ETF · 期权分析
EEM 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $60.57
- 30D ATM IV
- 29.43%
- IV 百分位 · 1年
- 第 99
- 25Δ 风险逆转
- +4.76
- 期限斜率 90/30
- 0.920
▲ +0.74 pts 较前一交易日
概览
EEM 期权当前计入的 30 天平值隐含波动率为 29.4%,相当于未来一个月约 ±8.4% 的波动。这高于它过去一年 227 个交易日中 99% 的读数。
它的 25-delta put 比 call 的隐含波动率高 4.76 个波动率点,过去一年里只有 7% 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 8%。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ⓘ
- 29.43%
- 25-delta 风险逆转ⓘ
- +4.76
- 25-delta 蝶式价差ⓘ
- +0.28
- 期限结构斜率ⓘ
- 0.920
对应 30 天内约 ±8.4% 的波动，平常一天约 ±1.9%。
高于过去一年几乎所有的读数。
距平值同样远时，put 比 call的隐含波动率高 4.76 个点。
高于过去一年中 93% 的读数。
两翼的隐含波动率比平值高 0.28 个点。
90 天的隐含波动率比 30 天低 8%。
高于过去一年中 7% 的读数。
30 天隐含波动率处在什么位置
对比此前 227 个交易日(一年窗口)
- IV 百分位,1 年
- 99%
- IV 排名,1 年
- 78%
- IV 百分位,2 年
- 99%
- IV 排名,2 年
- 78%
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
- $60.57
- 30 天隐含远期价
- $60.49
- 60 天 ATM IV
- 27.39%
- 90 天 ATM IV
- 27.08%
- 180 天 ATM IV
- 27.29%
- 使用的到期日数
- 8
- 总未平仓量
- 2,799,013
- Put / call 未平仓量比
- 2.73
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 341 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 | 29.43% | +4.76 | 0.920 | $60.57 |
| 2026-11-09 | 28.69% | +5.89 | 0.956 | $61.03 |
| 2026-11-06 | 30.02% | +5.47 | 0.942 | $59.33 |
| 2026-11-05 | 34.33% | +7.11 | 0.856 | $58.05 |
| 2026-11-04 | 26.35% | +3.17 | 0.976 | $61.62 |
| 2026-11-03 | 27.90% | +5.87 | 0.924 | $61.10 |
| 2026-11-02 | 28.91% | +4.53 | 0.906 | $61.11 |
| 2026-10-30 | 27.63% | +6.25 | 0.953 | $61.04 |
| 2026-10-29 | 24.61% | +3.81 | 0.989 | $62.72 |
| 2026-10-28 | 25.34% | +3.67 | — | $63.52 |
| 2026-10-27 | 24.90% | +3.21 | 1.005 | $62.52 |
| 2026-10-26 | 26.14% | +4.34 | 0.944 | $61.82 |
| 2026-10-23 | 26.15% | +4.97 | 0.929 | $62.01 |
| 2026-10-22 | 26.07% | +4.26 | 0.922 | $61.72 |
| 2026-10-21 | 24.14% | +3.68 | 0.977 | $63.57 |
| 2026-10-20 | 24.11% | +3.39 | 0.966 | $63.32 |
| 2026-10-19 | 24.30% | +4.20 | 0.972 | $63.31 |
| 2026-10-16 | 24.52% | +3.86 | 0.966 | $62.85 |
| 2026-10-15 | 23.00% | +3.84 | 0.995 | $63.96 |
| 2026-10-14 | 21.98% | +3.88 | 1.026 | $64.39 |
| 2026-10-13 | 20.59% | +2.39 | 1.055 | $65.74 |
| 2026-10-09 | 20.59% | +2.65 | 1.096 | $66.80 |
| 2026-10-08 | 21.43% | +2.80 | 1.052 | $66.10 |
| 2026-10-07 | 21.52% | +2.70 | 1.081 | $67.37 |
| 2026-10-06 | 21.34% | +2.58 | 1.052 | $68.27 |
| 2026-10-05 | 21.52% | +1.51 | 1.066 | $68.73 |
| 2026-10-02 | 22.73% | +2.53 | 1.048 | $67.67 |
| 2026-10-01 | 23.54% | +3.96 | 1.045 | $66.81 |
| 2026-09-30 | 22.89% | +3.56 | 1.058 | $66.79 |
| 2026-09-29 | 22.95% | +2.96 | 1.063 | $67.40 |
| 2026-09-28 | 22.77% | +3.53 | 1.060 | $67.20 |
| 2026-09-25 | 23.02% | +1.67 | 0.927 | $67.98 |
| 2026-09-24 | 22.68% | +2.70 | 1.080 | $67.25 |
| 2026-09-23 | 22.98% | +3.11 | 1.035 | $67.71 |
| 2026-09-22 | 22.32% | +3.01 | 1.074 | $69.10 |
| 2026-09-21 | 22.92% | +2.54 | 1.049 | $68.83 |
| 2026-09-18 | 22.11% | +2.48 | 1.090 | $67.03 |
| 2026-09-17 | 22.61% | +3.02 | 1.063 | $66.91 |
| 2026-09-16 | 24.13% | +3.35 | 1.054 | $65.72 |
| 2026-09-15 | 22.81% | +2.61 | 1.095 | $65.76 |
| 2026-09-14 | 23.58% | +1.97 | 1.038 | $65.99 |
| 2026-09-11 | 22.34% | +2.41 | 1.061 | $67.84 |
| 2026-09-10 | 23.27% | +4.08 | 1.052 | $67.00 |
| 2026-09-09 | 22.14% | +3.73 | 1.078 | $68.48 |
| 2026-09-08 | 21.82% | +2.32 | 1.094 | $68.83 |
| 2026-09-04 | 19.95% | +2.99 | — | $68.70 |
| 2026-09-03 | 19.81% | +2.23 | 1.096 | $67.47 |
| 2026-09-02 | 20.24% | +3.00 | 1.099 | $67.15 |
| 2026-09-01 | 20.91% | +2.59 | 1.063 | $66.77 |
| 2026-08-31 | 21.44% | +3.28 | 1.075 | $67.02 |
| 2026-08-28 | 22.17% | +2.22 | 1.058 | $67.14 |
| 2026-08-27 | 20.82% | +2.71 | 1.081 | $67.61 |
| 2026-08-26 | 22.49% | +1.22 | 1.053 | $67.17 |
| 2026-08-25 | 23.22% | +2.37 | 1.066 | $67.25 |
| 2026-08-24 | 24.33% | +4.15 | 1.017 | $66.11 |
| 2026-08-21 | 23.33% | +2.45 | 1.097 | $67.12 |
| 2026-08-20 | 24.95% | +2.35 | 1.021 | $66.62 |
| 2025-10-22 | 18.24% | +5.49 | 0.954 | $54.26 |
| 2025-10-21 | 17.85% | +4.62 | 0.999 | $54.31 |
| 2025-10-20 | 17.80% | +7.23 | 0.990 | $54.92 |
| 2025-10-17 | 21.22% | +4.19 | 0.885 | $54.18 |
| 2025-10-16 | 22.47% | +5.32 | 0.874 | $54.19 |
| 2025-10-15 | 21.73% | +5.66 | 0.884 | $53.84 |
| 2025-10-14 | 20.89% | +2.73 | 0.944 | $52.97 |
| 2025-10-10 | 20.96% | +4.69 | 0.993 | $51.94 |
| 2025-10-09 | 16.06% | +1.33 | 1.084 | $53.93 |
| 2025-10-08 | 15.31% | +1.61 | 1.108 | $54.49 |
| 2025-10-07 | 17.03% | +1.69 | 0.975 | $54.06 |
| 2025-10-06 | 15.40% | +0.77 | 1.067 | $54.48 |
| 2025-10-03 | 14.65% | +0.58 | 1.191 | $54.23 |
| 2025-10-02 | 15.84% | +1.25 | 1.078 | $54.07 |
| 2025-10-01 | 15.09% | +1.86 | 1.120 | $53.82 |
| 2025-09-30 | 15.89% | +3.01 | 1.013 | $53.40 |
| 2025-09-29 | 16.43% | +0.52 | 1.000 | $53.19 |
| 2025-09-26 | 15.07% | +1.87 | 1.093 | $52.71 |
| 2025-09-25 | 15.35% | +1.43 | 1.074 | $52.81 |
| 2025-09-24 | 15.50% | +0.92 | 1.083 | $53.12 |
| 2025-09-23 | 16.22% | +1.00 | 1.015 | $53.30 |
| 2025-09-22 | 15.16% | +1.31 | 1.046 | $53.27 |
| 2025-09-19 | 14.53% | +1.30 | 1.053 | $53.01 |
| 2025-09-18 | 15.08% | +2.70 | 1.046 | $53.13 |
| 2025-09-17 | 14.36% | -0.42 | 1.089 | $53.26 |
| 2025-09-16 | 15.13% | +2.81 | 1.061 | $53.03 |
| 2025-09-15 | 14.25% | +0.81 | 1.045 | $52.64 |
| 2025-09-12 | 14.56% | +0.28 | 1.028 | $52.26 |
| 2025-09-11 | 14.21% | +1.06 | 1.078 | $52.29 |
| 2025-09-10 | 14.06% | +1.71 | 1.064 | $51.54 |
| 2025-09-09 | 14.02% | +0.90 | 1.058 | $51.19 |
| 2025-09-08 | 13.31% | +1.59 | 1.066 | $50.91 |
| 2025-09-05 | 12.70% | +0.78 | 1.120 | $50.45 |
| 2025-09-04 | 13.90% | +1.15 | 0.961 | $49.85 |
| 2025-09-03 | 13.26% | +1.37 | 1.065 | $50.01 |
| 2025-09-02 | 14.17% | +2.45 | 1.041 | $49.82 |
| 2025-08-29 | 14.13% | +2.65 | 1.016 | $49.86 |
| 2025-08-28 | 14.19% | +1.74 | 0.991 | $50.10 |
| 2025-08-27 | 13.72% | +1.33 | 1.039 | $49.91 |
| 2025-08-26 | 14.04% | +1.87 | 1.001 | $50.21 |
| 2025-08-25 | 14.06% | +0.19 | 0.990 | $50.34 |
| 2025-08-22 | 13.77% | +2.47 | 0.952 | $50.63 |
| 2025-08-21 | 14.66% | +1.39 | 1.002 | $49.64 |
| 2025-08-20 | 13.80% | +0.92 | 1.012 | $49.75 |
| 2025-08-19 | 13.55% | +1.46 | 1.040 | $49.82 |
| 2025-08-18 | 13.35% | +1.19 | 1.024 | $50.23 |
| 2025-08-15 | 11.74% | +1.54 | 1.184 | $49.94 |
| 2025-08-14 | 13.68% | +1.49 | 1.048 | $49.88 |
| 2025-08-13 | 13.47% | +1.70 | 1.088 | $50.50 |
| 2025-08-12 | 12.91% | +1.86 | 1.095 | $49.90 |
| 2025-08-11 | 13.92% | +2.03 | 1.044 | $49.30 |
| 2025-08-08 | 13.46% | +1.44 | 1.078 | $49.44 |
| 2025-08-07 | 14.04% | +2.39 | 1.024 | $49.48 |
| 2025-08-06 | 13.71% | +2.46 | 1.093 | $49.07 |
| 2025-08-05 | 14.35% | +1.92 | 1.061 | $48.84 |
| 2025-08-04 | 14.54% | +2.39 | 1.025 | $48.70 |
| 2025-08-01 | 15.45% | +3.04 | 1.045 | $48.20 |
| 2025-07-31 | 15.41% | +2.82 | 0.974 | $48.56 |
| 2025-07-30 | 15.21% | +3.22 | 0.987 | $48.84 |
| 2025-07-29 | 14.26% | +2.02 | 1.046 | $49.20 |
| 2025-07-28 | 14.63% | +2.09 | 1.018 | $49.18 |
| 2025-07-25 | 14.09% | +1.55 | 1.034 | $49.51 |
| 2025-07-24 | 14.46% | +1.99 | 1.036 | $49.66 |
图表覆盖存档中的全部交易日,共 341 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 341 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 | — | — | 27.72% |
| 10Δ 看涨 | 32.09% | — | 27.28% |
| 15Δ 看涨 | 31.28% | 28.76% | 26.93% |
| 20Δ 看涨 | 31.51% | 28.73% | 27.60% |
| 25Δ 看涨 | 31.35% | 28.74% | 27.19% |
| 30Δ 看涨 | 31.20% | 28.90% | 27.20% |
| 35Δ 看涨 | 31.96% | 29.30% | 27.47% |
| 40Δ 看涨 | 33.01% | 29.77% | 28.05% |
| 45Δ 看涨 | 33.57% | 30.16% | 28.44% |
| ATM | 33.98% | 30.57% | 28.82% |
| 45Δ 看跌 | 34.35% | 31.12% | 29.46% |
| 40Δ 看跌 | 34.81% | 31.62% | 30.10% |
| 35Δ 看跌 | 35.54% | 31.71% | 30.74% |
| 30Δ 看跌 | 36.72% | 32.97% | 31.70% |
| 25Δ 看跌 | 38.10% | 34.19% | 32.74% |
| 20Δ 看跌 | 39.11% | 35.29% | 33.05% |
| 15Δ 看跌 | 39.87% | 37.29% | 35.69% |
| 10Δ 看跌 | 41.17% | 39.83% | — |
| 5Δ 看跌 | 45.80% | 42.49% | — |
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 | $60.55 | 33.98% | 38.10% | 31.35% | +6.76 | +0.75 | 11 |
| 2026-11-20 | 10 | $60.64 | 30.57% | 34.19% | 28.74% | +5.45 | +0.90 | 19 |
| 2026-11-27 | 17 | $60.62 | 28.82% | 32.74% | 27.19% | +5.55 | +1.15 | 15 |
| 2026-12-04 | 24 | $60.66 | 28.77% | 31.32% | 27.00% | +4.32 | +0.39 | 23 |
| 2026-12-18 | 38 | $60.26 | 29.98% | 32.72% | 27.61% | +5.11 | +0.18 | 27 |
| 2027-01-15 | 66 | $60.34 | 26.96% | 31.10% | 26.84% | +4.26 | +2.01 | 34 |
| 2027-03-19 | 129 | $60.82 | 27.18% | 29.87% | 24.73% | +5.14 | +0.12 | 19 |
| 2027-06-17 | 219 | $61.13 | 27.34% | 29.28% | 24.55% | +4.73 | -0.42 | 20 |
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 | $60.55 | 33.98% | $60.58 | 11 |
| 2026-11-20 | 10 天 | $60.64 | 30.57% | $60.71 | 19 |
| 2026-11-27 | 17 天 | $60.62 | 28.82% | $60.74 | 15 |
| 2026-12-04 | 24 天 | $60.66 | 28.77% | $60.82 | 23 |
| 2026-12-18 | 38 天 | $60.26 | 29.98% | $60.55 | 27 |
| 2027-01-15 | 66 天 | $60.34 | 26.96% | $60.74 | 34 |
| 2027-03-19 | 129 天 | $60.82 | 27.18% | $61.62 | 19 |
| 2027-06-17 | 219 天 | $61.13 | 27.34% | $62.51 | 20 |
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
- 29.43%
- 60 天
- 27.39%
- 90 天
- 27.08%
- 180 天
- 27.29%
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 341 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。