W цепочка опционов Wayfair Inc.
Каждая строка — один страйк. Левая половина — call, правая — put. Bid/ask — текущие котировки покупателей и продавцов; объём — количество контрактов, заключённых в эту сессию; открытый интерес — действующие контракты. Выделенная строка ближайшая к текущей цене акции.
Данная экспирация закладывает в цену движение примерно ±45.3% (61.26–162.71) · ATM IV 64.0% · P/C открытого интереса 1.04
| CALLS | Strike | PUTS | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Бид | Спросить | Объём | OIThe number of option contracts currently outstanding at a strike or expiration. High open interest shows where positions are concentrated. | IV | ΔModel sensitivity of an option's price to a $1 move in the stock; also used as a rough moneyness scale (a 25-delta option is well out of the money). | Γ | Θ | Бид | Спросить | Объём | OI | IV | Δ | Γ | Θ | |
| 56.50 | 59.50 | 2 | 69.4% | 0.91 | 0.0022 | -0.009 | 60 | 3.20 | 4.20 | 250 | 68.8% | -0.09 | 0.0023 | -0.018 | ||
| 54.50 | 57.50 | 68.4% | 0.90 | 0.0024 | -0.011 | 62.5 | 3.65 | 4.75 | 106 | 68.3% | -0.10 | 0.0025 | -0.019 | |||
| 52.70 | 55.50 | 67.7% | 0.89 | 0.0026 | -0.013 | 65 | 4.15 | 5.35 | 8,462 | 67.9% | -0.11 | 0.0027 | -0.020 | |||
| 50.70 | 53.90 | 5 | 67.5% | 0.88 | 0.0028 | -0.014 | 67.5 | 4.60 | 6.00 | 67.3% | -0.12 | 0.0029 | -0.022 | |||
| 49.00 | 52.30 | 7 | 67.7% | 0.87 | 0.0030 | -0.016 | 70 | 5.20 | 6.70 | 45 | 67.0% | -0.13 | 0.0031 | -0.023 | ||
| 47.30 | 50.45 | 67.1% | 0.86 | 0.0032 | -0.018 | 72.5 | 5.80 | 7.45 | 66.6% | -0.14 | 0.0033 | -0.025 | ||||
| 45.50 | 48.75 | 2 | 66.5% | 0.85 | 0.0034 | -0.019 | 75 | 6.10 | 8.25 | 65.6% | -0.15 | 0.0035 | -0.026 | |||
| 44.00 | 46.95 | 1 | 66.2% | 0.83 | 0.0036 | -0.021 | 77.5 | 6.90 | 9.10 | 65.6% | -0.17 | 0.0037 | -0.027 | |||
| 42.50 | 46.00 | 67.3% | 0.82 | 0.0038 | -0.022 | 80 | 8.20 | 9.95 | 9 | 66.3% | -0.18 | 0.0039 | -0.028 | |||
| 40.50 | 43.90 | 65.2% | 0.81 | 0.0040 | -0.024 | 82.5 | 9.05 | 10.90 | 66.2% | -0.19 | 0.0041 | -0.030 | ||||
| 39.10 | 42.45 | 9 | 65.2% | 0.79 | 0.0042 | -0.025 | 85 | 9.95 | 11.90 | 5 | 66.0% | -0.21 | 0.0043 | -0.031 | ||
| 37.65 | 41.05 | 1 | 65.1% | 0.78 | 0.0044 | -0.026 | 87.5 | 10.80 | 12.95 | 65.8% | -0.22 | 0.0045 | -0.032 | |||
| 36.50 | 39.65 | 2 | 65.4% | 0.77 | 0.0045 | -0.028 | 90 | 11.85 | 14.00 | 23 | 65.7% | -0.24 | 0.0047 | -0.033 | ||
| 35.00 | 37.95 | 64.5% | 0.75 | 0.0047 | -0.029 | 92.5 | 12.85 | 15.15 | 7 | 65.5% | -0.25 | 0.0049 | -0.034 | |||
| 33.50 | 36.60 | 6 | 64.0% | 0.74 | 0.0048 | -0.030 | 95 | 13.45 | 16.30 | 64.6% | -0.27 | 0.0050 | -0.035 | |||
| 32.50 | 35.70 | 2 | 64.8% | 0.72 | 0.0050 | -0.031 | 97.5 | 15.05 | 17.55 | 2 | 65.3% | -0.28 | 0.0052 | -0.035 | ||
| 30.50 | 34.05 | 8,464 | 63.0% | 0.71 | 0.0051 | -0.032 | 100 | 16.25 | 18.80 | 104 | 65.2% | -0.30 | 0.0054 | -0.036 | ||
| 28.50 | 31.70 | 38 | 63.2% | 0.68 | 0.0054 | -0.034 | 105 | 18.70 | 21.45 | 65.0% | -0.33 | 0.0056 | -0.038 | |||
| 26.50 | 29.40 | 15 | 63.1% | 0.65 | 0.0056 | -0.036 | 110 | 21.25 | 24.30 | 24 | 64.8% | -0.36 | 0.0059 | -0.039 | ||
| 25.20 | 27.30 | 6 | 63.8% | 0.62 | 0.0058 | -0.037 | 115 | 24.20 | 27.25 | 64.9% | -0.39 | 0.0061 | -0.039 | |||
| 22.55 | 25.45 | 8 | 62.8% | 0.60 | 0.0059 | -0.038 | 120 | 26.95 | 29.85 | 3 | 63.9% | -0.42 | 0.0063 | -0.040 | ||
| 21.05 | 24.00 | 1 | 63.3% | 0.57 | 0.0060 | -0.038 | 125 | 30.20 | 33.25 | 64.2% | -0.45 | 0.0065 | -0.040 | |||
| 19.90 | 21.85 | 3 | 22 | 63.1% | 0.54 | 0.0061 | -0.039 | 130 | 33.45 | 36.50 | 64.0% | -0.48 | 0.0066 | -0.040 | ||
| 17.55 | 20.45 | 1 | 62.1% | 0.51 | 0.0062 | -0.039 | 135 | 36.75 | 39.90 | 63.7% | -0.51 | 0.0067 | -0.040 | |||
| 16.40 | 18.85 | 13 | 62.1% | 0.49 | 0.0062 | -0.039 | 140 | 40.45 | 43.00 | 63.3% | -0.53 | 0.0068 | -0.040 | |||
| 15.70 | 17.55 | 11 | 62.7% | 0.46 | 0.0062 | -0.039 | 145 | 43.25 | 46.70 | 62.2% | -0.56 | 0.0068 | -0.039 | |||
| 13.20 | 16.10 | 5 | 10 | 60.7% | 0.44 | 0.0061 | -0.039 | 150 | 47.00 | 50.40 | 62.1% | -0.59 | 0.0068 | -0.038 | ||
| 13.10 | 15.05 | 62.0% | 0.42 | 0.0061 | -0.039 | 155 | 50.75 | 54.45 | 62.2% | -0.61 | 0.0068 | -0.038 | ||||
| 12.35 | 14.00 | 62.2% | 0.39 | 0.0060 | -0.038 | 160 | 55.20 | 58.20 | 62.5% | -0.64 | 0.0068 | -0.037 | ||||
| 10.45 | 13.75 | 127 | 61.8% | 0.37 | 0.0059 | -0.038 | 165 | 59.15 | 62.25 | 62.4% | -0.66 | 0.0068 | -0.036 | |||
Отображаемые страйки: в пределах ±50% от цены базового актива. Внутренняя стоимость = max(0, цена − страйк) для call, max(0, страйк − цена) для put; внешняя = цена опциона − внутренняя стоимость. Греки и IV, рассчитанные на основе биржевого фида.
Улыбка волатильности — Aug 20, 2027
Страница волатильности →Подразумеваемая волатильность по страйку для данного срока экспирации. Путы вне денег обычно имеют более высокую IV, чем коллы, — это и есть скос.