股票 · 期权分析
MELI 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $1,490.24
- 30D ATM IV
- 38.12%
- IV 百分位 · 1年
- 第 50
- 25Δ 风险逆转
- +1.88
- 期限斜率 90/30
- 1.033
▼ -0.36 pts 较前一交易日
概览
MELI 期权当前计入的 30 天平值隐含波动率为 38.1%,相当于未来一个月约 ±10.9% 的波动。这高于它过去一年 250 个交易日中 50% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.88 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 2027-02-02(根据其财报周期估算)。
在最近 6 次财报中,期权市场平均计入了 ±9.6% 的波动,MELI 实际平均波动 14.5%,6 次中有 1 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ⓘ
- 38.12%
- 25-delta 风险逆转ⓘ
- +1.88
- 25-delta 蝶式价差ⓘ
- -0.68
- 期限结构斜率ⓘ
- 1.033
对应 30 天内约 ±10.9% 的波动，平常一天约 ±2.4%。
高于过去一年中 50% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.88 个点。
高于过去一年中 23% 的读数。
两翼的隐含波动率比平值低 0.68 个点。
90 天的隐含波动率比 30 天高 3%。
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 250 个交易日(一年窗口)
- IV 百分位,1 年
- 50%
- IV 排名,1 年
- 27%
- IV 百分位,2 年
- 51%
- IV 排名,2 年
- 29%
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
- $1,490.24
- 30 天隐含远期价
- $1,489.61
- 60 天 ATM IV
- 37.86%
- 90 天 ATM IV
- 39.37%
- 180 天 ATM IV
- 40.91%
- 使用的到期日数
- 8
- 总未平仓量
- 30,640
- Put / call 未平仓量比
- 2.88
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 303 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 | 38.12% | +1.88 | 1.033 | $1,490.24 |
| 2026-11-09 | 38.48% | +1.11 | 1.026 | $1,532.68 |
| 2026-11-06 | 40.28% | +5.73 | 0.999 | $1,510.00 |
| 2026-11-05 | 45.80% | +4.03 | 0.906 | $1,530.28 |
| 2026-11-04 | 47.64% | +0.23 | 0.877 | $1,739.88 |
| 2026-11-03 | 48.72% | +2.26 | 0.874 | $1,662.16 |
| 2026-11-02 | 48.46% | +4.78 | 0.860 | $1,676.79 |
| 2026-10-30 | 47.95% | +2.42 | 0.864 | $1,624.53 |
| 2026-10-29 | 45.31% | +3.14 | 0.883 | $1,660.13 |
| 2026-10-28 | 45.37% | +1.78 | 0.886 | $1,673.09 |
| 2026-10-27 | 45.40% | +0.76 | 0.885 | $1,680.51 |
| 2026-10-26 | 45.06% | +5.91 | 0.899 | $1,668.72 |
| 2026-10-23 | 51.05% | +5.11 | 0.846 | $1,810.15 |
| 2026-10-22 | 52.62% | +6.57 | 0.828 | $1,824.96 |
| 2026-10-21 | 50.58% | +3.10 | 0.829 | $1,854.88 |
| 2026-10-20 | 49.64% | +3.34 | 0.836 | $1,879.50 |
| 2026-10-19 | 48.58% | +4.43 | 0.835 | $1,839.72 |
| 2026-10-16 | 48.00% | +2.15 | 0.867 | $1,834.00 |
| 2026-10-15 | 45.42% | +3.92 | 0.879 | $1,856.98 |
| 2026-10-14 | 46.42% | +1.10 | 0.833 | $1,839.11 |
| 2026-10-13 | 45.28% | +2.41 | 0.853 | $1,876.04 |
| 2026-10-09 | 44.14% | +3.87 | 0.901 | $1,889.85 |
| 2026-10-08 | 44.90% | +0.47 | 0.863 | $1,856.66 |
| 2026-10-07 | 44.79% | +3.58 | 0.882 | $1,872.78 |
| 2026-10-06 | 44.98% | +2.26 | 0.883 | $1,857.99 |
| 2026-10-05 | 45.28% | +5.08 | 0.885 | $1,860.61 |
| 2026-10-02 | 41.26% | -2.50 | 0.985 | $1,696.56 |
| 2026-10-01 | 44.22% | +2.78 | 0.931 | $1,685.12 |
| 2026-09-30 | 38.55% | -1.05 | 1.057 | $1,728.53 |
| 2026-09-29 | 38.16% | +2.39 | 1.060 | $1,724.90 |
| 2026-09-28 | 37.44% | +2.36 | 1.093 | $1,712.41 |
| 2026-09-25 | 36.59% | +0.10 | 1.115 | $1,752.61 |
| 2026-09-24 | 37.09% | +0.05 | 1.074 | $1,754.13 |
| 2026-09-23 | 35.14% | +2.48 | 1.114 | $1,799.24 |
| 2026-09-22 | 36.74% | +2.98 | 1.088 | $1,826.58 |
| 2026-09-21 | 38.29% | +1.44 | 1.068 | $1,820.47 |
| 2026-09-18 | 36.65% | +1.64 | 1.168 | $1,787.39 |
| 2026-09-17 | 36.50% | +3.18 | 1.120 | $1,825.21 |
| 2025-10-22 | 52.88% | +2.01 | 0.801 | $2,095.21 |
| 2025-10-21 | 50.39% | +3.13 | 0.807 | $2,142.05 |
| 2025-10-20 | 52.10% | +3.89 | 0.827 | $2,102.11 |
| 2025-10-17 | 53.01% | +1.66 | 0.813 | $2,024.98 |
| 2025-10-16 | 55.72% | +0.57 | 0.794 | $2,043.06 |
| 2025-10-15 | 55.38% | -0.19 | 0.783 | $2,048.35 |
| 2025-10-14 | — | — | — | $2,157.82 |
| 2025-10-10 | 54.21% | +0.78 | 0.808 | $2,133.67 |
| 2025-10-09 | 48.13% | +4.80 | 0.825 | $2,275.00 |
| 2025-10-08 | 47.38% | +2.09 | 0.864 | $2,179.89 |
| 2025-10-07 | 50.04% | +4.88 | 0.809 | $2,187.57 |
| 2025-10-06 | 47.81% | +1.04 | 0.874 | $2,154.22 |
| 2025-10-03 | 46.67% | -0.23 | 0.913 | $2,172.75 |
| 2025-10-02 | 43.06% | +2.97 | 0.967 | $2,246.60 |
| 2025-10-01 | 49.05% | +1.42 | 0.865 | $2,176.91 |
| 2025-09-30 | 42.09% | +1.57 | 0.948 | $2,336.94 |
| 2025-09-29 | 35.50% | +2.17 | 1.058 | $2,501.31 |
| 2025-09-26 | 36.47% | +2.98 | 1.020 | $2,468.42 |
| 2025-09-25 | 37.41% | +3.28 | 1.007 | $2,492.25 |
| 2025-09-24 | 35.72% | +3.61 | 1.041 | $2,510.97 |
| 2025-09-23 | 35.86% | +3.04 | 1.062 | $2,494.35 |
| 2025-09-22 | 32.57% | +3.28 | 1.189 | $2,460.66 |
| 2025-09-19 | 32.13% | +2.18 | 1.165 | $2,452.34 |
| 2025-09-18 | 33.97% | +1.98 | 1.114 | $2,476.37 |
| 2025-09-17 | 32.95% | +2.16 | 1.145 | $2,446.32 |
| 2025-09-16 | 32.88% | +2.58 | 1.148 | $2,390.14 |
| 2025-09-15 | 33.87% | +2.79 | 1.121 | $2,335.82 |
| 2025-09-12 | 32.40% | +1.50 | 1.139 | $2,339.36 |
| 2025-09-11 | 31.74% | +1.79 | 1.142 | $2,338.20 |
| 2025-09-10 | 31.45% | +2.82 | 1.171 | $2,348.99 |
| 2025-09-09 | 32.19% | +2.36 | 1.122 | $2,373.01 |
| 2025-09-08 | 35.83% | +3.75 | 1.013 | $2,346.96 |
| 2025-09-05 | 35.47% | +3.50 | 1.015 | $2,417.49 |
| 2025-09-04 | 30.16% | +1.94 | 1.115 | $2,417.80 |
| 2025-09-03 | 31.88% | +3.25 | 1.143 | $2,373.12 |
| 2025-09-02 | 31.26% | +3.34 | 1.150 | $2,379.76 |
| 2025-08-29 | 29.42% | +3.17 | 1.181 | $2,472.91 |
| 2025-08-28 | 28.92% | +2.75 | 1.204 | $2,472.29 |
| 2025-08-27 | 31.17% | +2.73 | 1.084 | $2,413.43 |
| 2025-08-26 | 29.32% | +4.02 | 1.131 | $2,405.53 |
| 2025-08-25 | 28.94% | +2.25 | 1.237 | $2,407.74 |
| 2025-08-22 | 29.94% | +2.61 | 1.154 | $2,430.62 |
| 2025-08-21 | 30.09% | +2.39 | 1.177 | $2,337.44 |
| 2025-08-20 | 29.03% | +1.04 | 1.191 | $2,335.98 |
| 2025-08-19 | 30.65% | +2.65 | 1.166 | $2,342.94 |
| 2025-08-18 | 31.26% | +2.83 | 1.098 | $2,364.01 |
| 2025-08-15 | 30.42% | +3.70 | 1.128 | $2,392.30 |
| 2025-08-14 | 29.15% | +3.98 | 1.174 | $2,319.80 |
| 2025-08-13 | 28.75% | +3.13 | 1.085 | $2,327.30 |
| 2025-08-12 | 28.72% | +1.91 | 1.117 | $2,350.83 |
| 2025-08-11 | 30.04% | +2.18 | 1.121 | $2,292.04 |
| 2025-08-08 | 28.42% | +2.52 | 1.150 | $2,353.70 |
| 2025-08-07 | 30.35% | +3.44 | 1.074 | $2,334.82 |
| 2025-08-06 | 29.98% | +2.48 | 1.092 | $2,317.22 |
| 2025-08-05 | — | — | — | $2,408.02 |
| 2025-08-04 | 44.72% | +1.40 | 0.846 | $2,395.83 |
| 2025-08-01 | 47.45% | +2.52 | 0.799 | $2,375.92 |
| 2025-07-31 | 45.52% | +2.47 | 0.816 | $2,373.89 |
| 2025-07-30 | 43.29% | +3.63 | 0.842 | $2,381.39 |
| 2025-07-29 | 44.86% | +4.03 | 0.814 | $2,384.90 |
| 2025-07-28 | 44.43% | +2.55 | 0.826 | $2,354.11 |
| 2025-07-25 | 44.18% | +3.55 | 0.818 | $2,362.56 |
| 2025-07-24 | 45.46% | +3.50 | 0.811 | $2,391.05 |
| 2025-07-23 | 44.64% | +3.63 | 0.807 | $2,394.43 |
| 2025-07-22 | 44.89% | +4.29 | 0.806 | $2,384.72 |
| 2025-07-21 | 45.35% | +2.51 | 0.798 | $2,379.06 |
| 2025-07-18 | 45.30% | +2.99 | 0.785 | $2,413.57 |
| 2025-07-17 | 44.39% | +2.71 | 0.800 | $2,351.14 |
| 2025-07-16 | 43.75% | +4.86 | 0.815 | $2,405.15 |
| 2025-07-15 | 45.23% | +2.64 | 0.785 | $2,390.00 |
| 2025-07-14 | 43.77% | +3.78 | 0.814 | $2,380.25 |
| 2025-07-11 | 42.75% | +3.94 | 0.838 | $2,387.45 |
| 2025-07-10 | 44.01% | +2.89 | 0.817 | $2,402.10 |
| 2025-07-09 | 44.15% | +3.29 | 0.812 | $2,477.08 |
| 2025-07-08 | 45.16% | +4.50 | 0.809 | $2,476.60 |
| 2025-07-07 | 44.86% | +5.44 | 0.816 | $2,501.08 |
| 2025-07-03 | 44.92% | +4.41 | 0.813 | $2,514.05 |
| 2025-07-02 | 45.31% | +4.19 | 0.806 | $2,472.05 |
| 2025-07-01 | 42.73% | +3.42 | 0.848 | $2,501.40 |
| 2025-06-30 | 39.76% | +5.60 | 0.898 | $2,613.63 |
| 2025-06-27 | 33.79% | +4.96 | 1.067 | $2,560.05 |
| 2025-06-26 | 31.18% | +3.85 | 1.158 | $2,560.20 |
图表覆盖存档中的全部交易日,共 303 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 303 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
10d (2026-11-20) · 24d (2026-12-04) · 31d (2026-12-11)
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 | 10d | 24d | 31d |
|---|---|---|---|
| 10Δ 看涨 | — | — | 38.58% |
| 15Δ 看涨 | — | — | 37.47% |
| 20Δ 看涨 | 38.63% | — | 36.51% |
| 25Δ 看涨 | 38.60% | 37.76% | 36.33% |
| 30Δ 看涨 | 39.59% | 38.06% | 37.94% |
| 35Δ 看涨 | 38.54% | 38.23% | 37.34% |
| 40Δ 看涨 | 39.02% | 38.68% | 37.94% |
| 45Δ 看涨 | 39.18% | 38.13% | 38.67% |
| ATM | 38.90% | 38.99% | 38.00% |
| 45Δ 看跌 | 41.54% | 38.69% | 36.94% |
| 40Δ 看跌 | 42.39% | 38.32% | 38.90% |
| 35Δ 看跌 | 42.74% | 40.06% | 38.16% |
| 30Δ 看跌 | 41.60% | 39.16% | 38.87% |
| 25Δ 看跌 | 40.31% | 38.59% | 38.35% |
| 20Δ 看跌 | 40.60% | 39.07% | 38.70% |
| 15Δ 看跌 | 42.06% | — | — |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-20 | 10 | $1,490.25 | 38.90% | 40.31% | 38.60% | +1.71 | +0.56 | 30 |
| 2026-12-04 | 24 | $1,491.85 | 38.99% | 38.59% | 37.76% | +0.82 | -0.81 | 21 |
| 2026-12-11 | 31 | $1,489.23 | 38.00% | 38.35% | 36.33% | +2.02 | -0.66 | 24 |
| 2026-12-18 | 38 | $1,491.16 | 38.46% | 38.19% | 36.11% | +2.09 | -1.31 | 23 |
| 2027-01-15 | 66 | $1,500.10 | 37.77% | 38.02% | 35.44% | +2.58 | -1.04 | 33 |
| 2027-03-19 | 129 | $1,509.34 | 40.65% | 42.24% | 38.67% | +3.57 | -0.19 | 58 |
| 2027-06-17 | 219 | $1,523.80 | 41.03% | 42.15% | 40.13% | +2.02 | +0.11 | 60 |
| 2027-09-17 | 311 | $1,544.00 | 41.35% | 44.13% | 39.37% | +4.76 | +0.39 | 60 |
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
8 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 |
|---|---|---|---|---|---|
| 2026-11-20 | 10 天 | $1,490.25 | 38.90% | $1,493.34 | 30 |
| 2026-12-04 | 24 天 | $1,491.85 | 38.99% | $1,499.33 | 21 |
| 2026-12-11 | 31 天 | $1,489.23 | 38.00% | $1,498.39 | 24 |
| 2026-12-18 | 38 天 | $1,491.16 | 38.46% | $1,502.69 | 23 |
| 2027-01-15 | 66 天 | $1,500.10 | 37.77% | $1,519.57 | 33 |
| 2027-03-19 | 129 天 | $1,509.34 | 40.65% | $1,554.06 | 58 |
| 2027-06-17 | 219 天 | $1,523.80 | 41.03% | $1,602.73 | 60 |
| 2027-09-17 | 311 天 | $1,544.00 | 41.35% | $1,660.69 | 60 |
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
- 38.12%
- 60 天
- 37.86%
- 90 天
- 39.37%
- 180 天
- 40.91%
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 303 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 6 次财报
- 落在隐含区间内
- 6 次中 1 次
- 17% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 9.6%
- 平均实际波动幅度
- 14.5%
- 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 |
|---|---|---|---|---|
| 2026-11-04 | 收盘后 | 8.6% | -12.0% | 1.40× |
| 2026-11-03 | 未说明时间 | 9.2% | +4.7% | 0.51× |
| 2026-08-05 | 收盘后 | — | — | — |
| 2026-05-07 | 收盘后 | — | — | — |
| 2026-02-24 | 收盘后 | — | — | — |
| 2025-10-29 | 收盘后 | — | — | — |
| 2025-08-04 | 收盘后 | 10.2% | -23.8% | 2.33× |
| 2025-05-07 | 收盘后 | 9.8% | -19.3% | 1.98× |
| 2025-02-20 | 收盘后 | 10.2% | -13.5% | 1.33× |
| 2024-11-06 | 收盘后 | 9.4% | -13.8% | 1.46× |
| 2024-08-01 | 收盘后 | — | — | — |
| 2024-05-02 | 收盘后 | — | — | — |
| 2024-02-22 | 收盘后 | — | — | — |
| 2023-11-01 | 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。