股票 · 期权分析
SE 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $76.80
- 30D ATM IV
- 52.15%
- IV 百分位 · 1年
- 第 62
- 25Δ 风险逆转
- +3.19
- 期限斜率 90/30
- 0.990
▼ -21.32 pts 较前一交易日
本交易日部分指标不可用
概览
SE 期权当前计入的 30 天平值隐含波动率为 52.1%,相当于未来一个月约 ±14.9% 的波动。这高于它过去一年 251 个交易日中 62% 的读数。
它的 25-delta put 比 call 的隐含波动率高 3.19 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 1%。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。
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ⓘ
- 52.15%
- 25-delta 风险逆转ⓘ
- +3.19
- 25-delta 蝶式价差ⓘ
- +0.59
- 期限结构斜率ⓘ
- 0.990
对应 30 天内约 ±14.9% 的波动，平常一天约 ±3.3%。
高于过去一年中 62% 的读数。
距平值同样远时，put 比 call的隐含波动率高 3.19 个点。
高于过去一年中 62% 的读数。
两翼的隐含波动率比平值高 0.59 个点。
90 天的隐含波动率比 30 天低 1%。
高于过去一年中 37% 的读数。
30 天隐含波动率处在什么位置
对比此前 251 个交易日(一年窗口)
- IV 百分位,1 年
- 62%
- IV 排名,1 年
- 43%
- IV 百分位,2 年
- 62%
- IV 排名,2 年
- 43%
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
- $76.80
- 30 天隐含远期价
- $76.76
- 60 天 ATM IV
- 50.75%
- 90 天 ATM IV
- 51.60%
- 180 天 ATM IV
- —
- 使用的到期日数
- 8
- 总未平仓量
- 143,666
- Put / call 未平仓量比
- 1.78
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 301 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 | 52.15% | +3.19 | 0.990 | $76.80 |
| 2026-11-09 | 73.47% | +6.72 | 0.799 | $77.96 |
| 2026-11-06 | 75.48% | +4.84 | 0.781 | $75.73 |
| 2026-11-05 | 71.46% | +4.87 | 0.830 | $75.63 |
| 2026-11-04 | 70.42% | -0.20 | 0.792 | $80.19 |
| 2026-11-03 | 72.86% | +0.21 | 0.794 | $76.77 |
| 2026-11-02 | 74.48% | +1.50 | 0.803 | $75.48 |
| 2026-10-30 | 68.60% | +4.60 | 0.847 | $74.24 |
| 2026-10-29 | 67.27% | +3.61 | 0.872 | $76.55 |
| 2026-10-28 | 72.23% | +0.53 | 0.805 | $75.18 |
| 2026-10-27 | 68.54% | +1.35 | 0.852 | $74.73 |
| 2026-10-26 | 71.58% | -1.01 | 0.809 | $74.01 |
| 2026-10-23 | 70.98% | +1.92 | 0.810 | $74.63 |
| 2026-10-22 | 73.32% | +2.73 | 0.794 | $75.69 |
| 2026-10-21 | 71.26% | +1.16 | 0.807 | $77.94 |
| 2026-10-20 | 66.89% | -1.81 | 0.823 | $80.43 |
| 2026-10-19 | 59.14% | +1.02 | 0.835 | $88.47 |
| 2026-10-16 | — | — | — | $93.77 |
| 2026-10-15 | 62.32% | +2.02 | 0.819 | $97.50 |
| 2026-10-14 | 55.38% | +0.92 | 0.933 | $95.31 |
| 2026-10-13 | 52.19% | -0.15 | 0.976 | $95.93 |
| 2026-10-09 | 45.36% | +1.70 | 1.100 | $95.25 |
| 2026-10-08 | 43.99% | +0.21 | 1.152 | $92.89 |
| 2026-10-07 | 49.20% | +1.92 | 1.029 | $94.66 |
| 2026-10-06 | 54.88% | +0.26 | 0.917 | $96.53 |
| 2026-10-05 | 41.54% | +2.06 | 1.195 | $96.85 |
| 2026-10-02 | 48.09% | -3.71 | 1.057 | $95.19 |
| 2026-10-01 | 46.73% | +1.83 | 1.091 | $95.27 |
| 2026-09-30 | 43.45% | +1.02 | 1.180 | $97.36 |
| 2026-09-29 | 41.05% | -0.26 | 1.247 | $98.62 |
| 2026-09-28 | 43.32% | +1.54 | 1.180 | $98.91 |
| 2026-09-25 | 44.27% | -0.33 | 1.155 | $99.55 |
| 2026-09-24 | 42.67% | +0.89 | 1.204 | $100.73 |
| 2026-09-23 | 49.12% | +0.55 | 1.070 | $103.29 |
| 2026-09-22 | 48.31% | +0.44 | 1.079 | $103.67 |
| 2026-09-21 | 44.32% | +1.04 | 1.198 | $102.65 |
| 2026-09-18 | 44.84% | -0.41 | 1.183 | $101.79 |
| 2025-10-22 | 65.47% | +2.97 | 0.738 | $156.74 |
| 2025-10-21 | 63.27% | +2.76 | 0.788 | $164.60 |
| 2025-10-20 | 60.96% | +2.00 | 0.822 | $165.70 |
| 2025-10-17 | 63.51% | +3.05 | 0.799 | $160.06 |
| 2025-10-16 | 67.04% | -1.56 | 0.775 | $162.65 |
| 2025-10-15 | 60.70% | +3.81 | 0.866 | $163.42 |
| 2025-10-14 | 53.32% | +1.46 | 0.918 | $180.69 |
| 2025-10-10 | 49.19% | +1.84 | 1.050 | $180.82 |
| 2025-10-09 | 42.25% | +2.04 | 1.162 | $188.00 |
| 2025-10-08 | 38.10% | +1.15 | 1.264 | $192.69 |
| 2025-10-07 | 39.63% | +3.88 | 1.238 | $191.01 |
| 2025-10-06 | 40.18% | +3.27 | 1.233 | $189.50 |
| 2025-10-03 | 38.67% | +1.14 | 1.266 | $184.91 |
| 2025-10-02 | 38.97% | +1.02 | 1.251 | $184.22 |
| 2025-10-01 | 38.64% | +1.50 | 1.264 | $182.01 |
| 2025-09-30 | 37.76% | +2.50 | 1.273 | $178.73 |
| 2025-09-29 | 36.85% | +2.05 | 1.293 | $181.45 |
| 2025-09-26 | 37.06% | +1.25 | 1.270 | $184.58 |
| 2025-09-25 | 38.17% | +1.83 | 1.263 | $185.91 |
| 2025-09-24 | 38.42% | -0.46 | 1.251 | $185.82 |
| 2025-09-23 | 38.21% | +0.47 | 1.247 | $185.25 |
| 2025-09-22 | 37.16% | +1.12 | 1.275 | $192.96 |
| 2025-09-19 | 36.39% | +1.54 | 1.278 | $192.76 |
| 2025-09-18 | 37.09% | +1.02 | 1.272 | $190.56 |
| 2025-09-17 | 36.71% | +1.59 | 1.265 | $186.89 |
| 2025-09-16 | 36.39% | +1.33 | 1.266 | $189.07 |
| 2025-09-15 | 36.45% | +1.41 | 1.240 | $190.46 |
| 2025-09-12 | 34.75% | +3.66 | 1.308 | $196.05 |
| 2025-09-11 | 34.22% | +0.43 | 1.284 | $196.50 |
| 2025-09-10 | 33.71% | +2.14 | 1.296 | $193.04 |
| 2025-09-09 | 34.42% | +1.71 | 1.274 | $192.67 |
| 2025-09-08 | 33.34% | +1.74 | 1.294 | $190.57 |
| 2025-09-05 | 33.14% | +0.93 | 1.303 | $191.62 |
| 2025-09-04 | 33.25% | +4.34 | 1.310 | $189.71 |
| 2025-09-03 | 33.61% | +1.39 | 1.284 | $180.98 |
| 2025-09-02 | 32.55% | +2.76 | 1.337 | $178.78 |
| 2025-08-29 | 31.39% | +2.64 | 1.349 | $186.54 |
| 2025-08-28 | 33.01% | +1.89 | 1.297 | $186.24 |
| 2025-08-27 | 33.65% | +0.77 | 1.283 | $182.91 |
| 2025-08-26 | 33.58% | +1.48 | 1.277 | $188.29 |
| 2025-08-25 | 34.15% | +0.31 | 1.259 | $187.55 |
| 2025-08-22 | 32.23% | +2.00 | 1.303 | $185.53 |
| 2025-08-21 | 33.76% | +2.32 | 1.250 | $179.60 |
| 2025-08-20 | 33.08% | +1.77 | 1.259 | $178.74 |
| 2025-08-19 | 34.82% | +2.09 | 1.217 | $179.25 |
| 2025-08-18 | 32.58% | +2.21 | 1.263 | $177.27 |
| 2025-08-15 | 33.43% | +1.70 | 1.222 | $177.28 |
| 2025-08-14 | 32.83% | -0.57 | 1.267 | $174.01 |
| 2025-08-13 | 34.20% | +2.77 | 1.210 | $174.66 |
| 2025-08-12 | 36.49% | +2.46 | 1.160 | $174.12 |
| 2025-08-11 | 55.14% | +4.88 | 0.865 | $146.23 |
| 2025-08-08 | 56.83% | +3.16 | 0.823 | $147.61 |
| 2025-08-07 | 60.62% | +2.94 | 0.811 | $148.86 |
| 2025-08-06 | 63.55% | -0.79 | 0.756 | $147.54 |
| 2025-08-05 | 63.88% | -0.23 | 0.762 | $151.44 |
| 2025-08-04 | 61.06% | +3.40 | 0.794 | $156.74 |
| 2025-08-01 | 61.40% | +1.85 | 0.773 | $154.21 |
| 2025-07-31 | 60.23% | +2.02 | 0.799 | $156.65 |
| 2025-07-30 | 60.87% | +2.98 | 0.793 | $159.25 |
| 2025-07-29 | 61.10% | +2.68 | 0.792 | $160.46 |
| 2025-07-28 | 59.43% | +2.72 | 0.799 | $160.74 |
| 2025-07-25 | 60.16% | +2.08 | 0.778 | $157.71 |
| 2025-07-24 | 59.66% | +4.67 | 0.791 | $157.87 |
| 2025-07-23 | 59.95% | +3.48 | 0.772 | $158.57 |
| 2025-07-22 | 61.00% | +3.11 | 0.759 | $154.82 |
| 2025-07-21 | 61.65% | +4.41 | 0.747 | $155.29 |
| 2025-07-18 | 57.94% | +4.98 | 0.773 | $168.55 |
| 2025-07-17 | 58.94% | +2.42 | 0.761 | $167.08 |
| 2025-07-16 | 61.49% | +3.19 | 0.746 | $161.30 |
| 2025-07-15 | 56.90% | +0.95 | 0.800 | $158.26 |
| 2025-07-14 | 52.94% | +3.63 | 0.861 | $151.12 |
| 2025-07-11 | 43.91% | +3.69 | 1.021 | $148.26 |
| 2025-07-10 | 40.73% | +3.48 | 1.104 | $149.40 |
| 2025-07-09 | 37.66% | +2.00 | 1.225 | $152.74 |
| 2025-07-08 | 38.54% | +3.75 | 1.195 | $149.11 |
| 2025-07-07 | 40.23% | +1.41 | 1.157 | $151.11 |
| 2025-07-03 | 37.21% | +2.65 | 1.238 | $149.47 |
| 2025-07-02 | 38.03% | +3.40 | 1.213 | $149.42 |
| 2025-07-01 | 38.87% | +2.17 | 1.202 | $150.50 |
| 2025-06-30 | 41.25% | +3.23 | 1.112 | $159.94 |
| 2025-06-27 | 37.14% | +3.40 | 1.207 | $159.31 |
| 2025-06-26 | 34.80% | +2.33 | 1.332 | $158.51 |
| 2025-06-25 | 34.88% | +2.38 | 1.310 | $155.81 |
图表覆盖存档中的全部交易日,共 301 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 301 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 | 87.00% | 68.76% | — |
| 10Δ 看涨 | 82.86% | 64.03% | — |
| 15Δ 看涨 | 79.28% | 61.23% | — |
| 20Δ 看涨 | 78.02% | 59.42% | 53.97% |
| 25Δ 看涨 | 77.77% | 60.38% | 54.44% |
| 30Δ 看涨 | 75.94% | 60.55% | 54.75% |
| 35Δ 看涨 | 77.83% | 60.98% | 55.52% |
| 40Δ 看涨 | 78.90% | 60.87% | 55.60% |
| 45Δ 看涨 | 79.49% | 61.54% | 57.61% |
| ATM | 75.09% | 60.82% | 54.79% |
| 45Δ 看跌 | 80.60% | 63.66% | 55.25% |
| 40Δ 看跌 | 79.59% | 61.34% | 56.12% |
| 35Δ 看跌 | 80.77% | 60.83% | 58.79% |
| 30Δ 看跌 | 79.57% | 62.30% | 59.52% |
| 25Δ 看跌 | 79.95% | 62.86% | 59.29% |
| 20Δ 看跌 | 80.14% | 62.52% | — |
| 15Δ 看跌 | 82.26% | 63.42% | — |
| 10Δ 看跌 | 84.32% | — | — |
| 5Δ 看跌 | 85.16% | — | — |
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 | $76.80 | 75.09% | 79.95% | 77.77% | +2.18 | +3.77 | 21 |
| 2026-11-20 | 10 | $76.76 | 60.82% | 62.86% | 60.38% | +2.49 | +0.81 | 24 |
| 2026-11-27 | 17 | $76.77 | 54.79% | 59.29% | 54.44% | +4.84 | +2.07 | 18 |
| 2026-12-04 | 24 | $76.33 | 51.90% | 54.19% | 52.44% | +1.75 | +1.41 | 17 |
| 2026-12-18 | 38 | $77.35 | 52.35% | 54.45% | 50.03% | +4.42 | -0.11 | 16 |
| 2027-01-15 | 66 | $77.27 | 50.50% | 51.69% | 49.04% | +2.65 | -0.13 | 17 |
| 2027-02-19 | 101 | $77.20 | 51.93% | 50.61% | 51.40% | -0.79 | -0.92 | 15 |
| 2027-03-19 | 129 | $77.73 | 54.28% | 57.22% | 52.36% | +4.86 | +0.51 | 21 |
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 |
|---|---|---|---|---|---|
| 2026-11-13 | 3 天 | $76.80 | 75.09% | $76.97 | 21 |
| 2026-11-20 | 10 天 | $76.76 | 60.82% | $77.15 | 24 |
| 2026-11-27 | 17 天 | $76.77 | 54.79% | $77.31 | 18 |
| 2026-12-04 | 24 天 | $76.33 | 51.90% | $77.01 | 17 |
| 2026-12-18 | 38 天 | $77.35 | 52.35% | $78.46 | 16 |
| 2027-01-15 | 66 天 | $77.27 | 50.50% | $79.08 | 17 |
| 2027-02-19 | 101 天 | $77.20 | 51.93% | $80.13 | 15 |
| 2027-03-19 | 129 天 | $77.73 | 54.28% | $81.88 | 21 |
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
- 52.15%
- 60 天
- 50.75%
- 90 天
- 51.60%
- 180 天
- —
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 301 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
期权定价与实际结果对照
最近 1 次财报
- 落在隐含区间内
- 1 次中 1 次
- 100% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 17.8%
- 平均实际波动幅度
- 1.5%
- 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 |
|---|---|---|---|---|
| 2026-11-10 | 开盘前 | 17.8% | -1.5% | 0.08× |
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。