股票 · 期权分析
WMT 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $125.55
- 30D ATM IV
- 34.86%
- IV 百分位 · 1年
- 第 95
- 25Δ 风险逆转
- +1.28
- 期限斜率 90/30
- 0.846
▲ +0.91 pts 较前一交易日
概览
WMT 期权当前计入的 30 天平值隐含波动率为 34.9%,相当于未来一个月约 ±10.0% 的波动。这高于它过去一年 252 个交易日中 95% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.28 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 15%。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 2026-11-19 开盘前。
在最近 5 次财报中,期权市场平均计入了 ±6.3% 的波动,WMT 实际平均波动 4.7%,5 次中有 3 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ⓘ
- 34.86%
- 25-delta 风险逆转ⓘ
- +1.28
- 25-delta 蝶式价差ⓘ
- +0.05
- 期限结构斜率ⓘ
- 0.846
对应 30 天内约 ±10.0% 的波动，平常一天约 ±2.2%。
高于过去一年中 95% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.28 个点。
高于过去一年中 32% 的读数。
两翼的隐含波动率与平值大致相同。
90 天的隐含波动率比 30 天低 15%。
高于过去一年中 10% 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
- 95%
- IV 排名,1 年
- 54%
- IV 百分位,2 年
- 96%
- IV 排名,2 年
- 59%
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
- $125.55
- 30 天隐含远期价
- $126.03
- 60 天 ATM IV
- 30.11%
- 90 天 ATM IV
- 29.50%
- 180 天 ATM IV
- 29.22%
- 使用的到期日数
- 11
- 总未平仓量
- 1,054,074
- Put / call 未平仓量比
- 0.74
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 348 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 | 34.86% | +1.28 | 0.846 | $125.55 |
| 2026-11-09 | 33.95% | +2.24 | 0.857 | $125.66 |
| 2026-11-06 | 34.85% | +2.37 | 0.853 | $125.52 |
| 2026-11-05 | 36.23% | +0.52 | 0.840 | $127.72 |
| 2026-11-04 | 34.61% | +0.23 | 0.849 | $129.17 |
| 2026-11-03 | 35.97% | +1.68 | 0.816 | $124.86 |
| 2026-11-02 | 35.73% | +0.25 | 0.832 | $127.69 |
| 2026-10-30 | 33.73% | +0.43 | 0.860 | $123.51 |
| 2026-10-29 | 31.90% | +1.23 | 0.872 | $121.25 |
| 2026-10-28 | 30.78% | +0.39 | 0.896 | $118.77 |
| 2026-10-27 | 31.23% | +0.96 | 0.876 | $119.32 |
| 2026-10-26 | 31.18% | +0.87 | 0.878 | $120.29 |
| 2026-10-23 | 31.58% | +1.33 | 0.859 | $119.89 |
| 2026-10-22 | 32.05% | +1.51 | 0.849 | $121.12 |
| 2026-10-21 | 31.00% | +1.35 | 0.850 | $117.80 |
| 2026-10-20 | 29.92% | +1.11 | 0.884 | $117.85 |
| 2026-10-19 | 29.12% | +1.29 | 0.909 | $118.70 |
| 2026-10-16 | 26.12% | +0.87 | 1.025 | $118.81 |
| 2026-10-15 | 24.86% | +0.11 | 1.068 | $117.87 |
| 2026-10-14 | 23.67% | +0.74 | 1.113 | $116.16 |
| 2026-10-13 | 22.35% | +0.21 | 1.167 | $112.28 |
| 2026-10-09 | 22.17% | +1.07 | 1.176 | $111.35 |
| 2026-10-08 | 23.10% | +1.12 | 1.166 | $110.56 |
| 2026-10-07 | 22.77% | +0.63 | 1.176 | $108.16 |
| 2026-10-06 | 22.94% | +1.07 | 1.176 | $107.20 |
| 2026-10-05 | 23.15% | +0.79 | 1.158 | $105.07 |
| 2026-10-02 | 22.85% | +0.96 | 1.204 | $104.26 |
| 2026-10-01 | 23.29% | +0.45 | 1.192 | $104.26 |
| 2026-09-30 | 23.25% | +0.49 | 1.194 | $103.92 |
| 2026-09-29 | 23.07% | +1.24 | 1.179 | $106.80 |
| 2026-09-28 | 23.12% | +1.30 | 1.170 | $108.73 |
| 2026-09-25 | 22.82% | +0.90 | 1.197 | $107.98 |
| 2026-09-24 | 23.63% | -0.01 | 1.160 | $107.59 |
| 2026-09-23 | 23.17% | +0.93 | 1.155 | $110.53 |
| 2026-09-22 | 23.25% | +1.37 | 1.143 | $110.12 |
| 2026-09-21 | 22.58% | +0.77 | 1.180 | $107.44 |
| 2026-09-18 | 22.41% | +0.60 | 1.191 | $106.73 |
| 2026-09-17 | 22.49% | +0.24 | 1.176 | $106.79 |
| 2026-09-16 | 23.19% | +0.15 | 1.160 | $107.50 |
| 2026-09-15 | 23.05% | +0.33 | 1.174 | $108.09 |
| 2026-09-14 | 23.19% | +0.31 | 1.153 | $109.08 |
| 2026-09-11 | 21.93% | +1.06 | 1.219 | $107.15 |
| 2026-09-10 | 23.06% | +1.11 | 1.182 | $105.73 |
| 2026-09-09 | 22.94% | +0.82 | 1.209 | $105.83 |
| 2026-09-08 | 23.63% | +0.72 | 1.181 | $106.05 |
| 2026-09-04 | 21.79% | +0.42 | 1.206 | $107.14 |
| 2026-09-03 | 21.33% | +0.95 | 1.213 | $108.42 |
| 2026-09-02 | 21.34% | +1.24 | 1.219 | $106.09 |
| 2026-09-01 | 22.45% | +0.99 | 1.188 | $105.92 |
| 2026-08-31 | 21.58% | +0.87 | 1.201 | $104.87 |
| 2026-08-28 | 21.41% | +0.75 | 1.200 | $103.09 |
| 2026-08-27 | 22.19% | -0.61 | 1.177 | $102.63 |
| 2026-08-26 | 21.81% | -0.40 | 1.207 | $104.34 |
| 2026-08-25 | 21.94% | +0.25 | 1.180 | $105.38 |
| 2026-08-24 | 22.63% | -0.26 | 1.136 | $106.49 |
| 2026-08-21 | 22.02% | +0.29 | 1.180 | $103.70 |
| 2026-08-20 | 22.23% | +0.66 | 1.159 | $103.84 |
| 2026-08-19 | 30.25% | -0.79 | 0.929 | $114.30 |
| 2026-08-18 | 29.90% | -0.52 | 0.932 | $115.20 |
| 2026-08-17 | 30.13% | -1.38 | 0.945 | $114.33 |
| 2025-10-22 | 28.89% | +1.75 | 0.876 | $107.14 |
| 2025-10-21 | 27.27% | +2.80 | 0.901 | $106.22 |
| 2025-10-20 | 26.81% | +3.01 | 0.917 | $107.05 |
| 2025-10-17 | 25.13% | +1.90 | 1.007 | $107.73 |
| 2025-10-16 | 26.39% | +2.71 | 0.986 | $106.47 |
| 2025-10-15 | 24.24% | +2.30 | 1.053 | $109.03 |
| 2025-10-14 | 24.23% | +1.37 | 1.058 | $107.21 |
| 2025-10-10 | 24.19% | +1.69 | 1.077 | $101.84 |
| 2025-10-09 | 22.72% | +2.06 | 1.107 | $101.77 |
| 2025-10-08 | 22.52% | +1.68 | 1.089 | $102.90 |
| 2025-10-07 | 21.41% | +1.94 | 1.147 | $103.24 |
| 2025-10-06 | 21.88% | +2.00 | 1.123 | $102.70 |
| 2025-10-03 | 21.47% | +2.05 | 1.130 | $102.07 |
| 2025-10-02 | 21.51% | +1.90 | 1.117 | $101.70 |
| 2025-10-01 | 21.23% | +1.93 | 1.127 | $101.96 |
| 2025-09-30 | 20.55% | +1.53 | 1.145 | $103.06 |
| 2025-09-29 | 20.80% | +2.29 | 1.134 | $103.08 |
| 2025-09-26 | 20.33% | +1.62 | 1.158 | $103.16 |
| 2025-09-25 | 21.70% | +2.04 | 1.113 | $103.05 |
| 2025-09-24 | 21.05% | +2.56 | 1.146 | $102.73 |
| 2025-09-23 | 21.78% | +1.56 | 1.108 | $102.52 |
| 2025-09-22 | 21.74% | +1.98 | 1.112 | $102.82 |
| 2025-09-19 | 21.76% | +1.50 | 1.104 | $102.33 |
| 2025-09-18 | 21.38% | +0.90 | 1.119 | $103.60 |
| 2025-09-17 | 21.34% | +1.20 | 1.100 | $104.27 |
| 2025-09-16 | 20.43% | +1.55 | 1.136 | $103.42 |
| 2025-09-15 | 20.19% | +1.54 | 1.139 | $103.69 |
| 2025-09-12 | 19.48% | +1.39 | 1.149 | $103.49 |
| 2025-09-11 | 19.86% | +1.40 | 1.142 | $102.65 |
| 2025-09-10 | 19.68% | +1.81 | 1.159 | $100.41 |
| 2025-09-09 | 18.67% | +2.75 | 1.189 | $102.29 |
| 2025-09-08 | 19.00% | +1.87 | 1.162 | $102.28 |
| 2025-09-05 | 18.87% | +1.76 | 1.172 | $100.51 |
| 2025-09-04 | 18.87% | +1.70 | 1.179 | $100.93 |
| 2025-09-03 | 18.48% | +1.97 | 1.197 | $99.44 |
| 2025-09-02 | 19.42% | +0.89 | 1.146 | $97.85 |
| 2025-08-29 | 18.33% | +0.54 | 1.168 | $96.98 |
| 2025-08-28 | 18.50% | +1.87 | 1.194 | $96.11 |
| 2025-08-27 | 18.13% | +1.31 | 1.176 | $96.08 |
| 2025-08-26 | 19.01% | +1.22 | 1.134 | $96.05 |
| 2025-08-25 | 19.06% | +2.15 | 1.161 | $96.07 |
| 2025-08-22 | 19.04% | +1.60 | 1.162 | $96.83 |
| 2025-08-21 | 20.09% | +2.01 | 1.124 | $97.96 |
| 2025-08-20 | 28.10% | +1.71 | 0.899 | $102.57 |
| 2025-08-19 | 27.41% | +2.86 | 0.903 | $101.29 |
| 2025-08-18 | 26.66% | +1.84 | 0.919 | $100.70 |
| 2025-08-15 | 26.79% | +1.70 | 0.915 | $100.00 |
| 2025-08-14 | 26.53% | +2.27 | 0.916 | $100.85 |
| 2025-08-13 | 25.82% | +1.52 | 0.918 | $100.99 |
| 2025-08-12 | 25.21% | +2.07 | 0.928 | $103.62 |
| 2025-08-11 | 26.97% | +1.61 | 0.893 | $103.93 |
| 2025-08-08 | 25.84% | +2.03 | 0.927 | $103.73 |
| 2025-08-07 | 26.10% | +2.38 | 0.943 | $103.12 |
| 2025-08-06 | 25.91% | +1.89 | 0.941 | $103.36 |
| 2025-08-05 | 26.67% | +2.69 | 0.918 | $99.31 |
| 2025-08-04 | 26.34% | +3.46 | 0.925 | $99.59 |
| 2025-08-01 | 27.54% | +2.97 | 0.899 | $98.49 |
| 2025-07-31 | 26.95% | +2.69 | 0.898 | $97.98 |
| 2025-07-30 | 26.46% | +2.64 | 0.903 | $97.59 |
| 2025-07-29 | 26.82% | +2.93 | 0.888 | $98.33 |
图表覆盖存档中的全部交易日,共 348 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 348 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 | 31.77% | 49.74% | 41.12% |
| 10Δ 看涨 | 30.20% | 49.26% | 40.07% |
| 15Δ 看涨 | 30.05% | 48.82% | 40.19% |
| 20Δ 看涨 | 29.83% | 48.68% | 39.87% |
| 25Δ 看涨 | 29.70% | 48.79% | 39.99% |
| 30Δ 看涨 | 29.69% | 48.90% | 39.97% |
| 35Δ 看涨 | 29.68% | 49.17% | 40.02% |
| 40Δ 看涨 | 29.67% | 49.37% | 40.39% |
| 45Δ 看涨 | 29.66% | 49.42% | 40.66% |
| ATM | 29.60% | 49.67% | 40.41% |
| 45Δ 看跌 | 29.52% | 49.80% | 39.96% |
| 40Δ 看跌 | 29.62% | 49.92% | 39.99% |
| 35Δ 看跌 | 29.99% | 50.05% | 40.44% |
| 30Δ 看跌 | 30.24% | 50.15% | 40.17% |
| 25Δ 看跌 | 30.40% | 50.26% | 40.17% |
| 20Δ 看跌 | 30.84% | 50.27% | 40.58% |
| 15Δ 看跌 | 31.68% | 50.40% | 40.60% |
| 10Δ 看跌 | 32.23% | 50.93% | 41.48% |
| 5Δ 看跌 | 34.63% | 51.90% | 43.44% |
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 | $125.51 | 29.60% | 30.40% | 29.70% | +0.70 | +0.46 | 21 |
| 2026-11-20 | 10 | $125.65 | 49.67% | 50.26% | 48.79% | +1.47 | -0.14 | 44 |
| 2026-11-27 | 17 | $125.67 | 40.41% | 40.17% | 39.99% | +0.18 | -0.33 | 40 |
| 2026-12-04 | 24 | $125.90 | 36.53% | 36.91% | 35.66% | +1.24 | -0.24 | 37 |
| 2026-12-11 | 31 | $126.05 | 34.64% | 35.37% | 34.08% | +1.28 | +0.09 | 29 |
| 2026-12-18 | 38 | $125.85 | 32.90% | 33.88% | 32.30% | +1.58 | +0.20 | 12 |
| 2026-12-24 | 44 | $125.88 | 32.01% | 32.64% | 31.19% | +1.44 | -0.09 | 28 |
| 2027-01-15 | 66 | $126.21 | 29.62% | 30.29% | 28.95% | +1.34 | -0.01 | 19 |
| 2027-03-19 | 129 | $127.11 | 29.41% | 30.44% | 28.68% | +1.76 | +0.16 | 17 |
| 2027-06-17 | 219 | $128.18 | 29.14% | 29.82% | 28.43% | +1.38 | -0.02 | 27 |
| 2027-09-17 | 311 | $129.20 | 29.21% | 29.41% | 28.35% | +1.06 | -0.33 | 24 |
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
11 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 | $125.51 | 29.60% | $125.56 | 21 |
| 2026-11-20 | 10 天 | $125.65 | 49.67% | $126.08 | 44 |
| 2026-11-27 | 17 天 | $125.67 | 40.41% | $126.15 | 40 |
| 2026-12-04 | 24 天 | $125.90 | 36.53% | $126.45 | 37 |
| 2026-12-11 | 31 天 | $126.05 | 34.64% | $126.69 | 29 |
| 2026-12-18 | 38 天 | $125.85 | 32.90% | $126.56 | 12 |
| 2026-12-24 | 44 天 | $125.88 | 32.01% | $126.66 | 28 |
| 2027-01-15 | 66 天 | $126.21 | 29.62% | $127.21 | 19 |
| 2027-03-19 | 129 天 | $127.11 | 29.41% | $129.06 | 17 |
| 2027-06-17 | 219 天 | $128.18 | 29.14% | $131.49 | 27 |
| 2027-09-17 | 311 天 | $129.20 | 29.21% | $133.98 | 24 |
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
- 34.86%
- 60 天
- 30.11%
- 90 天
- 29.50%
- 180 天
- 29.22%
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 348 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 3 次
- 60% —— 定价完全准确的事件大约是 68%
- 平均隐含波动幅度
- 6.3%
- 平均实际波动幅度
- 4.7%
- 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 |
|---|---|---|---|---|
| 2026-08-20 | 开盘前 | 6.2% | -9.2% | 1.47× |
| 2026-05-21 | 开盘前 | — | — | — |
| 2026-02-19 | 开盘前 | — | — | — |
| 2025-11-20 | 开盘前 | — | — | — |
| 2025-08-21 | 开盘前 | 5.9% | -4.5% | 0.76× |
| 2025-05-15 | 开盘前 | 6.0% | -0.5% | 0.08× |
| 2025-02-20 | 开盘前 | 6.4% | -6.5% | 1.03× |
| 2024-11-19 | 开盘前 | 7.1% | +3.0% | 0.42× |
| 2024-08-15 | 开盘前 | — | — | — |
| 2024-05-16 | 开盘前 | — | — | — |
| 2024-02-20 | 开盘前 | — | — | — |
| 2023-11-16 | 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。