ETF · 期权分析
EFA 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $104.36
- 30D ATM IV
- 16.76%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +3.73
- 期限斜率 90/30
- 0.991
▼ -1.09 pts 较前一交易日
本交易日部分指标不可用
概览
EFA 期权当前计入的 30 天平值隐含波动率为 16.8%,相当于未来一个月约 ±4.8% 的波动。它在本站的历史只有 341 个交易日,不到计算百分位所需的 180 个,所以这个读数还没有和它自己的过去作比较。
它的 25-delta put 比 call 的隐含波动率高 3.73 个波动率点。
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ⓘ
- 16.76%
- 25-delta 风险逆转ⓘ
- +3.73
- 25-delta 蝶式价差ⓘ
- +0.38
- 期限结构斜率ⓘ
- 0.991
对应 30 天内约 ±4.8% 的波动，平常一天约 ±1.1%。
距平值同样远时，put 比 call的隐含波动率高 3.73 个点。
两翼的隐含波动率比平值高 0.38 个点。
90 天与 30 天期权的隐含波动率大致相同。
30 天隐含波动率处在什么位置
对比此前 48 个交易日(一年窗口)
这个窗口内的历史不足,无法定位当前读数。
- IV 百分位,1 年
- —
- IV 排名,1 年
- —
- IV 百分位,2 年
- —
- IV 排名,2 年
- —
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
- $104.36
- 30 天隐含远期价
- $104.31
- 60 天 ATM IV
- 16.63%
- 90 天 ATM IV
- 16.61%
- 180 天 ATM IV
- —
- 使用的到期日数
- 8
- 总未平仓量
- 751,904
- Put / call 未平仓量比
- 2.07
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 | 16.76% | +3.73 | 0.991 | $104.36 |
| 2026-11-09 | 17.85% | +2.72 | — | $104.96 |
| 2026-11-06 | 18.09% | +4.05 | 0.982 | $101.89 |
| 2026-11-05 | — | — | — | $102.70 |
| 2026-11-04 | 14.71% | +2.97 | 1.062 | $105.72 |
| 2026-11-03 | 16.09% | +3.10 | 0.955 | $103.08 |
| 2026-11-02 | 15.83% | +3.42 | — | $103.70 |
| 2026-10-30 | 15.43% | +4.23 | 1.008 | $103.37 |
| 2026-10-29 | 13.39% | +3.74 | 1.136 | $104.35 |
| 2026-10-28 | — | — | — | $103.68 |
| 2026-10-27 | 14.67% | +3.48 | 1.064 | $103.59 |
| 2026-10-26 | 15.14% | +3.51 | 1.043 | $102.91 |
| 2026-10-23 | 15.49% | +3.90 | 1.027 | $102.63 |
| 2026-10-22 | 14.11% | +4.32 | — | $103.15 |
| 2026-10-21 | 14.08% | +2.94 | 1.012 | $104.06 |
| 2026-10-20 | 14.54% | +3.54 | 1.001 | $103.69 |
| 2026-10-19 | 14.11% | +2.91 | 1.047 | $102.87 |
| 2026-10-16 | 14.75% | +3.21 | 1.012 | $103.55 |
| 2026-10-15 | 14.06% | +3.62 | 1.044 | $103.67 |
| 2026-10-14 | 14.68% | +3.96 | 1.011 | $102.75 |
| 2026-10-13 | 14.58% | +3.51 | 0.999 | $103.47 |
| 2026-10-09 | 13.65% | +2.39 | 1.058 | $103.40 |
| 2026-10-08 | 14.64% | +3.90 | 1.041 | $102.70 |
| 2026-10-07 | 13.50% | +2.94 | 1.107 | $103.10 |
| 2026-10-06 | 14.16% | +2.76 | 1.034 | $104.22 |
| 2026-10-05 | 14.58% | +2.23 | — | $104.03 |
| 2026-10-02 | 15.34% | +3.11 | 0.999 | $103.96 |
| 2026-10-01 | 16.76% | +5.08 | — | $102.82 |
| 2026-09-30 | 14.84% | +6.07 | 1.071 | $103.89 |
| 2026-09-29 | 14.56% | +3.27 | — | $104.54 |
| 2026-09-28 | 14.59% | +2.58 | — | $105.04 |
| 2026-09-25 | 14.44% | +2.91 | — | $105.56 |
| 2026-09-24 | 14.37% | +3.17 | 1.070 | $104.50 |
| 2026-09-23 | 14.05% | +3.36 | 1.079 | $104.80 |
| 2026-09-22 | 13.28% | +2.79 | 1.092 | $106.50 |
| 2026-09-21 | 13.31% | +2.63 | 1.113 | $106.13 |
| 2026-09-18 | 13.40% | +3.31 | 1.124 | $104.97 |
| 2026-09-17 | 13.69% | +2.96 | 1.090 | $106.04 |
| 2026-09-16 | 14.79% | +3.67 | 1.055 | $105.02 |
| 2026-09-15 | — | — | — | $105.40 |
| 2026-09-14 | — | — | — | $105.85 |
| 2026-09-11 | — | — | — | $106.70 |
| 2026-09-10 | — | — | — | $105.66 |
| 2026-09-09 | — | — | — | $106.56 |
| 2026-09-08 | — | — | — | $107.76 |
| 2026-09-04 | — | — | — | $108.35 |
| 2026-09-03 | — | — | — | $108.21 |
| 2026-09-02 | — | — | — | $107.06 |
| 2026-09-01 | — | — | — | $106.49 |
| 2026-08-31 | — | — | — | $107.45 |
| 2026-08-28 | — | — | — | $107.72 |
| 2026-08-27 | — | — | — | $108.02 |
| 2026-08-26 | — | — | — | $108.27 |
| 2026-08-25 | — | — | — | $108.81 |
| 2026-08-24 | — | — | — | $108.03 |
| 2026-08-21 | — | — | — | $108.24 |
| 2026-08-20 | — | — | — | $107.35 |
| 2025-10-22 | — | — | — | $94.45 |
| 2025-10-21 | — | — | — | $94.59 |
| 2025-10-20 | — | — | — | $95.29 |
| 2025-10-17 | — | — | — | $94.51 |
| 2025-10-16 | — | — | — | $94.34 |
| 2025-10-15 | 15.40% | +3.99 | 1.021 | $93.85 |
| 2025-10-14 | — | — | — | $93.40 |
| 2025-10-10 | — | — | — | $92.24 |
| 2025-10-09 | — | — | — | $93.97 |
| 2025-10-08 | 12.67% | +1.97 | — | $94.75 |
| 2025-10-07 | — | — | — | $94.47 |
| 2025-10-06 | — | — | — | $95.30 |
| 2025-10-03 | — | — | — | $95.08 |
| 2025-10-02 | — | — | — | $94.29 |
| 2025-10-01 | — | — | — | $94.14 |
| 2025-09-30 | — | — | — | $93.37 |
| 2025-09-29 | 11.88% | +4.15 | 1.176 | $92.99 |
| 2025-09-26 | — | — | — | $92.63 |
| 2025-09-25 | — | — | — | $91.92 |
| 2025-09-24 | — | — | — | $92.58 |
| 2025-09-23 | — | — | — | $93.12 |
| 2025-09-22 | — | — | — | $93.30 |
| 2025-09-19 | — | — | — | $93.00 |
| 2025-09-18 | — | — | — | $93.36 |
| 2025-09-17 | — | — | — | $93.00 |
| 2025-09-16 | — | — | — | $93.35 |
| 2025-09-15 | — | — | — | $93.61 |
| 2025-09-12 | — | — | — | $92.99 |
| 2025-09-11 | 11.63% | +2.31 | — | $93.36 |
| 2025-09-10 | — | — | — | $92.38 |
| 2025-09-09 | — | — | — | $92.40 |
| 2025-09-08 | — | — | — | $92.71 |
| 2025-09-05 | — | — | — | $91.79 |
| 2025-09-04 | — | — | — | $91.38 |
| 2025-09-03 | — | — | — | $90.72 |
| 2025-09-02 | — | — | — | $90.58 |
| 2025-08-29 | — | — | — | $91.48 |
| 2025-08-28 | — | — | — | $92.02 |
| 2025-08-27 | — | — | — | $91.68 |
| 2025-08-26 | — | — | — | $91.90 |
| 2025-08-25 | 12.55% | +2.59 | 1.040 | $92.00 |
| 2025-08-22 | — | — | — | $93.23 |
| 2025-08-21 | — | — | — | $91.85 |
| 2025-08-20 | — | — | — | $92.43 |
| 2025-08-19 | — | — | — | $92.10 |
| 2025-08-18 | — | — | — | $92.09 |
| 2025-08-15 | 13.79% | +3.69 | 0.953 | $92.19 |
| 2025-08-14 | — | — | — | $91.65 |
| 2025-08-13 | — | — | — | $91.64 |
| 2025-08-12 | — | — | — | $91.09 |
| 2025-08-11 | — | — | — | $89.99 |
| 2025-08-08 | — | — | — | $90.37 |
| 2025-08-07 | — | — | — | $89.82 |
| 2025-08-06 | — | — | — | $89.02 |
| 2025-08-05 | — | — | — | $88.44 |
| 2025-08-04 | — | — | — | $88.45 |
| 2025-08-01 | — | — | — | $87.29 |
| 2025-07-31 | — | — | — | $87.52 |
| 2025-07-30 | — | — | — | $88.47 |
| 2025-07-29 | — | — | — | $89.11 |
| 2025-07-28 | — | — | — | $89.29 |
| 2025-07-25 | — | — | — | $90.75 |
| 2025-07-24 | — | — | — | $90.86 |
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 | — | 15.69% | — |
| 10Δ 看涨 | 17.26% | 15.57% | — |
| 15Δ 看涨 | 17.46% | 15.33% | 14.72% |
| 20Δ 看涨 | 17.57% | 15.67% | 14.84% |
| 25Δ 看涨 | 17.61% | 15.71% | 14.92% |
| 30Δ 看涨 | 17.47% | 15.83% | 15.06% |
| 35Δ 看涨 | 17.40% | 16.31% | 15.42% |
| 40Δ 看涨 | 17.52% | 16.37% | 15.66% |
| 45Δ 看涨 | 17.73% | 16.56% | 15.87% |
| ATM | 18.04% | 16.90% | 16.08% |
| 45Δ 看跌 | 18.49% | 17.31% | 16.78% |
| 40Δ 看跌 | 18.92% | 17.71% | 16.88% |
| 35Δ 看跌 | 19.34% | 18.22% | 16.87% |
| 30Δ 看跌 | 19.90% | 18.84% | 17.28% |
| 25Δ 看跌 | 20.64% | 19.45% | 17.86% |
| 20Δ 看跌 | 21.28% | 20.18% | 19.53% |
| 15Δ 看跌 | 22.85% | 20.48% | 20.58% |
| 10Δ 看跌 | 25.14% | 21.64% | 22.37% |
| 5Δ 看跌 | — | 27.55% | — |
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 | $104.31 | 18.04% | 20.64% | 17.61% | +3.04 | +1.08 | 13 |
| 2026-11-20 | 10 | $104.33 | 16.90% | 19.45% | 15.71% | +3.75 | +0.68 | 25 |
| 2026-11-27 | 17 | $104.39 | 16.08% | 17.86% | 14.92% | +2.94 | +0.31 | 20 |
| 2026-11-30 | 20 | $104.42 | 15.74% | 18.28% | 14.40% | +3.88 | +0.61 | 12 |
| 2026-12-04 | 24 | $104.39 | 16.04% | 18.29% | 15.58% | +2.71 | +0.89 | 23 |
| 2026-12-18 | 38 | $104.21 | 17.34% | 19.59% | 15.01% | +4.58 | -0.04 | 17 |
| 2027-01-15 | 66 | $104.14 | 16.52% | 19.83% | 15.53% | +4.30 | +1.16 | 20 |
| 2027-03-19 | 129 | $104.59 | 16.68% | 18.85% | 16.28% | +2.57 | +0.89 | 23 |
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 | $104.31 | 18.04% | $104.32 | 13 |
| 2026-11-20 | 10 天 | $104.33 | 16.90% | $104.38 | 25 |
| 2026-11-27 | 17 天 | $104.39 | 16.08% | $104.45 | 20 |
| 2026-11-30 | 20 天 | $104.42 | 15.74% | $104.49 | 12 |
| 2026-12-04 | 24 天 | $104.39 | 16.04% | $104.48 | 23 |
| 2026-12-18 | 38 天 | $104.21 | 17.34% | $104.37 | 17 |
| 2027-01-15 | 66 天 | $104.14 | 16.52% | $104.39 | 20 |
| 2027-03-19 | 129 天 | $104.59 | 16.68% | $105.11 | 23 |
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
- 16.76%
- 60 天
- 16.63%
- 90 天
- 16.61%
- 180 天
- —
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。