股票 · 期权分析
IBM 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $244.53
- 30D ATM IV
- 34.39%
- IV 百分位 · 1年
- 第 58
- 25Δ 风险逆转
- +2.20
- 期限斜率 90/30
- 1.048
▼ -0.09 pts 较前一交易日
概览
IBM 期权当前计入的 30 天平值隐含波动率为 34.4%,相当于未来一个月约 ±9.9% 的波动。这高于它过去一年 252 个交易日中 58% 的读数。
它的 25-delta put 比 call 的隐含波动率高 2.20 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 2027-01-20(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 ±7.5% 的波动,IBM 实际平均波动 9.6%,7 次中有 4 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ⓘ
- 34.39%
- 25-delta 风险逆转ⓘ
- +2.20
- 25-delta 蝶式价差ⓘ
- +0.58
- 期限结构斜率ⓘ
- 1.048
对应 30 天内约 ±9.9% 的波动，平常一天约 ±2.2%。
高于过去一年中 58% 的读数。
距平值同样远时，put 比 call的隐含波动率高 2.20 个点。
高于过去一年中 57% 的读数。
两翼的隐含波动率比平值高 0.58 个点。
90 天的隐含波动率比 30 天高 5%。
高于过去一年中 49% 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
- 58%
- IV 排名,1 年
- 37%
- IV 百分位,2 年
- 68%
- IV 排名,2 年
- 44%
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
- $244.53
- 30 天隐含远期价
- $245.23
- 60 天 ATM IV
- 33.80%
- 90 天 ATM IV
- 36.06%
- 180 天 ATM IV
- 36.57%
- 使用的到期日数
- 14
- 总未平仓量
- 359,614
- Put / call 未平仓量比
- 0.85
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 347 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 | 34.39% | +2.20 | 1.048 | $244.53 |
| 2026-11-09 | 34.48% | +1.99 | 1.037 | $246.11 |
| 2026-11-06 | 35.86% | +2.81 | 1.029 | $245.00 |
| 2026-11-05 | 38.20% | +2.77 | 0.971 | $247.11 |
| 2026-11-04 | 33.58% | +1.61 | 1.045 | $254.32 |
| 2026-11-03 | 35.31% | +1.65 | 1.016 | $250.04 |
| 2026-11-02 | 35.15% | +1.24 | 1.025 | $252.51 |
| 2026-10-30 | 34.09% | +1.31 | 1.027 | $257.81 |
| 2026-10-29 | 32.42% | +0.89 | 1.048 | $258.28 |
| 2026-10-28 | 32.97% | +1.40 | 1.025 | $253.22 |
| 2026-10-27 | 32.56% | +1.35 | 1.036 | $250.25 |
| 2026-10-26 | 33.56% | +0.92 | 1.004 | $253.44 |
| 2026-10-23 | 34.71% | +1.07 | 0.982 | $253.56 |
| 2026-10-22 | 35.66% | +0.20 | 0.941 | $252.11 |
| 2026-10-21 | 43.81% | +0.55 | 0.821 | $251.46 |
| 2026-10-20 | 44.12% | +0.50 | 0.818 | $241.92 |
| 2026-10-19 | 43.87% | +0.17 | 0.822 | $236.39 |
| 2026-10-16 | 44.79% | +1.07 | 0.815 | $232.14 |
| 2026-10-15 | 43.78% | -0.68 | 0.819 | $234.12 |
| 2026-10-14 | 45.09% | +0.96 | 0.794 | $227.88 |
| 2026-10-13 | 44.61% | -1.17 | 0.816 | $230.78 |
| 2026-10-09 | 42.77% | -0.33 | 0.842 | $227.13 |
| 2026-10-08 | 43.58% | -0.24 | 0.852 | $226.61 |
| 2026-10-07 | 42.46% | -0.81 | 0.850 | $220.51 |
| 2026-10-06 | 43.40% | -0.23 | 0.854 | $221.29 |
| 2026-10-05 | 43.81% | -0.45 | 0.850 | $221.58 |
| 2026-10-02 | 44.13% | -0.72 | 0.853 | $222.64 |
| 2026-10-01 | 46.59% | -0.39 | 0.825 | $225.62 |
| 2026-09-30 | 44.19% | -0.54 | 0.838 | $219.93 |
| 2026-09-29 | 44.97% | +0.41 | 0.847 | $219.99 |
| 2026-09-28 | 45.13% | +0.46 | 0.851 | $220.67 |
| 2026-09-25 | 45.59% | -1.16 | 0.839 | $225.51 |
| 2026-09-24 | 46.30% | -0.13 | 0.846 | $227.06 |
| 2026-09-23 | 48.26% | -0.54 | 0.825 | $232.76 |
| 2026-09-22 | 45.97% | +0.53 | 0.853 | $231.38 |
| 2026-09-21 | 44.06% | +0.80 | 0.907 | $231.93 |
| 2026-09-18 | 37.09% | -0.27 | 1.055 | $229.55 |
| 2026-09-17 | 35.69% | -0.17 | 1.114 | $237.75 |
| 2026-09-16 | 34.96% | +0.49 | 1.148 | $237.49 |
| 2026-09-15 | 33.92% | +0.42 | 1.158 | $248.37 |
| 2026-09-14 | 33.50% | -1.45 | 1.184 | $249.09 |
| 2026-09-11 | 33.61% | -1.64 | 1.206 | $243.29 |
| 2026-09-10 | 34.03% | +0.20 | 1.161 | $234.02 |
| 2026-09-09 | 35.61% | -0.73 | 1.142 | $239.94 |
| 2026-09-08 | 32.36% | +0.20 | 1.187 | $232.09 |
| 2026-09-04 | 30.40% | +0.43 | 1.258 | $234.89 |
| 2026-09-03 | 30.68% | +1.40 | 1.221 | $234.71 |
| 2026-09-02 | 30.49% | -0.46 | 1.241 | $231.70 |
| 2026-09-01 | 31.62% | -0.15 | 1.217 | $231.40 |
| 2026-08-31 | 30.68% | -0.45 | 1.227 | $233.87 |
| 2026-08-28 | 30.50% | -0.99 | 1.236 | $235.59 |
| 2026-08-26 | 31.84% | -0.50 | 1.254 | $229.87 |
| 2026-08-25 | 32.62% | -0.14 | 1.234 | $234.19 |
| 2026-08-24 | 33.11% | +0.15 | 1.227 | $231.04 |
| 2026-08-21 | 33.16% | -0.17 | 1.244 | $235.68 |
| 2026-08-20 | 32.99% | +0.10 | 1.227 | $233.69 |
| 2026-08-19 | 32.96% | +0.65 | 1.216 | $237.16 |
| 2026-08-18 | 33.24% | -0.62 | 1.235 | $232.67 |
| 2026-08-17 | 34.08% | -0.70 | 1.198 | $228.85 |
| 2025-10-22 | 40.74% | +1.75 | 0.774 | $287.51 |
| 2025-10-21 | 38.20% | +2.37 | 0.823 | $282.05 |
| 2025-10-20 | 39.03% | +0.67 | 0.810 | $283.65 |
| 2025-10-17 | 40.66% | +1.41 | 0.798 | $281.28 |
| 2025-10-16 | 41.84% | +0.28 | 0.776 | $275.97 |
| 2025-10-15 | 39.57% | -0.80 | 0.816 | $280.75 |
| 2025-10-14 | 40.14% | -2.22 | 0.786 | $276.15 |
| 2025-10-10 | 39.97% | -0.41 | 0.799 | $277.82 |
| 2025-10-09 | 39.58% | -0.22 | 0.793 | $288.23 |
| 2025-10-08 | 39.79% | -1.74 | 0.799 | $289.46 |
| 2025-10-07 | 38.86% | +1.55 | 0.832 | $293.87 |
| 2025-10-06 | 38.04% | +0.42 | 0.832 | $289.42 |
| 2025-10-03 | 36.77% | +0.88 | 0.846 | $288.37 |
| 2025-10-02 | 38.70% | -1.55 | 0.818 | $286.72 |
| 2025-10-01 | 39.09% | +1.30 | 0.809 | $286.49 |
| 2025-09-30 | 39.85% | +0.46 | 0.798 | $282.16 |
| 2025-09-29 | 38.75% | +0.59 | 0.814 | $279.80 |
| 2025-09-26 | 39.45% | -0.34 | 0.819 | $284.31 |
| 2025-09-25 | 40.61% | +0.52 | 0.808 | $281.44 |
| 2025-09-24 | 36.81% | +1.89 | 0.836 | $267.53 |
| 2025-09-23 | 35.68% | -0.56 | 0.875 | $272.24 |
| 2025-09-22 | 35.86% | +1.47 | 0.874 | $271.37 |
| 2025-09-19 | 29.54% | +2.00 | 1.035 | $266.40 |
| 2025-09-18 | 28.06% | +1.29 | 1.084 | $265.00 |
| 2025-09-17 | 25.37% | +1.32 | 1.165 | $259.08 |
| 2025-09-16 | 25.46% | +1.32 | 1.152 | $257.52 |
| 2025-09-15 | 25.29% | +1.30 | 1.169 | $256.24 |
| 2025-09-12 | 24.47% | +2.01 | 1.192 | $253.44 |
| 2025-09-11 | 24.01% | +1.80 | 1.201 | $257.01 |
| 2025-09-10 | 24.16% | +1.70 | 1.205 | $256.88 |
| 2025-09-09 | 23.35% | +1.29 | 1.220 | $259.11 |
| 2025-09-08 | 23.18% | +1.42 | 1.226 | $256.09 |
| 2025-09-05 | 21.84% | +2.94 | 1.265 | $248.53 |
| 2025-09-04 | 22.56% | +1.80 | 1.247 | $247.18 |
| 2025-09-03 | 21.60% | +3.10 | 1.296 | $244.10 |
| 2025-09-02 | 23.55% | +0.48 | 1.203 | $241.50 |
| 2025-08-29 | 20.95% | +2.73 | 1.318 | $243.49 |
| 2025-08-28 | 20.44% | +1.99 | 1.344 | $245.73 |
| 2025-08-27 | 21.08% | +0.28 | 1.311 | $244.84 |
| 2025-08-26 | 22.18% | +1.22 | 1.266 | $242.63 |
| 2025-08-25 | 21.65% | +0.77 | 1.261 | $239.43 |
| 2025-08-22 | 20.55% | +1.80 | 1.329 | $242.09 |
| 2025-08-21 | 22.62% | +3.01 | 1.243 | $239.40 |
| 2025-08-20 | 22.11% | +2.26 | 1.249 | $242.55 |
| 2025-08-19 | 22.38% | +2.05 | 1.219 | $241.28 |
| 2025-08-18 | 22.24% | +1.85 | 1.226 | $239.45 |
| 2025-08-15 | 22.56% | +1.39 | 1.203 | $239.72 |
| 2025-08-14 | 23.58% | +1.79 | 1.161 | $237.11 |
| 2025-08-13 | 22.91% | +2.25 | 1.200 | $240.07 |
| 2025-08-12 | 23.26% | +2.99 | 1.170 | $234.77 |
| 2025-08-11 | 23.05% | +2.47 | 1.196 | $236.30 |
| 2025-08-08 | 22.13% | +1.61 | 1.182 | $242.27 |
| 2025-08-07 | 22.86% | +2.15 | 1.129 | $250.16 |
| 2025-08-06 | 21.63% | +0.95 | 1.187 | $252.28 |
| 2025-08-05 | 22.74% | +1.57 | 1.099 | $250.67 |
| 2025-08-04 | 22.88% | +2.47 | 1.104 | $251.98 |
| 2025-08-01 | 24.58% | +2.50 | 1.087 | $250.05 |
| 2025-07-31 | 22.29% | +0.72 | 1.098 | $253.15 |
| 2025-07-30 | 21.57% | +1.12 | 1.084 | $260.26 |
| 2025-07-29 | 20.04% | +2.42 | 1.158 | $262.41 |
| 2025-07-28 | 20.78% | +1.15 | 1.075 | $263.21 |
图表覆盖存档中的全部交易日,共 347 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 347 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 | 38.25% | 36.61% | — |
| 10Δ 看涨 | 37.50% | 34.86% | 32.73% |
| 15Δ 看涨 | 37.20% | 34.17% | 32.78% |
| 20Δ 看涨 | 37.06% | 34.47% | 32.73% |
| 25Δ 看涨 | 36.98% | 34.65% | 32.73% |
| 30Δ 看涨 | 37.08% | 34.83% | 32.99% |
| 35Δ 看涨 | 37.34% | 34.93% | 32.94% |
| 40Δ 看涨 | 37.57% | 35.08% | 33.39% |
| 45Δ 看涨 | 37.82% | 35.26% | 33.74% |
| ATM | 37.97% | 35.45% | 34.08% |
| 45Δ 看跌 | 38.03% | 35.40% | 34.01% |
| 40Δ 看跌 | 38.11% | 35.50% | 34.08% |
| 35Δ 看跌 | 38.47% | 35.92% | 34.35% |
| 30Δ 看跌 | 39.07% | 36.38% | 34.43% |
| 25Δ 看跌 | 39.45% | 36.82% | 34.39% |
| 20Δ 看跌 | 39.96% | 37.30% | 34.93% |
| 15Δ 看跌 | 41.95% | 37.73% | 35.01% |
| 10Δ 看跌 | 43.03% | 38.80% | 36.35% |
| 5Δ 看跌 | 45.36% | 41.18% | — |
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 | $244.52 | 37.97% | 39.45% | 36.98% | +2.46 | +0.25 | 20 |
| 2026-11-20 | 10 | $244.65 | 35.45% | 36.82% | 34.65% | +2.17 | +0.29 | 27 |
| 2026-11-27 | 17 | $244.80 | 34.08% | 34.39% | 32.73% | +1.66 | -0.52 | 22 |
| 2026-12-04 | 24 | $245.13 | 33.92% | 35.03% | 32.86% | +2.17 | +0.02 | 15 |
| 2026-12-11 | 31 | $245.25 | 34.45% | 36.20% | 34.00% | +2.20 | +0.65 | 15 |
| 2026-12-18 | 38 | $245.58 | 34.74% | 36.17% | 33.98% | +2.19 | +0.34 | 29 |
| 2026-12-24 | 44 | $245.50 | 34.71% | 36.01% | 33.85% | +2.16 | +0.22 | 17 |
| 2027-01-15 | 66 | $246.28 | 33.57% | 35.03% | 32.37% | +2.66 | +0.13 | 32 |
| 2027-02-19 | 101 | $246.14 | 36.77% | 38.56% | 35.76% | +2.80 | +0.39 | 39 |
| 2027-03-19 | 129 | $246.70 | 36.07% | 37.71% | 35.03% | +2.68 | +0.30 | 40 |
| 2027-04-16 | 157 | $247.39 | 35.52% | 37.36% | 34.31% | +3.05 | +0.32 | 40 |
| 2027-05-21 | 192 | $247.43 | 37.01% | 38.75% | 35.92% | +2.83 | +0.33 | 43 |
| 2027-06-17 | 219 | $247.66 | 36.37% | 37.84% | 35.33% | +2.51 | +0.22 | 56 |
| 2027-09-17 | 311 | $249.53 | 36.23% | 37.77% | 35.39% | +2.37 | +0.35 | 49 |
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
14 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 | $244.52 | 37.97% | $244.67 | 20 |
| 2026-11-20 | 10 天 | $244.65 | 35.45% | $245.07 | 27 |
| 2026-11-27 | 17 天 | $244.80 | 34.08% | $245.46 | 22 |
| 2026-12-04 | 24 天 | $245.13 | 33.92% | $246.05 | 15 |
| 2026-12-11 | 31 天 | $245.25 | 34.45% | $246.49 | 15 |
| 2026-12-18 | 38 天 | $245.58 | 34.74% | $247.12 | 29 |
| 2026-12-24 | 44 天 | $245.50 | 34.71% | $247.29 | 17 |
| 2027-01-15 | 66 天 | $246.28 | 33.57% | $248.81 | 32 |
| 2027-02-19 | 101 天 | $246.14 | 36.77% | $250.79 | 39 |
| 2027-03-19 | 129 天 | $246.70 | 36.07% | $252.44 | 40 |
| 2027-04-16 | 157 天 | $247.39 | 35.52% | $254.20 | 40 |
| 2027-05-21 | 192 天 | $247.43 | 37.01% | $256.51 | 43 |
| 2027-06-17 | 219 天 | $247.66 | 36.37% | $257.69 | 56 |
| 2027-09-17 | 311 天 | $249.53 | 36.23% | $263.88 | 49 |
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
- 34.39%
- 60 天
- 33.80%
- 90 天
- 36.06%
- 180 天
- 36.57%
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 347 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 4 次
- 57% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 7.5%
- 平均实际波动幅度
- 9.6%
- 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 |
|---|---|---|---|---|
| 2026-10-28 | 未说明时间 | 3.0% | +2.0% | 0.66× |
| 2026-10-21 | 收盘后 | 9.0% | +0.3% | 0.03× |
| 2026-07-22 | 收盘后 | — | — | — |
| 2026-07-14 | 开盘前 | — | — | — |
| 2026-04-22 | 收盘后 | — | — | — |
| 2026-01-28 | 收盘后 | — | — | — |
| 2025-10-22 | 收盘后 | 8.5% | -20.4% | 2.40× |
| 2025-07-23 | 收盘后 | 7.9% | -18.9% | 2.38× |
| 2025-04-23 | 收盘后 | 8.7% | -6.6% | 0.76× |
| 2025-01-29 | 收盘后 | 8.1% | +13.0% | 1.60× |
| 2024-10-23 | 收盘后 | 7.3% | -6.2% | 0.85× |
| 2024-07-24 | 收盘后 | — | — | — |
| 2024-04-24 | 收盘后 | — | — | — |
| 2024-01-24 | 收盘后 | — | — | — |
| 2023-10-25 | 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。