股票 · 期权分析
PANW 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $326.36
- 30D ATM IV
- 70.06%
- IV 百分位 · 1年
- 第 99
- 25Δ 风险逆转
- +4.46
- 期限斜率 90/30
- 0.872
▲ +0.63 pts 较前一交易日
概览
PANW 期权当前计入的 30 天平值隐含波动率为 70.1%,相当于未来一个月约 ±20.1% 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 4.46 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 13%。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 2026-11-18 收盘后。
在最近 5 次财报中,期权市场平均计入了 ±10.5% 的波动,PANW 实际平均波动 54.7%,5 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ⓘ
- 70.06%
- 25-delta 风险逆转ⓘ
- +4.46
- 25-delta 蝶式价差ⓘ
- -0.08
- 期限结构斜率ⓘ
- 0.872
对应 30 天内约 ±20.1% 的波动，平常一天约 ±4.4%。
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 4.46 个点。
高于过去一年中 83% 的读数。
两翼的隐含波动率比平值低 0.08 个点。
90 天的隐含波动率比 30 天低 13%。
高于过去一年中 21% 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
- 87%
- IV 百分位,2 年
- 99%
- IV 排名,2 年
- 87%
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
- $326.36
- 30 天隐含远期价
- $324.74
- 60 天 ATM IV
- 61.91%
- 90 天 ATM IV
- 61.10%
- 180 天 ATM IV
- 58.52%
- 使用的到期日数
- 13
- 总未平仓量
- 359,718
- Put / call 未平仓量比
- 0.87
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 | 70.06% | +4.46 | 0.872 | $326.36 |
| 2026-11-09 | 69.43% | +3.33 | 0.857 | $330.89 |
| 2026-11-06 | 70.65% | +3.67 | 0.873 | $313.84 |
| 2026-11-05 | 76.81% | +2.04 | 0.826 | $314.67 |
| 2026-11-04 | 68.15% | +3.11 | 0.885 | $348.04 |
| 2026-11-03 | 68.63% | +4.85 | 0.891 | $350.20 |
| 2026-11-02 | 69.44% | +0.89 | 0.892 | $351.72 |
| 2026-10-30 | 67.02% | +4.97 | 0.932 | $365.87 |
| 2026-10-29 | 62.32% | -0.10 | 0.937 | $380.57 |
| 2026-10-28 | 60.09% | +2.47 | 0.957 | $394.49 |
| 2026-10-27 | 61.93% | +0.79 | 0.936 | $401.70 |
| 2026-10-26 | 61.78% | +2.54 | 0.942 | $390.46 |
| 2026-10-23 | 63.64% | +3.36 | 0.924 | $380.55 |
| 2026-10-22 | 61.66% | +3.77 | 0.930 | $354.92 |
| 2026-10-21 | 60.91% | +1.31 | 0.922 | $347.25 |
| 2026-10-20 | 56.93% | +4.80 | 0.957 | $340.28 |
| 2026-10-19 | 55.11% | +4.14 | 0.978 | $346.95 |
| 2026-10-16 | 56.07% | +5.43 | 0.990 | $342.00 |
| 2026-10-15 | 50.71% | +0.31 | 1.051 | $370.27 |
| 2026-10-14 | 52.78% | +0.44 | 1.022 | $375.04 |
| 2026-10-13 | 50.52% | +0.24 | 1.068 | $397.03 |
| 2026-10-09 | 48.39% | +1.40 | 1.098 | $418.78 |
| 2026-10-08 | 49.22% | -0.74 | 1.097 | $398.50 |
| 2026-10-07 | 49.58% | -1.71 | 1.085 | $405.57 |
| 2026-10-06 | 48.36% | +0.35 | 1.135 | $419.91 |
| 2026-10-05 | 48.38% | -0.12 | 1.112 | $406.76 |
| 2026-10-02 | 49.67% | +0.87 | 1.123 | $403.24 |
| 2026-10-01 | 51.98% | -1.13 | 1.090 | $396.25 |
| 2026-09-30 | 52.00% | -0.35 | 1.086 | $397.31 |
| 2026-09-29 | 51.76% | -1.26 | 1.097 | $388.41 |
| 2026-09-28 | 52.90% | +0.62 | 1.073 | $392.09 |
| 2026-09-25 | 50.56% | -1.09 | 1.103 | $374.74 |
| 2026-09-24 | 51.60% | -2.83 | 1.091 | $389.92 |
| 2026-09-23 | 53.26% | +1.25 | 1.094 | $393.30 |
| 2026-09-22 | 51.61% | -2.57 | 1.087 | $374.57 |
| 2026-09-21 | 51.70% | -1.16 | 1.079 | $371.76 |
| 2026-09-18 | 48.78% | -1.68 | 1.127 | $363.58 |
| 2026-09-17 | 50.70% | -0.47 | 1.081 | $375.06 |
| 2026-09-16 | 52.06% | -0.27 | 1.074 | $375.65 |
| 2026-09-15 | 52.50% | -0.91 | 1.061 | $375.09 |
| 2026-09-14 | 52.70% | -1.30 | 1.090 | $373.94 |
| 2026-09-11 | 46.44% | +0.27 | 1.130 | $330.65 |
| 2026-09-10 | 48.41% | +0.72 | 1.099 | $338.49 |
| 2026-09-09 | 46.74% | +1.08 | 1.124 | $335.10 |
| 2026-09-08 | 49.50% | +2.06 | 1.104 | $336.98 |
| 2026-09-04 | 45.55% | +0.63 | 1.114 | $333.26 |
| 2026-09-03 | 44.47% | +0.22 | 1.140 | $331.94 |
| 2026-09-02 | 45.55% | -1.44 | 1.093 | $328.48 |
| 2026-09-01 | 60.75% | -0.47 | 0.952 | $362.09 |
| 2026-08-31 | 61.47% | +0.29 | 0.944 | $382.13 |
| 2026-08-28 | 60.06% | -2.56 | 0.965 | $371.59 |
| 2026-08-27 | 62.23% | +0.21 | 0.946 | $382.85 |
| 2026-08-26 | 62.76% | +1.77 | 0.917 | $339.31 |
| 2026-08-25 | 61.38% | -1.57 | 0.921 | $339.90 |
| 2026-08-24 | 62.66% | +1.28 | 0.923 | $350.90 |
| 2025-10-22 | 42.57% | +3.54 | 0.846 | $212.42 |
| 2025-10-21 | 39.92% | +2.46 | 0.884 | $214.40 |
| 2025-10-20 | 39.58% | +4.10 | 0.888 | $211.82 |
| 2025-10-17 | 37.44% | +3.96 | 0.979 | $207.89 |
| 2025-10-16 | 39.31% | +2.70 | 0.950 | $205.51 |
| 2025-10-15 | 39.81% | +2.67 | 0.899 | $206.70 |
| 2025-10-14 | 34.96% | -1.01 | 1.048 | $207.56 |
| 2025-10-10 | 36.55% | +1.88 | 1.013 | $208.55 |
| 2025-10-09 | 32.08% | +1.57 | 1.121 | $215.17 |
| 2025-10-08 | 31.54% | +0.90 | 1.138 | $217.79 |
| 2025-10-07 | 32.52% | +2.17 | 1.079 | $211.04 |
| 2025-10-06 | 32.33% | +1.94 | 1.084 | $212.58 |
| 2025-10-03 | 29.76% | +1.90 | 1.176 | $207.19 |
| 2025-10-02 | 29.60% | +2.27 | 1.192 | $209.30 |
| 2025-10-01 | 29.83% | +0.83 | 1.194 | $206.80 |
| 2025-09-30 | 29.28% | +1.95 | 1.196 | $203.62 |
| 2025-09-29 | 29.04% | +0.63 | 1.195 | $203.96 |
| 2025-09-26 | 29.28% | +1.77 | 1.195 | $202.37 |
| 2025-09-25 | 29.60% | +3.56 | 1.204 | $202.21 |
| 2025-09-24 | 29.95% | +1.08 | 1.168 | $200.70 |
| 2025-09-23 | 29.75% | +1.76 | 1.174 | $203.25 |
| 2025-09-22 | 28.86% | +2.42 | 1.207 | $208.18 |
| 2025-09-19 | 27.84% | +0.04 | 1.214 | $208.19 |
| 2025-09-18 | 28.53% | +1.13 | 1.174 | $205.68 |
| 2025-09-17 | 28.58% | +2.23 | 1.168 | $203.12 |
| 2025-09-16 | 28.93% | +2.54 | 1.159 | $201.34 |
| 2025-09-15 | 29.35% | +2.03 | 1.137 | $201.28 |
| 2025-09-12 | 27.55% | +2.53 | 1.181 | $196.29 |
| 2025-09-11 | 27.44% | +1.97 | 1.189 | $198.33 |
| 2025-09-10 | 27.71% | +1.76 | 1.185 | $197.33 |
| 2025-09-09 | 26.83% | +2.26 | 1.206 | $197.55 |
| 2025-09-08 | 27.12% | +1.98 | 1.195 | $197.38 |
| 2025-09-05 | 28.24% | +0.51 | 1.129 | $194.46 |
| 2025-09-04 | 27.10% | +1.73 | 1.203 | $192.35 |
| 2025-09-03 | 27.29% | +4.02 | 1.215 | $191.53 |
| 2025-09-02 | 28.54% | +1.75 | 1.155 | $190.52 |
| 2025-08-29 | 27.03% | +2.19 | 1.188 | $190.52 |
| 2025-08-28 | 26.75% | +2.12 | 1.217 | $191.02 |
| 2025-08-27 | 28.22% | +1.14 | 1.162 | $187.61 |
| 2025-08-26 | 28.08% | +2.24 | 1.175 | $184.23 |
| 2025-08-25 | 26.49% | +2.20 | 1.232 | $184.55 |
| 2025-08-22 | 27.43% | +1.26 | 1.179 | $185.88 |
| 2025-08-21 | 29.78% | +1.57 | 1.108 | $183.32 |
| 2025-08-20 | 29.99% | +1.09 | 1.057 | $184.43 |
| 2025-08-19 | 30.46% | +1.58 | 1.094 | $181.56 |
| 2025-08-18 | 45.17% | +1.23 | 0.848 | $176.17 |
| 2025-08-15 | 43.82% | +1.14 | 0.867 | $177.09 |
| 2025-08-14 | 43.66% | +0.56 | 0.877 | $173.55 |
| 2025-08-13 | 42.82% | +1.86 | 0.872 | $176.86 |
| 2025-08-12 | 41.89% | +1.86 | 0.895 | $175.40 |
| 2025-08-11 | 42.84% | +1.67 | 0.884 | $168.17 |
| 2025-08-08 | 42.67% | +2.03 | 0.875 | $167.06 |
| 2025-08-07 | 44.89% | -0.61 | 0.845 | $168.10 |
| 2025-08-06 | 42.33% | +3.23 | 0.849 | $172.89 |
| 2025-08-05 | 41.35% | +0.48 | 0.877 | $169.09 |
| 2025-08-04 | 43.20% | +0.30 | 0.837 | $171.00 |
| 2025-08-01 | 43.90% | +1.25 | 0.836 | $172.88 |
| 2025-07-31 | 43.33% | -0.59 | 0.835 | $173.60 |
| 2025-07-30 | 42.82% | +2.53 | 0.809 | $183.03 |
| 2025-07-29 | 46.67% | +3.92 | 0.783 | $193.84 |
| 2025-07-28 | 43.48% | +1.57 | 0.769 | $204.50 |
| 2025-07-25 | 40.41% | +4.68 | 0.824 | $203.27 |
| 2025-07-24 | 38.22% | +1.86 | 0.865 | $201.16 |
| 2025-07-23 | 37.01% | +0.32 | 0.907 | $199.22 |
| 2025-07-22 | 39.88% | +4.54 | 0.848 | $196.73 |
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 |
|---|---|---|---|
| 5Δ 看涨 | — | 84.36% | 76.27% |
| 10Δ 看涨 | 71.25% | 84.96% | 73.09% |
| 15Δ 看涨 | 71.56% | 85.03% | 72.54% |
| 20Δ 看涨 | 71.35% | 84.52% | 73.02% |
| 25Δ 看涨 | 71.89% | 86.64% | 72.60% |
| 30Δ 看涨 | 70.95% | 83.67% | 74.05% |
| 35Δ 看涨 | 72.71% | 83.62% | 71.92% |
| 40Δ 看涨 | 72.82% | 86.96% | 75.20% |
| 45Δ 看涨 | 73.47% | 87.84% | 73.37% |
| ATM | 74.32% | 89.80% | 76.63% |
| 45Δ 看跌 | 74.28% | 93.71% | 78.50% |
| 40Δ 看跌 | 74.61% | 91.61% | 78.42% |
| 35Δ 看跌 | 74.32% | 92.92% | 78.08% |
| 30Δ 看跌 | 75.61% | 92.16% | 79.35% |
| 25Δ 看跌 | 75.99% | 92.33% | 78.95% |
| 20Δ 看跌 | 77.57% | 93.68% | 79.83% |
| 15Δ 看跌 | 79.51% | 95.56% | 83.68% |
| 10Δ 看跌 | 79.32% | 100.66% | 85.81% |
| 5Δ 看跌 | 84.09% | — | 88.84% |
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 | $325.88 | 74.32% | 75.99% | 71.89% | +4.09 | -0.38 | 27 |
| 2026-11-20 | 10 | $326.00 | 89.80% | 92.33% | 86.64% | +5.69 | -0.32 | 51 |
| 2026-11-27 | 17 | $326.40 | 76.63% | 78.95% | 72.60% | +6.35 | -0.85 | 44 |
| 2026-12-04 | 24 | $324.55 | 75.78% | 73.43% | 71.32% | +2.11 | -3.41 | 34 |
| 2026-12-11 | 31 | $324.77 | 69.29% | 72.05% | 67.27% | +4.78 | +0.37 | 34 |
| 2026-12-18 | 38 | $326.73 | 66.44% | 69.60% | 64.81% | +4.79 | +0.76 | 42 |
| 2026-12-24 | 44 | $327.34 | 63.25% | 69.86% | 61.74% | +8.13 | +2.55 | 43 |
| 2027-01-15 | 66 | $328.51 | 61.58% | 63.91% | 59.47% | +4.44 | +0.11 | 48 |
| 2027-03-19 | 129 | $329.97 | 60.71% | 61.91% | 58.64% | +3.27 | -0.43 | 51 |
| 2027-04-16 | 157 | $330.97 | 58.66% | 60.88% | 56.91% | +3.97 | +0.23 | 53 |
| 2027-05-21 | 192 | $332.81 | 58.45% | 60.60% | 56.20% | +4.40 | -0.06 | 54 |
| 2027-06-17 | 219 | $333.95 | 59.06% | 61.30% | 56.40% | +4.91 | -0.21 | 71 |
| 2027-09-17 | 311 | $336.47 | 57.66% | 59.76% | 56.11% | +3.64 | +0.27 | 74 |
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 | $325.88 | 74.32% | $326.62 | 27 |
| 2026-11-20 | 10 天 | $326.00 | 89.80% | $329.62 | 51 |
| 2026-11-27 | 17 天 | $326.40 | 76.63% | $330.90 | 44 |
| 2026-12-04 | 24 天 | $324.55 | 75.78% | $330.74 | 34 |
| 2026-12-11 | 31 天 | $324.77 | 69.29% | $331.46 | 34 |
| 2026-12-18 | 38 天 | $326.73 | 66.44% | $334.33 | 42 |
| 2026-12-24 | 44 天 | $327.34 | 63.25% | $335.33 | 43 |
| 2027-01-15 | 66 天 | $328.51 | 61.58% | $339.97 | 48 |
| 2027-03-19 | 129 天 | $329.97 | 60.71% | $352.18 | 51 |
| 2027-04-16 | 157 天 | $330.97 | 58.66% | $356.39 | 53 |
| 2027-05-21 | 192 天 | $332.81 | 58.45% | $364.11 | 54 |
| 2027-06-17 | 219 天 | $333.95 | 59.06% | $370.79 | 71 |
| 2027-09-17 | 311 天 | $336.47 | 57.66% | $387.67 | 74 |
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
- 70.06%
- 60 天
- 61.91%
- 90 天
- 61.10%
- 180 天
- 58.52%
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 5 次财报
- 落在隐含区间内
- 5 次中 1 次
- 20% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 10.5%
- 平均实际波动幅度
- 54.7%
- 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 | 12.1% | -9.3% | 0.77× |
| 2026-06-02 | 收盘后 | — | — | — |
| 2026-02-17 | 收盘后 | — | — | — |
| 2025-11-19 | 收盘后 | — | — | — |
| 2025-08-18 | 收盘后 | 10.2% | +99.2% | 9.70× |
| 2025-05-20 | 收盘后 | 9.2% | +80.4% | 8.70× |
| 2025-02-13 | 收盘后 | 10.4% | +73.8% | 7.11× |
| 2024-11-20 | 收盘后 | 10.4% | -10.7% | 1.02× |
| 2024-08-19 | 收盘后 | — | — | — |
| 2024-05-20 | 收盘后 | — | — | — |
| 2024-02-20 | 收盘后 | — | — | — |
| 2023-11-15 | 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。