 | 1.105 | $127.68 |
| 2025-09-15 | 37.21% | +1.86 | 1.115 | $126.80 |
| 2025-09-12 | 36.10% | +1.90 | 1.115 | $125.04 |
| 2025-09-11 | 35.38% | +1.45 | 1.122 | $125.37 |
| 2025-09-10 | 33.68% | +3.06 | 1.173 | $124.45 |
| 2025-09-09 | 33.67% | +3.06 | 1.140 | $121.29 |
| 2025-09-08 | 33.37% | +3.14 | 1.143 | $123.00 |
| 2025-09-05 | 32.99% | +1.84 | 1.128 | $124.83 |
| 2025-09-04 | 31.47% | +2.09 | 1.169 | $126.67 |
| 2025-09-03 | 35.59% | +0.67 | 1.033 | $124.02 |
| 2025-09-02 | 34.76% | +3.48 | 1.078 | $120.96 |
| 2025-08-29 | 34.11% | +0.99 | 1.074 | $122.15 |
| 2025-08-28 | 54.79% | +3.62 | 0.795 | $134.05 |
| 2025-08-27 | 49.83% | +3.87 | 0.841 | $132.50 |
| 2025-08-26 | 47.11% | +5.00 | 0.896 | $130.99 |
| 2025-08-25 | 50.01% | +1.35 | 0.836 | $131.01 |
| 2025-08-22 | 50.43% | +3.80 | 0.828 | $130.84 |
| 2025-08-21 | 53.82% | +3.43 | 0.818 | $127.83 |
| 2025-08-20 | 53.38% | +3.37 | 0.818 | $128.48 |
| 2025-08-19 | 52.79% | +3.11 | 0.814 | $135.20 |
| 2025-08-18 | 51.47% | +2.53 | 0.819 | $138.13 |
| 2025-08-15 | 51.09% | +1.93 | 0.823 | $138.28 |
| 2025-08-14 | 51.11% | +2.73 | 0.821 | $138.86 |
| 2025-08-13 | 50.01% | +2.42 | 0.830 | $139.14 |
| 2025-08-12 | 45.70% | +5.68 | 0.911 | $141.64 |
| 2025-08-11 | 51.71% | +2.22 | 0.818 | $138.32 |
| 2025-08-08 | 51.26% | +3.48 | 0.823 | $137.61 |
| 2025-08-07 | 53.11% | +1.60 | 0.814 | $133.93 |
| 2025-08-06 | 52.58% | +4.98 | 0.819 | $128.14 |
| 2025-08-05 | 53.54% | +0.91 | 0.787 | $130.48 |
| 2025-08-04 | 53.09% | +0.99 | 0.793 | $130.23 |
| 2025-08-01 | 54.18% | +1.75 | 0.819 | $127.32 |
| 2025-07-31 | 52.90% | +4.58 | 0.800 | $132.69 |
| 2025-07-30 | 53.70% | -0.02 | 0.781 | $133.54 |
| 2025-07-29 | 48.70% | +2.42 | 0.852 | $133.51 |
| 2025-07-28 | 46.73% | +2.67 | 0.873 | $133.86 |
| 2025-07-25 | 40.48% | +0.08 | 1.024 | $131.22 |
| 2025-07-24 | 36.55% | +4.99 | 1.133 | $128.35 |
图表覆盖存档中的全部交易日,共 341 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 341 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 | 101.65% | 86.54% | 96.36% |
| 10Δ 看涨 | 101.03% | 86.13% | 96.22% |
| 15Δ 看涨 | 100.98% | 86.19% | 96.55% |
| 20Δ 看涨 | 101.25% | 86.82% | 97.06% |
| 25Δ 看涨 | 101.54% | 87.23% | 97.69% |
| 30Δ 看涨 | 102.23% | 87.69% | 98.28% |
| 35Δ 看涨 | 102.62% | 88.47% | 98.97% |
| 40Δ 看涨 | 103.26% | 89.02% | 99.54% |
| 45Δ 看涨 | 103.77% | 89.64% | 99.96% |
| ATM | 104.30% | 90.37% | 101.20% |
| 45Δ 看跌 | 104.82% | 90.84% | 101.86% |
| 40Δ 看跌 | 105.68% | 91.95% | 102.83% |
| 35Δ 看跌 | 106.55% | 92.52% | 103.94% |
| 30Δ 看跌 | 107.74% | 93.50% | 104.86% |
| 25Δ 看跌 | 108.49% | 94.42% | 106.22% |
| 20Δ 看跌 | 109.92% | 95.71% | 107.75% |
| 15Δ 看跌 | 111.80% | 97.40% | 109.61% |
| 10Δ 看跌 | 114.32% | 100.08% | 111.73% |
| 5Δ 看跌 | 119.71% | 104.69% | 119.49% |
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 | $332.65 | 104.30% | 108.49% | 101.54% | +6.95 | +0.72 | 60 |
| 2026-11-20 | 10 | $332.90 | 90.37% | 94.42% | 87.23% | +7.18 | +0.46 | 79 |
| 2026-11-27 | 17 | $333.30 | 101.20% | 106.22% | 97.69% | +8.53 | +0.75 | 67 |
| 2026-12-04 | 24 | $333.30 | 95.67% | 99.67% | 91.40% | +8.27 | -0.14 | 54 |
| 2026-12-11 | 31 | $333.90 | 90.50% | 97.21% | 87.23% | +9.98 | +1.72 | 57 |
| 2026-12-18 | 38 | $334.07 | 87.78% | 92.54% | 83.85% | +8.69 | +0.41 | 45 |
| 2026-12-24 | 44 | $334.62 | 85.72% | 91.72% | 82.36% | +9.36 | +1.32 | 51 |
| 2027-01-15 | 66 | $335.57 | 79.02% | 83.33% | 76.05% | +7.28 | +0.67 | 57 |
| 2027-02-19 | 101 | $336.10 | 74.94% | 78.21% | 72.52% | +5.68 | +0.43 | 59 |
| 2027-03-19 | 129 | $337.49 | 75.00% | 78.39% | 72.81% | +5.58 | +0.59 | 72 |
| 2027-04-16 | 157 | $338.55 | 73.09% | 76.19% | 71.06% | +5.13 | +0.54 | 73 |
| 2027-06-17 | 219 | $341.26 | 71.77% | 75.14% | 70.22% | +4.92 | +0.91 | 92 |
| 2027-09-17 | 311 | $344.41 | 70.80% | 73.27% | 68.83% | +4.44 | +0.25 | 91 |
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 | $332.65 | 104.30% | $334.14 | 60 |
| 2026-11-20 | 10 天 | $332.90 | 90.37% | $336.65 | 79 |
| 2026-11-27 | 17 天 | $333.30 | 101.20% | $341.35 | 67 |
| 2026-12-04 | 24 天 | $333.30 | 95.67% | $343.48 | 54 |
| 2026-12-11 | 31 天 | $333.90 | 90.50% | $345.71 | 57 |
| 2026-12-18 | 38 天 | $334.07 | 87.78% | $347.74 | 45 |
| 2026-12-24 | 44 天 | $334.62 | 85.72% | $349.78 | 51 |
| 2027-01-15 | 66 天 | $335.57 | 79.02% | $355.06 | 57 |
| 2027-02-19 | 101 天 | $336.10 | 74.94% | $363.26 | 59 |
| 2027-03-19 | 129 天 | $337.49 | 75.00% | $372.76 | 72 |
| 2027-04-16 | 157 天 | $338.55 | 73.09% | $379.77 | 73 |
| 2027-06-17 | 219 天 | $341.26 | 71.77% | $398.29 | 92 |
| 2027-09-17 | 311 天 | $344.41 | 70.80% | $426.42 | 91 |
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
- 91.11%
- 60 天
- 80.41%
- 90 天
- 75.90%
- 180 天
- 72.50%
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 341 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 5 次财报
- 落在隐含区间内
- 5 次中 0 次
- 0% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 11.1%
- 平均实际波动幅度
- 206.5%
- 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 |
|---|---|---|---|---|
| 2026-09-01 | 收盘后 | 14.0% | +15.8% | 1.13× |
| 2026-05-28 | 收盘后 | — | — | — |
| 2026-02-26 | 收盘后 | — | — | — |
| 2025-11-25 | 收盘后 | — | — | — |
| 2025-08-28 | 收盘后 | 9.3% | +224.3% | 24.07× |
| 2025-05-29 | 收盘后 | 9.2% | +282.6% | 30.72× |
| 2025-02-27 | 收盘后 | 11.7% | +303.2% | 25.97× |
| 2024-11-26 | 收盘后 | 11.4% | +206.7% | 18.19× |
| 2024-08-29 | 收盘后 | — | — | — |
| 2024-05-30 | 收盘后 | — | — | — |
| 2024-02-29 | 收盘后 | — | — | — |
| 2023-11-30 | 收盘后 | — | — | — |
| 2023-08-31 | 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。