期权异动网站

https://www.barchart.com/options/unusual-activity/stocks

Delta

衡量期权价格对标的资产价格变动的敏感度的指标。它表示标的资产价格每变动一个单位，期权价格预期会变动多少。

取值范围：
看涨期权（Call Option）：Delta 范围在 0, 1 之间。
看跌期权（Put Option）：Delta 范围在 −1, 0 之间。
意义：
Delta 接近 1 或 -1：期权价格几乎与标的资产价格同步变动。
Delta 接近 0：期权价格对标的资产价格变动不敏感。

隐含波动率（Implied Volatility）

一、定义
隐含波动率 是市场对期权在未来一段时间内价格波动的预期估计。它反映了市场参与者对标的资产未来波动性的预期。

二、关键点
计算方式：
隐含波动率是通过期权定价模型（如 Black-Scholes 模型）反推出来的。
它是将期权的市场价格代入模型后，解出的波动率数值。
与历史波动率的区别：
历史波动率：基于标的资产过去的价格波动计算得出。
隐含波动率：基于期权市场价格，反映市场对未来波动的预期。

未平仓合约数"（Open Interest）

一、定义
“未平仓合约数” 是指在某一交易日结束时，市场上所有尚未通过相反交易平仓的合约总数。它反映了市场上未平仓合约的规模。

二、关键点
计算方法：未平仓合约数 = 买入合约数 - 卖出合约数（或相反）。
意义：
衡量市场的活跃度和流动性。
高未平仓合约数通常表明市场参与者多，交易活跃。
低未平仓合约数可能表明市场兴趣较低或流动性不足。

市场波动的影响
在高波动市场中，期权异动可能更频繁，但信号噪音也更多，导致胜率降低。相反，在低波动市场中，异动信号可能更稀有但更可靠。期权卖方的胜率通常高于买方（可能达到60%-80%），因为卖方可以通过时间价值的衰减获利，而买方需要标的资产大幅波动才能盈利。

Delta Imbalance 的定义

Delta Imbalance 是指市场中看涨期权和看跌期权的 Delta 值总和不平衡的状态。
当看涨期权的 Delta 总和显著高于看跌期权的 Delta 总和时，称为正 Delta Imbalance；反之，称为负 Delta Imbalance。
3. Delta Imbalance 的影响
市场方向性: 正 Delta Imbalance 可能表明市场看涨情绪较强，而负 Delta Imbalance 可能表明市场看跌情绪较强。

波动率分析：IV / HV /IV Rank /IV Percentile

隐含波动率（IV）反映市场对股票潜在价格波动的预测。该指标通过标准定价模型，综合股票现价、期权溢价、利率及剩余行权时间等已知变量计算得出。本质上，IV是衡量期权价格的重要标尺：其他条件相同时，高IV意味着期权价格昂贵，低IV则代表价格相对低廉。投资者常采取"低IV买入，高IV卖出"的策略，通过Delta中性操作规避股价方向性风险。但需注意，IV并无统一基准，其高低需结合个股特性判断——交易活跃但波动平缓的股票，30%的IV可能已属高位；而交投清淡但波动剧烈的股票，80%的IV或许仍处低位。因此，IV本身不能孤立预示未来波动幅度。

为有效评估隐含波动率水平，moomoo波动率分析模块提供四项核心指标：IV（隐含波动率）、HV（历史波动率）、IV Rank（波动率排名）和IV Percentile（波动率分位）。该功能综合期权链各合约IV值，反映标的股票整体波动水平，而非单一期权合约的波动特征。

功能详解

访问路径
标的证券详情页 > 期权 > 分析 > 波动率分析

指标解析

隐含波动率（IV）

衡量期权市场对标的证券未来30日波动预期的综合指标，通过期权链各合约IV加权计算得出。该数值既反映期权链的溢价水平，也预示标的证券潜在波动空间。需注意IV具有动态性，随市场对未来价格走向的预期变化而实时波动。

历史波动率（HV）

统计标的证券过去30日的实际价格波动幅度。HV值越高，表明近期价格震荡越剧烈；数值越低，则显示价格走势相对平稳。

IV Rank

通过对比当前IV与过去52周波动区间，以0-100分制量化其相对位置。计算方式：
IV Rank = (当前IV - 52周最低IV)/(52周最高IV - 52周最低IV)*100
例如：某股52周IV区间为30%-60%，当前IV为45%，则IV Rank=50。

IV Percentile

统计当前IV在过去一年交易日中的相对位置。计算方式：
IV分位 = 过去一年IV低于当前值的天数/总交易日数*100
例如：80%的IV分位意味着当前IV高于过去一年中80%交易日的波动水平。

应用案例

以XYZ股票为例（假设数据）：
HV=40.50%：过去30日价格偏离均值波动达40.5%
IV=32.50%：表面看低于HV，暗示预期波动小于历史表现
IV Rank=60：当前IV处于52周波动区间的60%分位
IV Percentile=78.50%：当前IV高于过去一年78.5%交易日的水平
此案例揭示重要洞见：虽然IV绝对值低于HV，但结合IV Rank和IV Percentile可发现，当前波动率实际处于历史较高水平。这凸显多指标联合分析的重要性。

Volatility Analysis: IV / HV / IV Rank / IV Percentile
Implied volatility (IV) measures the market’s forecast of a stock’s potential price changes.

It is calculated using known variables such as the stock’s current price, option premiums, interest rates, and the time remaining until option expiration, typically through a standard pricing model.

In essence, IV helps gauge the cost of options:

high IV suggests they’re pricier, while low IV indicates they’re less expensive, all other factors being equal.

Investors often adopt a strategy of buying options when IV is low and selling when it’s high, aiming to stay delta neutral—unaffected by the stock’s direction.

However, there’s no universal benchmark for IV, its interpretation varies across stocks：

For frequently traded stocks with minor price movements, a 30% IV could indicate high volatility.

In contrast, for less traded stocks with large price swings, an 80% IV might be deemed low.

Thus, IV doesn’t offer a one-size-fits-all prediction of a stock’s future movement.

To help determine if implied volatility (IV) stands at a high or low level, use moomoo’s Volatility Analysis.

This feature encompasses four metrics:

Implied Volatility (IV), Historical Volatility (HV), IV Rank, and IV Percentile.

It weighs the IV of individual options, reflecting the stock’s overall volatility rather than that of a single option.

Let’s now delve into how to use this feature.

1. How to find [Volatility Analysis] on moomoo
   Detailed Quotes of underlying stock > Options > Analysis > Volatility Analysis

2. Indicator Explained
   What is Implied Volatility (IV)?

Implied Volatility (IV) is a metric that represents the options market’s forecast of a stock’s volatility over the next 30 days.

It’s calculated by aggregating the IV of various options within the options chain to indicate the stock’s Total IV.

This figure sheds light on expected price fluctuations that could happen for both the options chain and the underlying stock.

Keep in mind that IV constantly fluctuates because options prices are always changing, depending on how the market anticipates future price moves.

What is Historical Volatility (HV)?

Historical Volatility (HV) measures how much a stock’s price has moved in the last 30 days.

A high HV means the price has varied widely, indicating more volatility.

A low HV indicates minor price changes, suggesting stability.

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What is IV Rank?

Total IV Rank compares the current IV to the stock’s IV range over the past year, scoring it from 0 to 100.

A rank of 0 means the IV is at its lowest for the year, and 100 is the highest.

To calculate IV Rank:

IV Rank = (Current IV - 1 Year IV Low) / (1 Year IV High - 1 Year IV Low)*100

For instance, if a stock’s IV was between 30 and 60 last year and is 45 now, its IV Rank would be 50.

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What is IV Percentile?

IV Percentile measures how often the current IV has been exceeded in the past year.

It’s calculated by counting number of the days over the last year when the IV was below the current level, then dividing by the total number of trading days.

IV Pctl = Number of Days with Lower Than Current IV / Number of Trading Days

For example, an 80% IV Percentile means the current IV is higher than 80% of the days in the past year, indicating high volatility now.

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3. Example
   From the chart below, we can infer the following information about XYZ stock:

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HV = 40.50%. This tells us that over the past 30 days, the price of XYZ stock has varied by 40.50% from its average.

IV = 32.50%. At first glance, this number is lower than HV, which might imply that the expected future volatility is less than what was experienced historically.

This could lead one to believe the stock’s IV is currently low.

However, when we consider IV Rank and IV Percentile:

IV Rank = 60. This indicates that the current IV is higher than 60% of its values over the past year, placing it in the upper middle range.

Despite the IV being lower than HV, this rank shows that the IV is relatively high based on its own historical range.

IV Percentile = 78.50%. This figure suggests that the current IV is higher than what was observed on 78.50% of the days in the past year.

confirming that the current volatility is relatively high.

As we can see, it’s important to analyze these indicators together to make more informed trading decisions.

Keep in mind that implied volatility values, IV Rankings, and IV Percentiles are theoretical estimates, and the actual market conditions may not always align with the theoretical information shown.

Therefore, traders should exercise caution and use multiple sources of information when making investment decisions.

There is no guarantee or assurance that the use of any tools or data provided on the moomoo app will result in investment success or reduce investment risk.