股票 · 期权分析
TSM 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $396.48
- 30D ATM IV
- 41.13%
- IV 百分位 · 1年
- 第 69
- 25Δ 风险逆转
- +5.13
- 期限斜率 90/30
- 0.962
▼ -0.18 pts 较前一交易日
概览
TSM 期权当前计入的 30 天平值隐含波动率为 41.1%,相当于未来一个月约 ±11.8% 的波动。这高于它过去一年 252 个交易日中 69% 的读数。
它的 25-delta put 比 call 的隐含波动率高 5.13 个波动率点,过去一年里只有 10% 的交易日差距比这更大。
期限结构倒挂:90 天波动率比 30 天低 4%。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ⓘ
- 41.13%
- 25-delta 风险逆转ⓘ
- +5.13
- 25-delta 蝶式价差ⓘ
- +0.71
- 期限结构斜率ⓘ
- 0.962
对应 30 天内约 ±11.8% 的波动，平常一天约 ±2.6%。
高于过去一年中 69% 的读数。
距平值同样远时，put 比 call的隐含波动率高 5.13 个点。
高于过去一年中 90% 的读数。
两翼的隐含波动率比平值高 0.71 个点。
90 天的隐含波动率比 30 天低 4%。
高于过去一年中 31% 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
- 69%
- IV 排名,1 年
- 30%
- IV 百分位,2 年
- 69%
- IV 排名,2 年
- 30%
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
- $396.48
- 30 天隐含远期价
- $396.40
- 60 天 ATM IV
- 40.27%
- 90 天 ATM IV
- 39.55%
- 180 天 ATM IV
- 39.31%
- 使用的到期日数
- 13
- 总未平仓量
- 1,504,541
- Put / call 未平仓量比
- 1.03
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 300 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 | 41.13% | +5.13 | 0.962 | $396.48 |
| 2026-11-09 | 41.31% | +5.88 | 0.949 | $388.62 |
| 2026-11-06 | 46.32% | +6.88 | 0.901 | $375.44 |
| 2026-11-05 | 49.76% | +8.86 | 0.872 | $353.10 |
| 2026-11-04 | 37.08% | +3.60 | 1.005 | $395.75 |
| 2026-11-03 | 39.26% | +4.66 | 0.976 | $404.80 |
| 2026-11-02 | 40.54% | +4.44 | 0.959 | $398.63 |
| 2026-10-30 | 37.58% | +5.03 | 0.998 | $406.13 |
| 2026-10-29 | 33.69% | +2.14 | 1.054 | $431.81 |
| 2026-10-28 | 33.06% | +2.98 | 1.066 | $439.51 |
| 2026-10-27 | 33.94% | +2.35 | 1.044 | $436.87 |
| 2026-10-26 | 34.43% | +3.29 | 1.026 | $424.37 |
| 2026-10-23 | 34.64% | +2.62 | 1.022 | $418.51 |
| 2026-10-22 | 35.25% | +2.84 | 0.998 | $412.35 |
| 2026-10-21 | 32.40% | +1.84 | 1.031 | $431.89 |
| 2026-10-20 | 32.77% | +2.48 | 1.015 | $425.08 |
| 2026-10-19 | 31.79% | +1.98 | 1.032 | $420.22 |
| 2026-10-16 | 32.54% | +2.62 | 1.009 | $412.61 |
| 2026-10-15 | 31.81% | +0.61 | 1.022 | $422.25 |
| 2026-10-14 | 33.77% | +0.86 | 0.995 | $430.00 |
| 2026-10-13 | 32.59% | +0.48 | 1.013 | $445.12 |
| 2026-10-09 | 32.15% | +0.37 | 1.043 | $453.31 |
| 2026-10-08 | 33.67% | +1.06 | 1.022 | $457.99 |
| 2026-10-07 | 32.16% | +0.36 | 1.050 | $472.20 |
| 2026-10-06 | 32.02% | -0.01 | 1.063 | $482.30 |
| 2026-10-05 | 32.52% | +0.05 | 1.053 | $485.80 |
| 2026-10-02 | 32.02% | +0.33 | 1.069 | $472.78 |
| 2026-10-01 | 32.87% | +0.30 | 1.046 | $459.20 |
| 2026-09-30 | 33.84% | -0.18 | 1.023 | $456.19 |
| 2026-09-29 | 33.89% | +0.38 | 1.025 | $456.94 |
| 2026-09-28 | 33.95% | +0.18 | 1.017 | $452.88 |
| 2026-09-25 | 32.22% | +0.26 | 1.052 | $450.61 |
| 2026-09-24 | 32.98% | +0.50 | 1.051 | $451.15 |
| 2026-09-23 | 33.03% | +0.46 | 1.042 | $446.57 |
| 2026-09-22 | 33.31% | +0.14 | 1.030 | $452.00 |
| 2026-09-21 | 33.45% | -0.09 | 1.029 | $445.14 |
| 2025-10-22 | 40.98% | +2.55 | 1.014 | $288.88 |
| 2025-10-21 | 40.18% | +3.16 | 1.034 | $294.51 |
| 2025-10-20 | 40.83% | +2.35 | 1.031 | $297.70 |
| 2025-10-17 | 42.51% | +3.20 | 1.026 | $295.08 |
| 2025-10-16 | 45.15% | +2.59 | 1.000 | $299.84 |
| 2025-10-15 | 47.02% | -0.54 | 0.958 | $304.71 |
| 2025-10-14 | 47.44% | +1.39 | 0.942 | $295.94 |
| 2025-10-10 | 49.45% | +1.98 | 0.913 | $280.66 |
| 2025-10-09 | 45.24% | -0.26 | 0.966 | $299.88 |
| 2025-10-08 | 47.10% | -0.01 | 0.919 | $304.52 |
| 2025-10-07 | 45.43% | +2.03 | 0.928 | $294.03 |
| 2025-10-06 | 45.91% | -0.50 | 0.925 | $302.40 |
| 2025-10-03 | 42.55% | +0.86 | 0.929 | $292.19 |
| 2025-10-02 | 42.01% | +1.12 | 0.939 | $288.11 |
| 2025-10-01 | 42.66% | -0.32 | 0.926 | $288.47 |
| 2025-09-30 | 39.48% | +0.72 | 0.945 | $279.29 |
| 2025-09-29 | 39.22% | +0.67 | 0.952 | $273.23 |
| 2025-09-26 | 38.26% | +0.90 | 0.956 | $273.36 |
| 2025-09-25 | 39.96% | +1.04 | 0.943 | $276.66 |
| 2025-09-24 | 40.47% | -0.32 | 0.931 | $280.71 |
| 2025-09-23 | 41.53% | -0.43 | 0.929 | $282.71 |
| 2025-09-22 | 41.75% | -0.88 | 0.908 | $272.63 |
| 2025-09-19 | 37.16% | +1.34 | 0.964 | $264.87 |
| 2025-09-18 | 38.93% | +0.65 | 0.934 | $268.64 |
| 2025-09-17 | 36.00% | +1.11 | 0.966 | $262.79 |
| 2025-09-16 | 36.10% | +1.32 | 0.964 | $262.06 |
| 2025-09-15 | 35.11% | +0.73 | 0.987 | $261.38 |
| 2025-09-12 | 32.11% | +0.79 | 1.068 | $259.33 |
| 2025-09-11 | 31.40% | +1.11 | 1.095 | $258.91 |
| 2025-09-10 | 32.11% | +1.30 | 1.092 | $260.44 |
| 2025-09-09 | 31.03% | +1.82 | 1.106 | $250.92 |
| 2025-09-08 | 30.68% | +2.55 | 1.115 | $247.19 |
| 2025-09-05 | 30.30% | +1.89 | 1.115 | $243.41 |
| 2025-09-04 | 29.70% | +3.38 | 1.113 | $235.21 |
| 2025-09-03 | 30.94% | +3.81 | 1.090 | $231.39 |
| 2025-09-02 | 32.41% | +4.28 | 1.075 | $228.39 |
| 2025-08-29 | 30.43% | +3.78 | 1.113 | $230.87 |
| 2025-08-28 | 29.29% | +2.93 | 1.126 | $238.27 |
| 2025-08-27 | 31.41% | +3.01 | 1.073 | $239.29 |
| 2025-08-26 | 31.74% | +2.62 | 1.061 | $238.72 |
| 2025-08-25 | 31.93% | +3.16 | 1.064 | $235.59 |
| 2025-08-22 | 31.47% | +3.26 | 1.064 | $232.99 |
| 2025-08-21 | 33.52% | +5.04 | 1.038 | $227.33 |
| 2025-08-20 | 32.61% | +5.09 | 1.051 | $228.60 |
| 2025-08-19 | 32.46% | +4.31 | 1.050 | $232.70 |
| 2025-08-18 | 30.99% | +2.68 | 1.068 | $241.41 |
| 2025-08-15 | 31.28% | +2.82 | 1.068 | $238.88 |
| 2025-08-14 | 30.79% | +2.33 | 1.077 | $241.00 |
| 2025-08-13 | 30.49% | +2.45 | 1.083 | $241.44 |
| 2025-08-12 | 29.86% | +2.30 | 1.098 | $244.29 |
| 2025-08-11 | 31.90% | +2.29 | 1.057 | $242.09 |
| 2025-08-08 | 31.39% | +2.43 | 1.078 | $241.83 |
| 2025-08-07 | 33.23% | +2.79 | 1.044 | $242.62 |
| 2025-08-06 | 33.25% | +2.88 | 1.034 | $231.37 |
| 2025-08-05 | 33.72% | +4.05 | 1.034 | $232.47 |
| 2025-08-04 | 32.24% | +3.44 | 1.052 | $239.00 |
| 2025-08-01 | 34.55% | +4.05 | 1.038 | $235.21 |
| 2025-07-31 | 33.18% | +2.81 | 1.051 | $241.62 |
| 2025-07-30 | 32.06% | +2.19 | 1.061 | $242.91 |
| 2025-07-29 | 31.87% | +1.84 | 1.057 | $241.33 |
| 2025-07-28 | 30.82% | +1.66 | 1.082 | $242.75 |
| 2025-07-25 | 29.82% | +1.89 | 1.094 | $245.60 |
| 2025-07-24 | 30.07% | +1.85 | 1.092 | $241.60 |
| 2025-07-23 | 30.81% | +1.81 | 1.079 | $240.33 |
| 2025-07-22 | 31.30% | +2.11 | 1.070 | $234.60 |
| 2025-07-21 | 31.68% | +2.08 | 1.061 | $238.85 |
| 2025-07-18 | 31.76% | +2.22 | 1.056 | $240.40 |
| 2025-07-17 | 32.67% | +1.23 | 1.044 | $245.60 |
| 2025-07-16 | 37.09% | +0.49 | 0.951 | $237.56 |
| 2025-07-15 | 37.76% | +0.42 | 0.946 | $236.95 |
| 2025-07-14 | 36.75% | +1.32 | 0.967 | $228.67 |
| 2025-07-11 | 36.55% | +1.88 | 0.966 | $230.40 |
| 2025-07-10 | 37.10% | +2.14 | 0.961 | $229.76 |
| 2025-07-09 | 38.25% | +1.65 | 0.951 | $231.84 |
| 2025-07-08 | 38.72% | +1.59 | 0.950 | $227.86 |
| 2025-07-07 | 39.73% | +2.18 | 0.945 | $229.17 |
| 2025-07-03 | 37.90% | +1.31 | 0.975 | $234.80 |
| 2025-07-02 | 37.71% | +1.22 | 0.969 | $233.60 |
| 2025-07-01 | 37.23% | +2.26 | 0.967 | $224.68 |
| 2025-06-30 | 36.42% | +2.08 | 0.980 | $226.49 |
| 2025-06-27 | 36.03% | +2.39 | 0.991 | $228.57 |
| 2025-06-26 | 35.26% | +2.40 | 0.996 | $224.01 |
| 2025-06-25 | 35.96% | +1.51 | 0.978 | $222.74 |
| 2025-06-24 | 35.62% | +2.81 | 0.998 | $220.09 |
图表覆盖存档中的全部交易日,共 300 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 300 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 | 52.13% | 45.90% | 40.77% |
| 10Δ 看涨 | 52.24% | 45.73% | 40.06% |
| 15Δ 看涨 | 52.71% | 45.94% | 40.25% |
| 20Δ 看涨 | 53.16% | 46.31% | 40.77% |
| 25Δ 看涨 | 53.66% | 46.79% | 41.32% |
| 30Δ 看涨 | 54.00% | 47.18% | 41.39% |
| 35Δ 看涨 | 54.75% | 47.50% | 41.75% |
| 40Δ 看涨 | 55.06% | 47.91% | 42.17% |
| 45Δ 看涨 | 54.71% | 48.34% | 42.57% |
| ATM | 54.86% | 48.82% | 43.01% |
| 45Δ 看跌 | 55.54% | 49.06% | 43.82% |
| 40Δ 看跌 | 56.53% | 49.57% | 43.73% |
| 35Δ 看跌 | 56.26% | 50.39% | 44.70% |
| 30Δ 看跌 | 57.51% | 51.22% | 45.56% |
| 25Δ 看跌 | 58.97% | 51.92% | 45.81% |
| 20Δ 看跌 | 59.77% | 52.75% | 47.23% |
| 15Δ 看跌 | 61.42% | 54.23% | 48.44% |
| 10Δ 看跌 | 63.78% | 55.88% | 50.57% |
| 5Δ 看跌 | 67.70% | 60.31% | 55.04% |
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 | $395.50 | 54.86% | 58.97% | 53.66% | +5.32 | +1.46 | 67 |
| 2026-11-20 | 10 | $395.78 | 48.82% | 51.92% | 46.79% | +5.13 | +0.54 | 64 |
| 2026-11-27 | 17 | $396.18 | 43.01% | 45.81% | 41.32% | +4.49 | +0.55 | 52 |
| 2026-12-04 | 24 | $396.53 | 42.07% | 45.16% | 40.01% | +5.15 | +0.52 | 46 |
| 2026-12-11 | 31 | $396.38 | 41.00% | 44.30% | 39.18% | +5.12 | +0.74 | 48 |
| 2026-12-18 | 38 | $396.49 | 40.79% | 43.99% | 38.69% | +5.29 | +0.55 | 32 |
| 2026-12-24 | 44 | $396.71 | 39.96% | 42.89% | 38.19% | +4.70 | +0.58 | 50 |
| 2027-01-15 | 66 | $397.76 | 40.34% | 42.80% | 38.33% | +4.46 | +0.22 | 38 |
| 2027-02-19 | 101 | $399.65 | 39.31% | 41.82% | 37.27% | +4.55 | +0.23 | 43 |
| 2027-03-19 | 129 | $400.48 | 39.16% | 41.95% | 37.16% | +4.79 | +0.40 | 49 |
| 2027-04-16 | 157 | $401.32 | 39.48% | 42.04% | 37.49% | +4.54 | +0.28 | 43 |
| 2027-06-17 | 219 | $404.41 | 39.10% | 41.67% | 37.03% | +4.63 | +0.25 | 55 |
| 2027-09-17 | 311 | $408.83 | 38.93% | 41.58% | 37.49% | +4.09 | +0.60 | 53 |
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 | $395.50 | 54.86% | $395.99 | 67 |
| 2026-11-20 | 10 天 | $395.78 | 48.82% | $397.07 | 64 |
| 2026-11-27 | 17 天 | $396.18 | 43.01% | $397.89 | 52 |
| 2026-12-04 | 24 天 | $396.53 | 42.07% | $398.84 | 46 |
| 2026-12-11 | 31 天 | $396.38 | 41.00% | $399.22 | 48 |
| 2026-12-18 | 38 天 | $396.49 | 40.79% | $399.93 | 32 |
| 2026-12-24 | 44 天 | $396.71 | 39.96% | $400.54 | 50 |
| 2027-01-15 | 66 天 | $397.76 | 40.34% | $403.65 | 38 |
| 2027-02-19 | 101 天 | $399.65 | 39.31% | $408.28 | 43 |
| 2027-03-19 | 129 天 | $400.48 | 39.16% | $411.48 | 49 |
| 2027-04-16 | 157 天 | $401.32 | 39.48% | $415.01 | 43 |
| 2027-06-17 | 219 天 | $404.41 | 39.10% | $423.40 | 55 |
| 2027-09-17 | 311 天 | $408.83 | 38.93% | $436.10 | 53 |
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
- 41.13%
- 60 天
- 40.27%
- 90 天
- 39.55%
- 180 天
- 39.31%
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 300 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
- 4.7%
- 平均实际波动幅度
- 1.8%
- 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 |
|---|---|---|---|---|
| 2026-10-15 | 开盘前 | 4.7% | -1.8% | 0.38× |
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。