股票 · 期权分析
GS 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $910.19
- 30D ATM IV
- 34.01%
- IV 百分位 · 1年
- 第 81
- 25Δ 风险逆转
- +4.89
- 期限斜率 90/30
- 0.962
▲ +0.26 pts 较前一交易日
概览
GS 期权当前计入的 30 天平值隐含波动率为 34.0%,相当于未来一个月约 ±9.7% 的波动。这高于它过去一年 252 个交易日中 81% 的读数。
它的 25-delta put 比 call 的隐含波动率高 4.89 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 4%。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 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 ±5.1% 的波动,GS 实际平均波动 2.0%,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ⓘ
- 34.01%
- 25-delta 风险逆转ⓘ
- +4.89
- 25-delta 蝶式价差ⓘ
- -0.25
- 期限结构斜率ⓘ
- 0.962
对应 30 天内约 ±9.7% 的波动，平常一天约 ±2.1%。
高于过去一年中 81% 的读数。
距平值同样远时，put 比 call的隐含波动率高 4.89 个点。
高于过去一年中 77% 的读数。
两翼的隐含波动率比平值低 0.25 个点。
90 天的隐含波动率比 30 天低 4%。
高于过去一年中 35% 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
- 81%
- IV 排名,1 年
- 32%
- IV 百分位,2 年
- 86%
- 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
- $910.19
- 30 天隐含远期价
- $907.98
- 60 天 ATM IV
- 32.54%
- 90 天 ATM IV
- 32.70%
- 180 天 ATM IV
- 32.80%
- 使用的到期日数
- 16
- 总未平仓量
- 242,889
- Put / call 未平仓量比
- 1.06
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 | 34.01% | +4.89 | 0.962 | $910.19 |
| 2026-11-09 | 33.75% | +5.83 | 0.966 | $906.22 |
| 2026-11-06 | 35.90% | +5.89 | 0.940 | $865.82 |
| 2026-11-05 | 36.60% | +5.85 | 0.929 | $868.95 |
| 2026-11-04 | 31.43% | +3.71 | 0.981 | $928.00 |
| 2026-11-03 | 34.12% | +4.55 | 0.952 | $896.09 |
| 2026-11-02 | 34.74% | +2.29 | 0.933 | $898.72 |
| 2026-10-30 | 33.55% | +5.03 | 0.962 | $894.55 |
| 2026-10-29 | 29.26% | +2.54 | 1.007 | $927.73 |
| 2026-10-28 | 29.95% | +3.17 | 1.016 | $925.17 |
| 2026-10-27 | 30.63% | +4.09 | 0.991 | $911.77 |
| 2026-10-26 | 31.62% | +4.11 | 0.980 | $893.28 |
| 2026-10-23 | 31.64% | +3.53 | 0.983 | $875.68 |
| 2026-10-22 | 33.29% | +3.14 | 0.946 | $891.30 |
| 2026-10-21 | 30.61% | +1.96 | 0.958 | $904.72 |
| 2026-10-20 | 30.66% | +2.23 | 0.979 | $884.81 |
| 2026-10-19 | 29.20% | +2.61 | 1.029 | $875.78 |
| 2026-10-16 | 31.60% | +1.58 | 0.943 | $881.26 |
| 2026-10-15 | 30.70% | +3.11 | 0.948 | $891.28 |
| 2026-10-14 | 31.82% | +0.89 | 0.944 | $878.72 |
| 2026-10-13 | 30.79% | +0.92 | 0.960 | $891.91 |
| 2026-10-09 | 33.01% | +2.43 | 0.920 | $895.32 |
| 2026-10-08 | 32.99% | +0.93 | 0.923 | $882.59 |
| 2026-10-07 | 31.74% | +1.92 | 0.966 | $887.21 |
| 2026-10-06 | 33.59% | +0.53 | 0.928 | $897.18 |
| 2026-10-05 | 33.69% | +1.78 | 0.931 | $893.46 |
| 2026-10-02 | 34.08% | +1.67 | 0.961 | $902.56 |
| 2026-10-01 | 34.29% | +2.26 | 0.940 | $896.67 |
| 2026-09-30 | 34.65% | +1.24 | 0.960 | $900.36 |
| 2026-09-29 | 35.12% | +0.86 | 0.929 | $916.24 |
| 2026-09-28 | 34.88% | +2.38 | 0.942 | $916.28 |
| 2026-09-25 | 33.90% | +1.50 | 0.952 | $935.45 |
| 2026-09-24 | 35.06% | +0.95 | 0.957 | $923.29 |
| 2026-09-23 | 34.27% | +0.03 | 0.970 | $936.36 |
| 2026-09-22 | 34.46% | +2.32 | 0.949 | $949.49 |
| 2026-09-21 | 34.19% | +1.93 | 0.977 | $959.39 |
| 2026-09-18 | 33.85% | +2.21 | 0.990 | $942.00 |
| 2026-09-17 | 34.41% | +2.95 | 0.975 | $951.47 |
| 2026-09-16 | 37.43% | +2.99 | 0.927 | $937.98 |
| 2026-09-15 | 34.96% | +2.76 | 0.967 | $976.67 |
| 2026-09-14 | 35.05% | +2.14 | 0.977 | $988.45 |
| 2026-09-11 | 31.20% | +1.93 | 1.061 | $1,029.18 |
| 2026-09-10 | 32.85% | +2.62 | 1.036 | $1,019.77 |
| 2026-09-09 | 32.93% | +1.48 | 1.031 | $1,028.78 |
| 2026-09-08 | 32.68% | +2.97 | 1.057 | $1,036.53 |
| 2026-09-04 | 30.86% | +1.47 | 1.073 | $1,038.61 |
| 2026-09-03 | 29.86% | +1.48 | 1.091 | $1,037.93 |
| 2026-09-02 | 30.46% | +0.81 | 1.054 | $1,004.42 |
| 2026-09-01 | 30.57% | +1.54 | 1.056 | $1,002.56 |
| 2026-08-31 | 28.80% | +1.74 | 1.091 | $1,025.90 |
| 2026-08-28 | 28.43% | +0.80 | 1.103 | $1,033.99 |
| 2026-08-27 | 29.73% | +0.98 | 1.080 | $1,040.87 |
| 2026-08-26 | 30.35% | +1.80 | 1.077 | $1,040.46 |
| 2026-08-25 | 31.04% | +1.07 | 1.049 | $1,058.88 |
| 2026-08-24 | 30.49% | +1.25 | 1.078 | $1,036.28 |
| 2026-08-21 | 31.21% | +2.06 | 1.081 | $1,039.28 |
| 2026-08-20 | 29.55% | -0.29 | 1.108 | $1,001.95 |
| 2026-08-19 | 30.60% | +0.22 | 1.058 | $1,021.65 |
| 2026-08-18 | 29.38% | -0.03 | 1.095 | $1,040.47 |
| 2026-08-17 | 30.19% | +0.72 | 1.080 | $1,051.31 |
| 2025-10-22 | 29.67% | +3.83 | 0.991 | $744.60 |
| 2025-10-21 | 28.33% | +5.03 | 1.014 | $758.98 |
| 2025-10-20 | 29.59% | +4.48 | 0.967 | $763.32 |
| 2025-10-17 | 32.02% | +5.78 | 0.944 | $750.77 |
| 2025-10-16 | 36.06% | +5.96 | 0.891 | $758.09 |
| 2025-10-15 | 30.30% | +2.31 | 0.999 | $767.93 |
| 2025-10-14 | 30.14% | +2.66 | 0.984 | $770.76 |
| 2025-10-10 | 37.77% | +3.06 | 0.872 | $764.36 |
| 2025-10-09 | 33.31% | +3.36 | 0.910 | $779.96 |
| 2025-10-08 | 33.13% | +2.96 | 0.916 | $776.51 |
| 2025-10-07 | 31.91% | +3.58 | 0.932 | $789.65 |
| 2025-10-06 | 32.63% | +3.82 | 0.915 | $796.78 |
| 2025-10-03 | 32.28% | +3.10 | 0.918 | $789.98 |
| 2025-10-02 | 30.69% | +3.34 | 0.950 | $779.38 |
| 2025-10-01 | 31.69% | +3.08 | 0.932 | $785.51 |
| 2025-09-30 | 31.57% | +3.79 | 0.936 | $796.35 |
| 2025-09-29 | 31.42% | +3.38 | 0.936 | $804.12 |
| 2025-09-26 | 30.47% | +3.02 | 0.946 | $802.51 |
| 2025-09-25 | 32.22% | +3.38 | 0.932 | $794.76 |
| 2025-09-24 | 31.29% | +2.91 | 0.932 | $792.43 |
| 2025-09-23 | 30.92% | +2.47 | 0.938 | $806.32 |
| 2025-09-22 | 29.98% | +2.16 | 0.947 | $805.56 |
| 2025-09-19 | 29.21% | +1.80 | 0.958 | $805.00 |
| 2025-09-18 | 29.31% | +2.62 | 0.950 | $804.31 |
| 2025-09-17 | 29.69% | +3.15 | 0.961 | $794.22 |
| 2025-09-16 | 30.35% | +2.42 | 0.939 | $785.53 |
| 2025-09-15 | 29.12% | +2.22 | 0.958 | $786.76 |
| 2025-09-12 | 26.54% | +2.22 | 1.044 | $780.06 |
| 2025-09-11 | 26.73% | +2.01 | 1.035 | $784.73 |
| 2025-09-10 | 25.97% | +2.42 | 1.058 | $769.58 |
| 2025-09-09 | 26.63% | +1.46 | 1.043 | $763.92 |
| 2025-09-08 | 25.62% | +2.93 | 1.062 | $741.85 |
| 2025-09-05 | 25.31% | +2.96 | 1.085 | $738.21 |
| 2025-09-04 | 25.30% | +2.84 | 1.075 | $748.90 |
| 2025-09-03 | 25.63% | +3.08 | 1.068 | $730.56 |
| 2025-09-02 | 25.70% | +3.31 | 1.063 | $730.85 |
| 2025-08-29 | 23.57% | +2.79 | 1.139 | $745.25 |
| 2025-08-28 | 24.00% | +1.83 | 1.111 | $751.22 |
| 2025-08-27 | 24.69% | +2.63 | 1.094 | $749.67 |
| 2025-08-26 | 24.96% | +2.82 | 1.068 | $748.95 |
| 2025-08-25 | 24.35% | +2.63 | 1.086 | $738.79 |
| 2025-08-22 | 23.45% | +2.74 | 1.115 | $741.89 |
| 2025-08-21 | 26.02% | +4.04 | 1.047 | $715.95 |
| 2025-08-20 | 25.93% | +3.80 | 1.041 | $720.68 |
| 2025-08-19 | 25.44% | +3.04 | 1.047 | $721.38 |
| 2025-08-18 | 24.19% | +3.99 | 1.087 | $730.96 |
| 2025-08-15 | 24.17% | +3.42 | 1.089 | $730.72 |
| 2025-08-14 | 24.78% | +3.60 | 1.080 | $747.20 |
| 2025-08-13 | 24.82% | +2.98 | 1.074 | $744.69 |
| 2025-08-12 | 23.70% | +2.71 | 1.093 | $743.38 |
| 2025-08-11 | 25.01% | +4.60 | 1.073 | $719.24 |
| 2025-08-08 | 24.18% | +3.70 | 1.093 | $721.27 |
| 2025-08-07 | 25.85% | +3.30 | 1.059 | $719.74 |
| 2025-08-06 | 24.51% | +2.96 | 1.095 | $724.74 |
| 2025-08-05 | 25.80% | +4.24 | 1.067 | $720.91 |
| 2025-08-04 | 25.88% | +3.82 | 1.053 | $726.03 |
| 2025-08-01 | 28.08% | +4.65 | 1.027 | $709.57 |
| 2025-07-31 | 25.05% | +3.10 | 1.077 | $723.59 |
| 2025-07-30 | 24.55% | +3.05 | 1.083 | $730.75 |
| 2025-07-29 | 24.91% | +1.98 | 1.048 | $731.98 |
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 | 38.65% | 34.94% | — |
| 10Δ 看涨 | 39.17% | 34.95% | 31.57% |
| 15Δ 看涨 | 39.34% | 34.96% | 31.86% |
| 20Δ 看涨 | 39.48% | 35.18% | 31.43% |
| 25Δ 看涨 | 39.72% | 35.39% | 31.85% |
| 30Δ 看涨 | 40.07% | 35.60% | 32.17% |
| 35Δ 看涨 | 40.27% | 35.82% | 32.79% |
| 40Δ 看涨 | 40.28% | 35.96% | 33.06% |
| 45Δ 看涨 | 40.62% | 36.36% | 33.47% |
| ATM | 40.90% | 36.56% | 33.67% |
| 45Δ 看跌 | 41.22% | 36.91% | 33.55% |
| 40Δ 看跌 | 41.39% | 37.21% | 33.92% |
| 35Δ 看跌 | 41.76% | 37.67% | 33.91% |
| 30Δ 看跌 | 42.02% | 38.03% | 35.68% |
| 25Δ 看跌 | 42.38% | 38.70% | 35.13% |
| 20Δ 看跌 | 42.91% | 39.51% | 35.61% |
| 15Δ 看跌 | 43.62% | 40.40% | 36.72% |
| 10Δ 看跌 | 44.55% | 41.81% | 38.24% |
| 5Δ 看跌 | 46.47% | 44.32% | 41.88% |
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 | $909.25 | 40.90% | 42.38% | 39.72% | +2.66 | +0.14 | 43 |
| 2026-11-20 | 10 | $909.85 | 36.56% | 38.70% | 35.39% | +3.32 | +0.49 | 57 |
| 2026-11-27 | 17 | $910.70 | 33.67% | 35.13% | 31.85% | +3.28 | -0.17 | 46 |
| 2026-12-04 | 24 | $908.92 | 34.38% | 36.24% | 31.18% | +5.06 | -0.67 | 48 |
| 2026-12-11 | 31 | $907.82 | 33.96% | 36.20% | 31.33% | +4.87 | -0.19 | 53 |
| 2026-12-18 | 38 | $908.44 | 33.85% | 35.83% | 31.16% | +4.67 | -0.36 | 72 |
| 2026-12-24 | 44 | $910.30 | 32.32% | 35.81% | 30.24% | +5.57 | +0.71 | 45 |
| 2027-01-15 | 66 | $910.86 | 32.59% | 34.61% | 29.94% | +4.66 | -0.32 | 84 |
| 2027-02-19 | 101 | $915.42 | 32.74% | 35.67% | 30.47% | +5.20 | +0.33 | 55 |
| 2027-03-19 | 129 | $915.08 | 32.52% | 35.77% | 30.15% | +5.62 | +0.44 | 113 |
| 2027-04-16 | 157 | $917.40 | 32.87% | 35.81% | 30.49% | +5.33 | +0.28 | 72 |
| 2027-05-21 | 192 | $920.90 | 32.76% | 35.94% | 30.93% | +5.01 | +0.67 | 34 |
| 2027-06-17 | 219 | $920.26 | 32.68% | 35.40% | 30.38% | +5.02 | +0.20 | 157 |
| 2027-07-16 | 248 | $924.35 | 32.50% | 35.62% | 30.33% | +5.29 | +0.48 | 25 |
| 2027-08-20 | 283 | $926.50 | 32.94% | 35.56% | 30.94% | +4.62 | +0.32 | 111 |
| 2027-09-17 | 311 | $927.13 | 32.52% | 35.31% | 30.59% | +4.72 | +0.43 | 121 |
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
16 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 | $909.25 | 40.90% | $909.88 | 43 |
| 2026-11-20 | 10 天 | $909.85 | 36.56% | $911.52 | 57 |
| 2026-11-27 | 17 天 | $910.70 | 33.67% | $913.11 | 46 |
| 2026-12-04 | 24 天 | $908.92 | 34.38% | $912.46 | 48 |
| 2026-12-11 | 31 天 | $907.82 | 33.96% | $912.27 | 53 |
| 2026-12-18 | 38 天 | $908.44 | 33.85% | $913.88 | 72 |
| 2026-12-24 | 44 天 | $910.30 | 32.32% | $916.05 | 45 |
| 2027-01-15 | 66 天 | $910.86 | 32.59% | $919.65 | 84 |
| 2027-02-19 | 101 天 | $915.42 | 32.74% | $929.10 | 55 |
| 2027-03-19 | 129 天 | $915.08 | 32.52% | $932.34 | 113 |
| 2027-04-16 | 157 天 | $917.40 | 32.87% | $938.97 | 72 |
| 2027-05-21 | 192 天 | $920.90 | 32.76% | $947.27 | 34 |
| 2027-06-17 | 219 天 | $920.26 | 32.68% | $950.23 | 157 |
| 2027-07-16 | 248 天 | $924.35 | 32.50% | $958.11 | 25 |
| 2027-08-20 | 283 天 | $926.50 | 32.94% | $966.30 | 111 |
| 2027-09-17 | 311 天 | $927.13 | 32.52% | $969.84 | 121 |
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
- 34.01%
- 60 天
- 32.54%
- 90 天
- 32.70%
- 180 天
- 32.80%
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 6 次
- 86% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 5.1%
- 平均实际波动幅度
- 2.0%
- 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 | 未说明时间 | 2.9% | +1.4% | 0.49× |
| 2026-10-13 | 开盘前 | 3.6% | -1.5% | 0.41× |
| 2026-07-14 | 开盘前 | — | — | — |
| 2026-04-13 | 开盘前 | — | — | — |
| 2026-01-15 | 开盘前 | — | — | — |
| 2026-01-08 | 收盘后 | — | — | — |
| 2025-10-14 | 开盘前 | 7.0% | +0.8% | 0.12× |
| 2025-07-16 | 开盘前 | 4.2% | +0.9% | 0.21× |
| 2025-04-14 | 开盘前 | 8.9% | +1.9% | 0.22× |
| 2025-01-15 | 开盘前 | 4.5% | +6.0% | 1.34× |
| 2024-10-15 | 开盘前 | 4.6% | +1.2% | 0.26× |
| 2024-07-15 | 开盘前 | — | — | — |
| 2024-04-15 | 开盘前 | — | — | — |
| 2024-01-16 | 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。