股票 · 期权分析
NRG 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $97.11
- 30D ATM IV
- 51.20%
- IV 百分位 · 1年
- 第 78
- 25Δ 风险逆转
- +3.02
- 期限斜率 90/30
- 0.995
▼ -1.79 pts 较前一交易日
概览
NRG 期权当前计入的 30 天平值隐含波动率为 51.2%,相当于未来一个月约 ±14.7% 的波动。这高于它过去一年 217 个交易日中 78% 的读数。
它的 25-delta put 比 call 的隐含波动率高 3.02 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 2027-02-09(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 ±9.2% 的波动,NRG 实际平均波动 10.6%,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ⓘ
- 51.20%
- 25-delta 风险逆转ⓘ
- +3.02
- 25-delta 蝶式价差ⓘ
- +0.63
- 期限结构斜率ⓘ
- 0.995
对应 30 天内约 ±14.7% 的波动，平常一天约 ±3.2%。
高于过去一年中 78% 的读数。
距平值同样远时，put 比 call的隐含波动率高 3.02 个点。
高于过去一年中 64% 的读数。
两翼的隐含波动率比平值高 0.63 个点。
90 天与 30 天期权的隐含波动率大致相同。
高于过去一年中 47% 的读数。
30 天隐含波动率处在什么位置
对比此前 217 个交易日(一年窗口)
- IV 百分位,1 年
- 78%
- IV 排名,1 年
- 37%
- IV 百分位,2 年
- 80%
- IV 排名,2 年
- 42%
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
- $97.11
- 30 天隐含远期价
- $97.18
- 60 天 ATM IV
- 49.90%
- 90 天 ATM IV
- 50.92%
- 180 天 ATM IV
- 51.55%
- 使用的到期日数
- 9
- 总未平仓量
- 113,975
- Put / call 未平仓量比
- 0.55
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 338 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 | 51.20% | +3.02 | 0.995 | $97.11 |
| 2026-11-09 | 52.99% | +1.01 | 0.973 | $97.40 |
| 2026-11-06 | 60.77% | +4.75 | 0.919 | $88.29 |
| 2026-11-05 | 66.79% | +5.92 | 0.859 | $80.55 |
| 2026-11-04 | 63.98% | +1.61 | 0.854 | $83.25 |
| 2026-11-03 | 66.04% | +0.43 | 0.849 | $96.26 |
| 2026-11-02 | 75.26% | +4.91 | 0.764 | $94.62 |
| 2026-10-30 | 60.57% | +3.32 | 0.907 | $96.06 |
| 2026-10-29 | 55.29% | +1.40 | 0.944 | $97.54 |
| 2026-10-28 | 63.59% | +0.70 | 0.840 | $96.97 |
| 2026-10-27 | 56.83% | +1.28 | 0.943 | $95.27 |
| 2026-10-26 | 59.12% | -1.56 | 0.907 | $93.61 |
| 2026-10-23 | 57.72% | -0.20 | 0.918 | $92.31 |
| 2026-10-22 | 60.28% | -0.39 | 0.860 | $94.38 |
| 2026-10-21 | 58.89% | -1.48 | 0.841 | $99.80 |
| 2026-10-20 | 58.23% | -0.76 | 0.889 | $97.84 |
| 2026-10-19 | 56.32% | -1.87 | 0.929 | $99.38 |
| 2026-10-16 | 58.95% | -3.22 | 0.892 | $103.75 |
| 2026-10-15 | 58.71% | -1.78 | 0.899 | $102.86 |
| 2026-10-14 | 57.37% | -2.33 | 0.896 | $100.85 |
| 2026-10-13 | 56.74% | +0.88 | 0.886 | $107.18 |
| 2026-10-09 | 52.83% | -1.78 | 0.968 | $107.97 |
| 2026-10-08 | 55.38% | -2.85 | 0.927 | $106.32 |
| 2026-10-07 | 52.25% | -1.99 | 0.972 | $108.61 |
| 2026-10-06 | 50.54% | -2.12 | 0.981 | $103.60 |
| 2026-10-05 | 49.04% | -0.08 | 0.995 | $96.80 |
| 2026-10-02 | 46.59% | -0.24 | 1.063 | $95.23 |
| 2026-10-01 | 51.74% | -1.03 | 0.973 | $96.93 |
| 2026-09-30 | 47.84% | -2.76 | 1.072 | $95.65 |
| 2026-09-29 | 49.86% | -3.24 | 1.007 | $97.17 |
| 2026-09-28 | 51.28% | -0.34 | 0.983 | $97.00 |
| 2026-09-25 | 46.08% | -6.78 | 1.103 | $100.37 |
| 2026-09-24 | 46.32% | -1.31 | 1.058 | $97.85 |
| 2026-09-23 | 46.44% | -0.92 | 1.036 | $100.72 |
| 2026-09-22 | 47.27% | -0.66 | 1.034 | $102.75 |
| 2026-09-21 | 46.97% | +0.17 | 1.049 | $103.28 |
| 2026-09-18 | 46.26% | -1.06 | 1.066 | $103.66 |
| 2026-09-17 | 47.52% | -0.15 | 1.061 | $106.23 |
| 2026-09-16 | 50.08% | -0.84 | 1.011 | $107.38 |
| 2026-09-15 | 48.72% | -2.08 | 1.051 | $105.99 |
| 2026-09-14 | 49.63% | +1.33 | 1.041 | $108.47 |
| 2026-09-11 | 48.03% | -0.94 | 1.027 | $113.46 |
| 2026-09-10 | 48.64% | -1.20 | 1.021 | $111.65 |
| 2026-09-09 | 47.38% | -0.78 | 1.032 | $115.37 |
| 2026-09-08 | 47.68% | -0.01 | 1.029 | $119.64 |
| 2026-09-04 | 48.33% | -2.21 | 1.019 | $119.02 |
| 2026-09-03 | 42.99% | -3.12 | 1.060 | $111.84 |
| 2026-09-02 | 43.35% | -0.59 | 1.052 | $111.09 |
| 2026-09-01 | 43.07% | -2.09 | 1.069 | $109.51 |
| 2026-08-31 | 43.97% | +1.16 | 1.030 | $110.12 |
| 2026-08-28 | 44.61% | -1.00 | 1.026 | $111.12 |
| 2026-08-27 | 43.11% | -2.43 | 1.079 | $114.41 |
| 2026-08-26 | 45.02% | -0.71 | 1.079 | $116.14 |
| 2026-08-25 | 44.65% | -0.44 | 1.064 | $113.61 |
| 2026-08-24 | 43.93% | -0.67 | 1.056 | $111.78 |
| 2025-10-22 | 52.09% | +3.36 | 0.867 | $160.42 |
| 2025-10-21 | 52.04% | -0.81 | 0.855 | $163.59 |
| 2025-10-20 | 50.90% | +3.05 | 0.922 | $167.01 |
| 2025-10-17 | 54.40% | +3.31 | 0.882 | $168.74 |
| 2025-10-16 | 56.45% | +4.11 | 0.853 | $169.93 |
| 2025-10-15 | 54.72% | +3.07 | 0.874 | $171.33 |
| 2025-10-14 | 55.53% | +2.79 | 0.850 | $165.61 |
| 2025-10-10 | 56.10% | +6.83 | 0.875 | $160.43 |
| 2025-10-09 | 53.10% | +2.50 | 0.888 | $168.25 |
| 2025-10-08 | 54.81% | -0.02 | 0.859 | $167.52 |
| 2025-10-07 | 52.31% | +0.10 | 0.877 | $162.61 |
| 2025-10-06 | 49.51% | +0.14 | 0.933 | $163.95 |
| 2025-10-03 | 44.35% | +2.13 | 1.048 | $166.28 |
| 2025-10-02 | 43.57% | +2.79 | 1.035 | $167.30 |
| 2025-10-01 | 42.19% | +6.07 | 1.068 | $161.91 |
| 2025-09-30 | 41.97% | +2.05 | 1.063 | $161.95 |
| 2025-09-29 | 41.39% | +2.46 | 1.076 | $165.34 |
| 2025-09-26 | 41.54% | +2.12 | 1.060 | $168.57 |
| 2025-09-25 | 42.88% | +2.88 | 1.060 | $162.96 |
| 2025-09-24 | 40.92% | +1.87 | 1.115 | $165.58 |
| 2025-09-23 | 45.66% | +3.22 | 0.990 | $167.43 |
| 2025-09-22 | 43.07% | +1.91 | 1.045 | $170.97 |
| 2025-09-19 | 42.27% | +3.01 | 1.038 | $164.36 |
| 2025-09-18 | 42.58% | +1.64 | 1.048 | $164.19 |
| 2025-09-17 | 42.45% | +3.18 | 1.056 | $164.58 |
| 2025-09-16 | 43.18% | +2.30 | 1.049 | $164.22 |
| 2025-09-15 | 43.11% | +3.04 | 1.045 | $166.08 |
| 2025-09-12 | 41.81% | +2.23 | 1.083 | $164.84 |
| 2025-09-11 | 41.18% | +0.54 | 1.082 | $157.92 |
| 2025-09-10 | 40.84% | +6.84 | 1.065 | $161.21 |
| 2025-09-09 | 39.07% | +3.44 | 1.077 | $152.26 |
| 2025-09-08 | 38.89% | +3.21 | 1.083 | $147.76 |
| 2025-09-05 | 38.71% | +3.69 | 1.098 | $147.66 |
| 2025-09-04 | 38.78% | +2.02 | 1.085 | $147.95 |
| 2025-09-03 | 39.23% | +3.98 | 1.085 | $146.91 |
| 2025-09-02 | 39.89% | +3.37 | 1.069 | $145.11 |
| 2025-08-29 | 37.45% | +2.79 | 1.136 | $145.56 |
| 2025-08-28 | 37.96% | +2.78 | 1.093 | $148.66 |
| 2025-08-27 | 38.25% | +3.04 | 1.092 | $148.12 |
| 2025-08-26 | 38.26% | +3.06 | 1.092 | $146.23 |
| 2025-08-25 | 38.68% | +1.60 | 1.072 | $144.77 |
| 2025-08-22 | 38.87% | +2.49 | 1.071 | $145.09 |
| 2025-08-21 | 39.10% | +2.64 | 1.080 | $145.89 |
| 2025-08-20 | 38.41% | +2.63 | 1.083 | $148.19 |
| 2025-08-19 | 38.71% | +3.08 | 1.132 | $148.38 |
| 2025-08-18 | 37.94% | +3.16 | 1.089 | $150.44 |
| 2025-08-15 | 38.31% | +0.13 | 1.090 | $148.62 |
| 2025-08-14 | 38.22% | +2.43 | 1.080 | $153.78 |
| 2025-08-13 | 38.30% | +3.26 | 1.075 | $155.00 |
| 2025-08-12 | 37.44% | +1.55 | 1.084 | $156.69 |
| 2025-08-11 | 39.71% | +3.00 | 1.049 | $152.03 |
| 2025-08-08 | 39.16% | +2.21 | 1.067 | $152.54 |
| 2025-08-07 | 38.57% | +2.68 | 1.077 | $153.22 |
| 2025-08-06 | 39.72% | -0.17 | 1.047 | $148.56 |
| 2025-08-05 | 50.86% | +2.97 | 0.898 | $171.96 |
| 2025-08-04 | 48.84% | +2.01 | 0.914 | $173.91 |
| 2025-08-01 | 50.98% | +3.27 | 0.906 | $167.63 |
| 2025-07-31 | 48.78% | +3.52 | 0.926 | $167.20 |
| 2025-07-30 | 48.13% | +1.90 | 0.922 | $166.59 |
| 2025-07-29 | 47.28% | -0.50 | 0.920 | $159.87 |
| 2025-07-28 | 46.96% | +1.39 | 0.930 | $158.54 |
| 2025-07-25 | 46.56% | +2.48 | 0.948 | $156.59 |
| 2025-07-24 | 47.25% | +2.51 | 0.940 | $157.97 |
| 2025-07-23 | 48.21% | +2.43 | 0.899 | $160.55 |
| 2025-07-22 | 51.86% | +3.41 | 0.868 | $153.96 |
图表覆盖存档中的全部交易日,共 338 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 338 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 |
|---|---|---|---|
| 10Δ 看涨 | — | 53.69% | — |
| 15Δ 看涨 | — | 53.69% | — |
| 20Δ 看涨 | — | 53.67% | 50.04% |
| 25Δ 看涨 | 61.27% | 53.01% | 49.05% |
| 30Δ 看涨 | 61.56% | 53.27% | 48.65% |
| 35Δ 看涨 | 63.58% | 54.11% | 49.05% |
| 40Δ 看涨 | 62.68% | 54.75% | 49.79% |
| 45Δ 看涨 | 62.44% | 54.36% | 50.87% |
| ATM | 62.29% | 54.93% | 49.66% |
| 45Δ 看跌 | 61.65% | 54.99% | 51.17% |
| 40Δ 看跌 | 63.39% | 56.87% | 52.50% |
| 35Δ 看跌 | 64.13% | 57.68% | 52.49% |
| 30Δ 看跌 | 62.47% | 58.13% | 53.36% |
| 25Δ 看跌 | 64.52% | 57.93% | 52.42% |
| 20Δ 看跌 | 66.89% | 58.93% | 52.71% |
| 15Δ 看跌 | 69.63% | 60.35% | — |
| 10Δ 看跌 | 73.32% | 62.67% | — |
| 5Δ 看跌 | 80.62% | 67.99% | — |
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 | $96.67 | 62.29% | 64.52% | 61.27% | +3.25 | +0.61 | 11 |
| 2026-11-20 | 10 | $97.00 | 54.93% | 57.93% | 53.01% | +4.92 | +0.54 | 16 |
| 2026-11-27 | 17 | $97.20 | 49.66% | 52.42% | 49.05% | +3.38 | +1.07 | 23 |
| 2026-12-04 | 24 | $97.15 | 51.20% | 54.14% | 50.27% | +3.87 | +1.01 | 13 |
| 2026-12-18 | 38 | $97.21 | 51.20% | 52.65% | 50.36% | +2.29 | +0.30 | 9 |
| 2027-01-15 | 66 | $97.58 | 49.70% | 51.59% | 48.58% | +3.01 | +0.39 | 10 |
| 2027-03-19 | 129 | $97.97 | 51.92% | 53.64% | 50.64% | +3.00 | +0.22 | 19 |
| 2027-06-17 | 219 | $98.25 | 51.38% | 54.00% | 50.73% | +3.28 | +0.98 | 20 |
| 2027-09-17 | 311 | $99.07 | 51.34% | 53.49% | 49.78% | +3.71 | +0.29 | 27 |
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
9 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 | $96.67 | 62.29% | $96.83 | 11 |
| 2026-11-20 | 10 天 | $97.00 | 54.93% | $97.40 | 16 |
| 2026-11-27 | 17 天 | $97.20 | 49.66% | $97.76 | 23 |
| 2026-12-04 | 24 天 | $97.15 | 51.20% | $97.99 | 13 |
| 2026-12-18 | 38 天 | $97.21 | 51.20% | $98.54 | 9 |
| 2027-01-15 | 66 天 | $97.58 | 49.70% | $99.79 | 10 |
| 2027-03-19 | 129 天 | $97.97 | 51.92% | $102.75 | 19 |
| 2027-06-17 | 219 天 | $98.25 | 51.38% | $106.35 | 20 |
| 2027-09-17 | 311 天 | $99.07 | 51.34% | $110.84 | 27 |
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
- 51.20%
- 60 天
- 49.90%
- 90 天
- 50.92%
- 180 天
- 51.55%
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 338 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
- 9.2%
- 平均实际波动幅度
- 10.6%
- 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 |
|---|---|---|---|---|
| 2026-11-09 | 开盘前 | 11.6% | +10.3% | 0.89× |
| 2026-11-05 | 未说明时间 | 6.3% | +9.6% | 1.51× |
| 2026-11-04 | 未说明时间 | 6.2% | -3.2% | 0.52× |
| 2026-08-04 | 开盘前 | — | — | — |
| 2026-05-06 | 开盘前 | — | — | — |
| 2026-02-24 | 开盘前 | — | — | — |
| 2025-11-06 | 开盘前 | — | — | — |
| 2025-08-06 | 开盘前 | 9.1% | -13.6% | 1.50× |
| 2025-05-12 | 开盘前 | 7.0% | +26.2% | 3.76× |
| 2025-02-26 | 开盘前 | 13.6% | +10.6% | 0.78× |
| 2024-11-08 | 开盘前 | 10.2% | -0.3% | 0.03× |
| 2024-08-08 | 开盘前 | — | — | — |
| 2024-05-07 | 开盘前 | — | — | — |
| 2024-02-28 | 开盘前 | — | — | — |
| 2023-11-02 | 开盘前 | — | — | — |
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。