ETF · 期权分析
GDX 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $86.49
- 30D ATM IV
- 44.96%
- IV 百分位 · 1年
- 第 92
- 25Δ 风险逆转
- +1.71
- 期限斜率 90/30
- 0.965
▼ -0.19 pts 较前一交易日
概览
GDX 期权当前计入的 30 天平值隐含波动率为 45.0%,相当于未来一个月约 ±12.9% 的波动。这高于它过去一年 252 个交易日中 92% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.71 个波动率点,大致处在它自己过去一年区间的中部。
期限结构倒挂:90 天波动率比 30 天低 4%。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ⓘ
- 44.96%
- 25-delta 风险逆转ⓘ
- +1.71
- 25-delta 蝶式价差ⓘ
- +1.33
- 期限结构斜率ⓘ
- 0.965
对应 30 天内约 ±12.9% 的波动，平常一天约 ±2.8%。
高于过去一年中 92% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.71 个点。
高于过去一年中 84% 的读数。
两翼的隐含波动率比平值高 1.33 个点。
90 天的隐含波动率比 30 天低 4%。
高于过去一年中 15% 的读数。
30 天隐含波动率处在什么位置
对比此前 252 个交易日(一年窗口)
- IV 百分位,1 年
- 92%
- IV 排名,1 年
- 71%
- IV 百分位,2 年
- 94%
- IV 排名,2 年
- 71%
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
- $86.49
- 30 天隐含远期价
- $87.30
- 60 天 ATM IV
- 43.72%
- 90 天 ATM IV
- 43.38%
- 180 天 ATM IV
- 43.19%
- 使用的到期日数
- 15
- 总未平仓量
- 1,753,043
- Put / call 未平仓量比
- 1.14
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 | 44.96% | +1.71 | 0.965 | $86.49 |
| 2026-11-09 | 45.15% | +1.80 | 0.947 | $91.46 |
| 2026-11-06 | 43.73% | +2.59 | 0.981 | $87.60 |
| 2026-11-05 | 45.83% | +1.84 | 0.945 | $85.75 |
| 2026-11-04 | 41.12% | +1.54 | 0.986 | $84.59 |
| 2026-11-03 | 42.22% | +0.75 | 0.978 | $77.60 |
| 2026-11-02 | 41.87% | +1.63 | 0.980 | $79.15 |
| 2026-10-30 | 44.93% | +1.55 | 0.932 | $77.09 |
| 2026-10-29 | 40.79% | +0.32 | 0.990 | $81.33 |
| 2026-10-28 | 41.06% | +1.99 | 0.971 | $83.95 |
| 2026-10-27 | 39.28% | +1.42 | 1.004 | $83.19 |
| 2026-10-26 | 40.29% | +1.13 | 0.982 | $81.02 |
| 2026-10-23 | 42.32% | +0.92 | 0.975 | $80.20 |
| 2026-10-22 | 42.34% | +0.18 | 0.976 | $81.69 |
| 2026-10-21 | 40.83% | +1.58 | 0.985 | $86.72 |
| 2026-10-20 | 40.90% | -0.54 | 0.999 | $86.10 |
| 2026-10-19 | 40.54% | +0.51 | 0.995 | $86.47 |
| 2026-10-16 | 41.54% | +0.89 | 0.992 | $87.71 |
| 2026-10-15 | 40.80% | +0.83 | 0.985 | $87.02 |
| 2026-10-14 | 42.91% | -0.55 | 0.953 | $83.40 |
| 2026-10-13 | 39.02% | -0.64 | 1.022 | $87.24 |
| 2026-10-09 | 39.38% | +0.86 | 1.025 | $89.28 |
| 2026-10-08 | 40.59% | -0.61 | 1.000 | $86.72 |
| 2026-10-07 | 40.88% | -1.24 | 0.999 | $85.46 |
| 2026-10-06 | 39.11% | -0.10 | 1.034 | $88.22 |
| 2026-10-05 | 40.36% | +0.31 | 1.010 | $87.42 |
| 2026-10-02 | 40.38% | +0.56 | 1.020 | $87.78 |
| 2026-10-01 | 40.58% | -0.79 | 1.019 | $86.74 |
| 2026-09-30 | 40.87% | -1.07 | 1.021 | $87.80 |
| 2026-09-29 | 41.38% | -0.36 | 1.016 | $89.07 |
| 2026-09-28 | 42.17% | -0.98 | 1.008 | $87.89 |
| 2026-09-25 | 40.75% | -1.10 | 1.024 | $92.87 |
| 2026-09-24 | 41.62% | -1.02 | 1.010 | $92.35 |
| 2026-09-23 | 41.28% | -1.49 | 1.024 | $93.56 |
| 2026-09-22 | 42.10% | -0.72 | 1.025 | $97.83 |
| 2026-09-21 | 41.27% | -0.27 | 1.038 | $94.43 |
| 2026-09-18 | 41.85% | -0.85 | 1.037 | $95.48 |
| 2026-09-17 | 42.78% | -0.74 | 1.031 | $95.92 |
| 2026-09-16 | 45.15% | -0.03 | 0.997 | $92.80 |
| 2026-09-15 | 44.30% | -0.59 | 1.006 | $94.13 |
| 2026-09-14 | 44.18% | -0.37 | 1.001 | $94.14 |
| 2026-09-11 | 43.77% | -0.74 | 1.018 | $97.10 |
| 2026-09-10 | 45.69% | -0.84 | 1.014 | $96.03 |
| 2026-09-09 | 44.56% | -0.93 | 1.035 | $99.47 |
| 2026-09-08 | 46.15% | -1.95 | 0.998 | $98.41 |
| 2026-09-04 | 43.28% | -0.86 | 1.053 | $99.26 |
| 2026-09-03 | 44.12% | +0.22 | 1.031 | $101.49 |
| 2026-09-02 | 44.75% | -0.56 | 1.028 | $97.63 |
| 2026-09-01 | 45.55% | -3.35 | 1.004 | $94.67 |
| 2026-08-31 | 43.00% | -0.35 | 1.046 | $98.51 |
| 2026-08-28 | 45.24% | -1.39 | 1.035 | $99.65 |
| 2026-08-27 | 46.18% | -1.34 | 1.022 | $103.69 |
| 2026-08-26 | 46.80% | -2.28 | 1.039 | $102.42 |
| 2026-08-25 | 48.59% | -1.71 | 1.018 | $105.52 |
| 2026-08-24 | 51.27% | -1.77 | 0.968 | $103.54 |
| 2026-08-21 | 49.61% | -1.67 | 0.985 | $102.83 |
| 2025-10-22 | 44.05% | +4.66 | 0.951 | $72.95 |
| 2025-10-21 | 47.81% | +1.23 | 0.953 | $72.79 |
| 2025-10-20 | 47.20% | +0.60 | 0.913 | $80.36 |
| 2025-10-17 | 47.54% | +0.22 | 0.914 | $78.73 |
| 2025-10-16 | 49.77% | +1.72 | 0.972 | $84.44 |
| 2025-10-15 | 40.76% | +4.46 | 1.055 | $81.47 |
| 2025-10-14 | 42.58% | +0.72 | 0.919 | $78.45 |
| 2025-10-10 | 38.17% | +2.55 | 1.043 | $75.78 |
| 2025-10-09 | 40.55% | +1.18 | 0.971 | $75.61 |
| 2025-10-08 | 38.34% | +2.28 | 1.005 | $79.15 |
| 2025-10-07 | 39.22% | +0.24 | 1.012 | $76.97 |
| 2025-10-06 | 38.30% | +0.15 | 0.993 | $78.61 |
| 2025-10-03 | 36.53% | +0.42 | 0.964 | $77.08 |
| 2025-10-02 | 38.33% | -0.01 | 0.998 | $77.10 |
| 2025-10-01 | 38.43% | -1.01 | 0.995 | $77.13 |
| 2025-09-30 | 38.38% | -1.86 | 1.000 | $76.40 |
| 2025-09-29 | 37.66% | -0.35 | 0.998 | $75.72 |
| 2025-09-26 | 36.59% | -0.29 | 1.004 | $74.68 |
| 2025-09-25 | 37.15% | -0.54 | 0.999 | $73.13 |
| 2025-09-24 | 36.45% | -0.20 | 1.024 | $72.32 |
| 2025-09-23 | 37.93% | -0.14 | 0.985 | $74.23 |
| 2025-09-22 | 38.77% | -2.66 | 0.960 | $74.33 |
| 2025-09-19 | 33.97% | -1.51 | 1.024 | $72.36 |
| 2025-09-18 | 32.92% | +0.24 | 1.035 | $68.79 |
| 2025-09-17 | 35.10% | -0.56 | 0.975 | $68.66 |
| 2025-09-16 | 36.20% | -0.29 | 0.986 | $69.02 |
| 2025-09-15 | 35.15% | -0.20 | 1.008 | $70.48 |
| 2025-09-12 | 33.34% | -0.86 | 1.045 | $69.75 |
| 2025-09-11 | 33.92% | +0.44 | 1.037 | $69.76 |
| 2025-09-10 | 33.83% | +0.11 | 1.024 | $68.50 |
| 2025-09-09 | 34.28% | +0.22 | 1.015 | $66.85 |
| 2025-09-08 | 34.05% | -0.59 | 1.019 | $67.24 |
| 2025-09-05 | 34.40% | -0.45 | 1.008 | $66.34 |
| 2025-09-04 | 33.15% | -0.16 | 1.022 | $64.57 |
| 2025-09-03 | 36.55% | +0.62 | 0.987 | $65.20 |
| 2025-09-02 | 35.84% | -0.71 | 1.018 | $64.80 |
| 2025-08-29 | 31.06% | -1.40 | 1.066 | $63.17 |
| 2025-08-28 | 30.01% | -1.79 | 1.071 | $61.33 |
| 2025-08-27 | 30.95% | -1.29 | 1.038 | $61.48 |
| 2025-08-26 | 32.20% | -1.17 | 1.012 | $61.60 |
| 2025-08-25 | 31.29% | -0.16 | 1.022 | $60.26 |
| 2025-08-22 | 30.59% | -0.60 | 1.050 | $60.18 |
| 2025-08-21 | 31.14% | +0.02 | 0.994 | $59.29 |
| 2025-08-20 | 30.34% | -1.39 | 1.043 | $58.32 |
| 2025-08-19 | 30.31% | -0.79 | 1.031 | $56.60 |
| 2025-08-18 | 30.39% | -1.24 | 1.046 | $58.10 |
| 2025-08-15 | 30.05% | -1.86 | 1.068 | $58.28 |
| 2025-08-14 | 31.04% | -0.70 | 1.031 | $57.70 |
| 2025-08-13 | 30.98% | -1.16 | 1.029 | $58.07 |
| 2025-08-12 | 31.14% | -1.66 | 1.024 | $58.21 |
| 2025-08-11 | 31.70% | -1.23 | 1.015 | $57.69 |
| 2025-08-08 | 31.73% | -1.17 | 1.031 | $58.06 |
| 2025-08-07 | 32.53% | -0.68 | 1.035 | $57.94 |
| 2025-08-06 | 32.67% | -1.36 | 1.020 | $57.39 |
| 2025-08-05 | 33.02% | -3.02 | 1.015 | $56.46 |
| 2025-08-04 | 32.40% | -0.54 | 1.017 | $54.94 |
| 2025-08-01 | 30.59% | -0.70 | 1.034 | $52.45 |
| 2025-07-31 | 29.51% | -1.49 | 1.037 | $51.64 |
| 2025-07-30 | 31.38% | -0.36 | 1.009 | $51.78 |
| 2025-07-29 | 31.36% | -1.27 | 1.022 | $53.25 |
| 2025-07-28 | 30.89% | -1.37 | 1.031 | $52.59 |
| 2025-07-25 | 31.38% | -1.57 | 1.018 | $53.96 |
| 2025-07-24 | 32.77% | -1.95 | 1.002 | $53.33 |
| 2025-07-23 | 32.51% | -0.89 | 1.005 | $53.84 |
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
1d (2026-11-11) · 3d (2026-11-13) · 6d (2026-11-16)
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 | 1d | 3d | 6d |
|---|---|---|---|
| 5Δ 看涨 | 55.19% | 51.33% | — |
| 10Δ 看涨 | 54.51% | 51.61% | 44.19% |
| 15Δ 看涨 | 54.64% | 49.41% | 42.37% |
| 20Δ 看涨 | 54.85% | 49.61% | 42.08% |
| 25Δ 看涨 | 54.18% | 49.54% | 42.21% |
| 30Δ 看涨 | 52.94% | 49.38% | 42.35% |
| 35Δ 看涨 | 52.75% | 49.68% | 42.47% |
| 40Δ 看涨 | 53.52% | 50.22% | 42.76% |
| 45Δ 看涨 | 54.64% | 50.11% | 42.76% |
| ATM | 55.58% | 50.49% | 42.52% |
| 45Δ 看跌 | 56.37% | 50.54% | 43.37% |
| 40Δ 看跌 | 57.11% | 51.24% | 44.14% |
| 35Δ 看跌 | 57.61% | 49.64% | 43.71% |
| 30Δ 看跌 | 57.85% | 51.09% | 43.69% |
| 25Δ 看跌 | 58.07% | 50.85% | 43.98% |
| 20Δ 看跌 | 58.65% | 51.10% | 45.19% |
| 15Δ 看跌 | 60.15% | 52.81% | 46.59% |
| 10Δ 看跌 | 61.96% | 53.82% | 47.88% |
| 5Δ 看跌 | 65.16% | 55.73% | 50.63% |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-11 | 1 | $86.91 | 55.58% | 58.07% | 54.18% | +3.89 | +0.54 | 11 |
| 2026-11-13 | 3 | $86.90 | 50.49% | 50.85% | 49.54% | +1.31 | -0.29 | 34 |
| 2026-11-16 | 6 | $86.96 | 42.52% | 43.98% | 42.21% | +1.77 | +0.57 | 14 |
| 2026-11-18 | 8 | $86.97 | 46.90% | 49.86% | 46.19% | +3.68 | +1.13 | 14 |
| 2026-11-20 | 10 | $87.06 | 47.94% | 50.34% | 47.33% | +3.01 | +0.89 | 41 |
| 2026-11-23 | 13 | $86.99 | 45.44% | 46.83% | 44.74% | +2.09 | +0.35 | 14 |
| 2026-11-27 | 17 | $87.10 | 43.35% | 46.58% | 44.29% | +2.29 | +2.08 | 38 |
| 2026-12-04 | 24 | $87.18 | 45.31% | 47.39% | 45.00% | +2.40 | +0.88 | 40 |
| 2026-12-11 | 31 | $87.33 | 44.92% | 47.11% | 45.49% | +1.62 | +1.39 | 41 |
| 2026-12-18 | 38 | $87.30 | 45.10% | 46.14% | 44.55% | +1.59 | +0.24 | 53 |
| 2026-12-24 | 44 | $86.80 | 44.93% | 46.34% | 43.99% | +2.34 | +0.23 | 34 |
| 2027-01-15 | 66 | $86.87 | 43.42% | 45.25% | 43.60% | +1.65 | +1.01 | 67 |
| 2027-03-19 | 129 | $87.51 | 43.35% | 44.19% | 43.61% | +0.58 | +0.56 | 84 |
| 2027-06-17 | 219 | $88.41 | 43.12% | 43.22% | 43.89% | -0.67 | +0.43 | 95 |
| 2027-09-17 | 311 | $89.36 | 42.95% | 42.71% | 44.27% | -1.56 | +0.54 | 84 |
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
15 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 |
|---|---|---|---|---|---|
| 2026-11-11 | 1 天 | $86.91 | 55.58% | $86.95 | 11 |
| 2026-11-13 | 3 天 | $86.90 | 50.49% | $87.00 | 34 |
| 2026-11-16 | 6 天 | $86.96 | 42.52% | $87.09 | 14 |
| 2026-11-18 | 8 天 | $86.97 | 46.90% | $87.18 | 14 |
| 2026-11-20 | 10 天 | $87.06 | 47.94% | $87.33 | 41 |
| 2026-11-23 | 13 天 | $86.99 | 45.44% | $87.31 | 14 |
| 2026-11-27 | 17 天 | $87.10 | 43.35% | $87.48 | 38 |
| 2026-12-04 | 24 天 | $87.18 | 45.31% | $87.77 | 40 |
| 2026-12-11 | 31 天 | $87.33 | 44.92% | $88.08 | 41 |
| 2026-12-18 | 38 天 | $87.30 | 45.10% | $88.23 | 53 |
| 2026-12-24 | 44 天 | $86.80 | 44.93% | $87.86 | 34 |
| 2027-01-15 | 66 天 | $86.87 | 43.42% | $88.37 | 67 |
| 2027-03-19 | 129 天 | $87.51 | 43.35% | $90.46 | 84 |
| 2027-06-17 | 219 天 | $88.41 | 43.12% | $93.48 | 95 |
| 2027-09-17 | 311 天 | $89.36 | 42.95% | $96.67 | 84 |
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
- 44.96%
- 60 天
- 43.72%
- 90 天
- 43.38%
- 180 天
- 43.19%
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。