ETF · 期权分析
FXI 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $34.41
- 30D ATM IV
- 21.24%
- IV 百分位 · 1年
- 第 18
- 25Δ 风险逆转
- +1.79
- 期限斜率 90/30
- 1.025
▼ -1.77 pts 较前一交易日
概览
FXI 期权当前计入的 30 天平值隐含波动率为 21.2%,相当于未来一个月约 ±6.1% 的波动。这高于它过去一年 187 个交易日中 18% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.79 个波动率点,大致处在它自己过去一年区间的中部。
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ⓘ
- 21.24%
- 25-delta 风险逆转ⓘ
- +1.79
- 25-delta 蝶式价差ⓘ
- +0.40
- 期限结构斜率ⓘ
- 1.025
对应 30 天内约 ±6.1% 的波动，平常一天约 ±1.3%。
高于过去一年中 18% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.79 个点。
高于过去一年中 83% 的读数。
两翼的隐含波动率比平值高 0.40 个点。
90 天的隐含波动率比 30 天高 3%。
30 天隐含波动率处在什么位置
对比此前 187 个交易日(一年窗口)
- IV 百分位,1 年
- 18%
- IV 排名,1 年
- 10%
- IV 百分位,2 年
- 15%
- IV 排名,2 年
- 9%
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
- $34.41
- 30 天隐含远期价
- $34.53
- 60 天 ATM IV
- 21.55%
- 90 天 ATM IV
- 21.78%
- 180 天 ATM IV
- 22.62%
- 使用的到期日数
- 8
- 总未平仓量
- 2,421,706
- Put / call 未平仓量比
- 1.01
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 339 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 | 21.24% | +1.79 | 1.025 | $34.41 |
| 2026-11-09 | 23.01% | +1.45 | 0.978 | $34.66 |
| 2026-11-06 | 23.95% | +2.14 | 0.955 | $34.95 |
| 2026-11-05 | 24.90% | +0.75 | 0.939 | $34.94 |
| 2026-11-04 | 21.21% | +1.72 | 1.048 | $34.59 |
| 2026-11-03 | 21.29% | +2.13 | 1.051 | $33.19 |
| 2026-11-02 | 22.52% | +1.46 | 1.002 | $33.21 |
| 2026-10-30 | 21.40% | +2.09 | 1.038 | $33.08 |
| 2026-10-29 | 21.02% | +2.51 | 1.042 | $32.69 |
| 2026-10-28 | 22.12% | +2.57 | — | $32.46 |
| 2026-10-27 | 21.51% | +2.61 | 1.080 | $32.50 |
| 2026-10-26 | 21.78% | +1.41 | 1.045 | $32.51 |
| 2026-10-23 | 22.41% | +1.92 | 1.001 | $32.31 |
| 2026-10-22 | 22.74% | +1.64 | 0.977 | $32.45 |
| 2026-10-21 | 20.53% | +0.37 | 1.034 | $32.94 |
| 2026-10-20 | 20.20% | +1.98 | 1.047 | $33.51 |
| 2026-10-19 | 20.21% | +1.36 | 1.021 | $33.53 |
| 2026-10-16 | 19.93% | +1.57 | 1.042 | $33.84 |
| 2026-10-15 | 19.71% | +2.11 | 1.078 | $34.26 |
| 2026-10-14 | 19.87% | +1.67 | 1.036 | $33.86 |
| 2026-10-13 | 20.21% | +2.42 | 1.087 | $34.17 |
| 2026-10-09 | 19.97% | +1.20 | 1.074 | $34.24 |
| 2026-10-08 | 19.09% | +1.30 | 1.143 | $33.45 |
| 2026-10-07 | 19.60% | +0.93 | 1.124 | $33.42 |
| 2026-10-06 | 19.39% | +1.75 | 1.111 | $33.77 |
| 2026-10-05 | 19.49% | +1.11 | 1.144 | $33.85 |
| 2026-10-02 | 19.36% | +0.44 | 1.101 | $33.19 |
| 2026-10-01 | 19.88% | +1.21 | 1.089 | $33.92 |
| 2026-09-30 | 18.97% | +0.81 | 1.114 | $34.02 |
| 2026-09-29 | 19.29% | +1.77 | 1.137 | $33.86 |
| 2026-09-28 | 19.58% | +1.35 | 1.105 | $34.17 |
| 2026-09-25 | 19.67% | +1.30 | 1.098 | $33.96 |
| 2026-09-24 | 20.00% | +0.69 | 1.085 | $34.24 |
| 2026-09-23 | 20.10% | +1.18 | 1.097 | $34.36 |
| 2026-09-22 | 20.87% | +1.78 | 1.102 | $35.00 |
| 2026-09-21 | 21.40% | +1.71 | 1.037 | $34.91 |
| 2026-09-18 | 20.36% | +1.59 | 1.071 | $34.32 |
| 2026-09-17 | 20.66% | +0.64 | 1.044 | $34.19 |
| 2026-09-16 | 20.59% | +1.28 | — | $33.92 |
| 2026-09-15 | — | — | — | $34.40 |
| 2026-09-14 | — | — | — | $34.84 |
| 2026-09-11 | — | — | — | $34.49 |
| 2026-09-10 | — | — | — | $34.35 |
| 2026-09-09 | — | — | — | $34.55 |
| 2026-09-08 | — | — | — | $35.00 |
| 2026-09-04 | 17.20% | +1.30 | — | $35.88 |
| 2026-09-03 | — | — | — | $35.34 |
| 2026-09-02 | — | — | — | $35.54 |
| 2026-09-01 | — | — | — | $35.34 |
| 2026-08-31 | — | — | — | $35.37 |
| 2026-08-28 | — | — | — | $35.51 |
| 2026-08-27 | — | — | — | $35.24 |
| 2026-08-26 | — | — | — | $35.55 |
| 2026-08-25 | — | — | — | $35.56 |
| 2026-08-24 | 20.82% | +1.17 | 1.038 | $35.55 |
| 2026-08-21 | — | — | — | $35.86 |
| 2025-10-22 | 27.50% | +3.35 | 0.994 | $39.74 |
| 2025-10-21 | 27.65% | +1.14 | 0.965 | $39.94 |
| 2025-10-20 | 27.72% | +0.43 | 0.947 | $40.49 |
| 2025-10-17 | 26.92% | +3.39 | 1.016 | $40.00 |
| 2025-10-16 | 29.49% | +1.37 | 0.921 | $39.99 |
| 2025-10-15 | 29.18% | +2.88 | 0.887 | $39.80 |
| 2025-10-14 | 28.02% | +1.22 | 1.007 | $39.40 |
| 2025-10-10 | — | — | — | $38.33 |
| 2025-10-09 | 23.92% | +0.22 | 1.042 | $40.51 |
| 2025-10-08 | 23.91% | -0.98 | 1.040 | $41.05 |
| 2025-10-07 | 23.97% | -0.23 | 1.032 | $40.93 |
| 2025-10-06 | 23.68% | -1.53 | 1.060 | $41.40 |
| 2025-10-03 | 23.70% | -1.46 | 1.114 | $41.42 |
| 2025-10-02 | 24.35% | -1.78 | 1.058 | $41.75 |
| 2025-10-01 | 24.45% | -1.88 | 1.037 | $41.38 |
| 2025-09-30 | 25.32% | +0.18 | 1.001 | $41.14 |
| 2025-09-29 | 24.74% | -2.65 | 1.064 | $40.98 |
| 2025-09-26 | 21.63% | -0.31 | 1.163 | $40.33 |
| 2025-09-25 | 23.41% | -2.27 | 1.069 | $40.67 |
| 2025-09-24 | 20.09% | +0.38 | 1.259 | $40.57 |
| 2025-09-23 | 24.34% | -2.02 | 1.113 | $40.10 |
| 2025-09-22 | 23.89% | -3.31 | 1.050 | $40.65 |
| 2025-09-19 | 22.95% | -2.81 | 1.190 | $40.93 |
| 2025-09-18 | 24.34% | -4.74 | 1.104 | $41.08 |
| 2025-09-17 | 24.04% | -0.16 | 1.066 | $41.62 |
| 2025-09-16 | 23.48% | -3.75 | 1.114 | $41.05 |
| 2025-09-15 | 24.24% | -1.71 | 1.062 | $40.78 |
| 2025-09-12 | 23.03% | -2.01 | 1.103 | $40.49 |
| 2025-09-11 | 24.37% | -1.03 | 1.048 | $40.74 |
| 2025-09-10 | 23.45% | -0.94 | 1.085 | $39.72 |
| 2025-09-09 | 23.49% | -0.77 | 1.071 | $39.97 |
| 2025-09-08 | 22.58% | -1.71 | 1.117 | $39.44 |
| 2025-09-05 | 22.43% | +0.94 | 1.073 | $38.90 |
| 2025-09-04 | 20.76% | +0.55 | 1.154 | $38.33 |
| 2025-09-03 | 21.21% | +0.44 | 1.216 | $38.91 |
| 2025-09-02 | 22.74% | +0.79 | 1.088 | $39.26 |
| 2025-08-29 | 22.14% | -3.61 | 1.076 | $38.91 |
| 2025-08-28 | 21.88% | +1.48 | 1.093 | $38.56 |
| 2025-08-27 | 21.44% | -0.46 | 1.132 | $38.22 |
| 2025-08-26 | 20.67% | -2.61 | 1.161 | $39.22 |
| 2025-08-25 | 21.81% | -1.88 | 1.092 | $39.14 |
| 2025-08-22 | 22.20% | -0.85 | 1.069 | $39.24 |
| 2025-08-21 | 20.97% | -0.70 | 1.104 | $38.37 |
| 2025-08-20 | 21.67% | +2.05 | 1.061 | $38.43 |
| 2025-08-19 | 21.95% | +1.04 | 1.075 | $38.22 |
| 2025-08-18 | 21.37% | -0.19 | 1.114 | $38.58 |
| 2025-08-15 | 23.27% | -0.83 | 1.039 | $38.34 |
| 2025-08-14 | 22.92% | -1.56 | 1.037 | $38.34 |
| 2025-08-13 | 24.01% | -1.57 | 1.014 | $39.09 |
| 2025-08-12 | 21.95% | -0.83 | 1.069 | $37.94 |
| 2025-08-11 | 22.14% | -1.05 | 1.049 | $37.33 |
| 2025-08-08 | 21.55% | +1.53 | 1.091 | $37.67 |
| 2025-08-07 | 21.26% | +0.05 | 1.094 | $37.74 |
| 2025-08-06 | 22.92% | -1.80 | 1.008 | $37.79 |
| 2025-08-05 | 22.07% | -1.46 | 1.092 | $37.64 |
| 2025-08-04 | 23.23% | +0.48 | 1.035 | $37.47 |
| 2025-08-01 | 23.43% | +0.68 | 1.029 | $36.83 |
| 2025-07-31 | — | — | — | $37.44 |
| 2025-07-30 | 23.28% | -0.38 | 1.043 | $37.78 |
| 2025-07-29 | 23.35% | -0.17 | 1.057 | $38.22 |
| 2025-07-28 | 24.51% | -0.65 | 0.986 | $38.48 |
| 2025-07-25 | 24.04% | -1.25 | 1.032 | $38.65 |
| 2025-07-24 | 27.32% | -2.01 | 0.934 | $38.90 |
| 2025-07-23 | 24.81% | +0.38 | 1.000 | $39.08 |
图表覆盖存档中的全部交易日,共 339 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 339 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
10d (2026-11-20) · 17d (2026-11-27) · 24d (2026-12-04)
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 | 10d | 17d | 24d |
|---|---|---|---|
| 5Δ 看涨 | 24.20% | — | — |
| 10Δ 看涨 | 23.80% | — | — |
| 15Δ 看涨 | 22.26% | — | — |
| 20Δ 看涨 | 21.77% | 20.70% | — |
| 25Δ 看涨 | 21.59% | 20.45% | 20.76% |
| 30Δ 看涨 | 21.49% | 20.52% | 20.71% |
| 35Δ 看涨 | 21.47% | 20.71% | 20.73% |
| 40Δ 看涨 | 21.56% | 20.81% | 20.77% |
| 45Δ 看涨 | 21.71% | 20.86% | 20.91% |
| ATM | 21.88% | 20.91% | 21.17% |
| 45Δ 看跌 | 22.05% | 20.96% | 21.40% |
| 40Δ 看跌 | 22.27% | 21.02% | 21.64% |
| 35Δ 看跌 | 22.54% | 21.20% | 21.90% |
| 30Δ 看跌 | 22.96% | 21.96% | 22.21% |
| 25Δ 看跌 | 23.56% | 22.67% | 22.88% |
| 20Δ 看跌 | 24.28% | 23.18% | 23.54% |
| 15Δ 看跌 | 25.24% | 23.90% | — |
| 10Δ 看跌 | 26.62% | — | — |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-20 | 10 | $34.46 | 21.88% | 23.56% | 21.59% | +1.97 | +0.70 | 10 |
| 2026-11-27 | 17 | $34.48 | 20.91% | 22.67% | 20.45% | +2.23 | +0.65 | 8 |
| 2026-12-04 | 24 | $34.52 | 21.17% | 22.88% | 20.76% | +2.12 | +0.66 | 8 |
| 2026-12-11 | 31 | $34.54 | 21.25% | 22.49% | 20.74% | +1.75 | +0.36 | 8 |
| 2026-12-18 | 38 | $34.28 | 23.86% | 24.37% | 22.24% | +2.12 | -0.55 | 11 |
| 2026-12-24 | 44 | $34.28 | 23.11% | 23.36% | 21.85% | +1.51 | -0.50 | 11 |
| 2027-01-15 | 66 | $34.35 | 21.14% | 22.94% | 19.90% | +3.03 | +0.28 | 11 |
| 2027-08-20 | 283 | $35.09 | 22.92% | 25.33% | 22.18% | +3.14 | +0.83 | 14 |
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 |
|---|---|---|---|---|---|
| 2026-11-20 | 10 天 | $34.46 | 21.88% | $34.49 | 10 |
| 2026-11-27 | 17 天 | $34.48 | 20.91% | $34.52 | 8 |
| 2026-12-04 | 24 天 | $34.52 | 21.17% | $34.57 | 8 |
| 2026-12-11 | 31 天 | $34.54 | 21.25% | $34.60 | 8 |
| 2026-12-18 | 38 天 | $34.28 | 23.86% | $34.38 | 11 |
| 2026-12-24 | 44 天 | $34.28 | 23.11% | $34.39 | 11 |
| 2027-01-15 | 66 天 | $34.35 | 21.14% | $34.49 | 11 |
| 2027-08-20 | 283 天 | $35.09 | 22.92% | $35.82 | 14 |
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
- 21.24%
- 60 天
- 21.55%
- 90 天
- 21.78%
- 180 天
- 22.62%
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 339 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。