ETF · 期权分析
GDXJ 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $106.30
- 30D ATM IV
- 48.60%
- IV 百分位 · 1年
- 第 90
- 25Δ 风险逆转
- +1.54
- 期限斜率 90/30
- 1.004
▼ -0.48 pts 较前一交易日
概览
GDXJ 期权当前计入的 30 天平值隐含波动率为 48.6%,相当于未来一个月约 ±13.9% 的波动。这高于它过去一年 237 个交易日中 90% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.54 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ⓘ
- 48.60%
- 25-delta 风险逆转ⓘ
- +1.54
- 25-delta 蝶式价差ⓘ
- +3.98
- 期限结构斜率ⓘ
- 1.004
对应 30 天内约 ±13.9% 的波动，平常一天约 ±3.1%。
高于过去一年中 90% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.54 个点。
高于过去一年中 87% 的读数。
两翼的隐含波动率比平值高 3.98 个点。
90 天与 30 天期权的隐含波动率大致相同。
高于过去一年中 40% 的读数。
30 天隐含波动率处在什么位置
对比此前 237 个交易日(一年窗口)
- IV 百分位,1 年
- 90%
- IV 排名,1 年
- 73%
- IV 百分位,2 年
- 92%
- IV 排名,2 年
- 74%
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
- $106.30
- 30 天隐含远期价
- $107.09
- 60 天 ATM IV
- 47.25%
- 90 天 ATM IV
- 48.77%
- 180 天 ATM IV
- 50.18%
- 使用的到期日数
- 9
- 总未平仓量
- 146,094
- Put / call 未平仓量比
- 0.64
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 | 48.60% | +1.54 | 1.004 | $106.30 |
| 2026-11-09 | 49.07% | -1.80 | 0.976 | $113.06 |
| 2026-11-06 | 45.13% | +1.55 | 1.049 | $107.74 |
| 2026-11-05 | — | — | — | $104.79 |
| 2026-11-04 | 49.20% | +0.81 | 0.953 | $104.24 |
| 2026-11-03 | 50.91% | +0.70 | 0.916 | $95.09 |
| 2026-11-02 | 47.84% | -2.05 | 0.987 | $97.16 |
| 2026-10-30 | 48.57% | -0.92 | 0.986 | $94.97 |
| 2026-10-29 | 43.81% | -1.44 | 1.027 | $100.94 |
| 2026-10-28 | 49.27% | -2.55 | 0.936 | $104.42 |
| 2026-10-27 | 41.92% | -0.57 | 1.117 | $103.43 |
| 2026-10-26 | 46.07% | -0.94 | 0.975 | $99.94 |
| 2026-10-23 | 46.83% | +1.19 | 0.960 | $99.35 |
| 2026-10-22 | 46.80% | -0.91 | 0.969 | $101.20 |
| 2026-10-21 | 44.98% | -2.08 | 0.985 | $108.52 |
| 2026-10-20 | 44.26% | -0.17 | 0.974 | $107.84 |
| 2026-10-19 | 45.77% | +0.57 | 1.001 | $108.36 |
| 2026-10-16 | 44.01% | -0.29 | 0.990 | $109.91 |
| 2026-10-15 | 44.24% | +1.37 | 0.975 | $109.61 |
| 2026-10-14 | 42.49% | -1.51 | 1.061 | $104.75 |
| 2026-10-13 | 42.22% | +1.10 | 1.015 | $110.63 |
| 2026-10-09 | 44.09% | +1.07 | 1.009 | $114.43 |
| 2026-10-08 | 44.56% | -1.26 | 0.964 | $110.90 |
| 2026-10-07 | 45.51% | -1.60 | 0.981 | $109.14 |
| 2026-10-06 | 45.39% | -2.00 | 0.994 | $113.55 |
| 2026-10-05 | 46.39% | +0.08 | 0.967 | $112.81 |
| 2026-10-02 | 45.81% | +0.19 | 1.034 | $113.65 |
| 2026-10-01 | 44.96% | -0.48 | 1.060 | $112.46 |
| 2026-09-30 | 45.74% | +1.41 | 1.028 | $113.95 |
| 2026-09-29 | 45.53% | +1.25 | 1.020 | $115.80 |
| 2026-09-28 | 46.31% | -1.15 | 1.027 | $114.10 |
| 2026-09-25 | 45.40% | -0.00 | 1.081 | $121.11 |
| 2026-09-24 | 45.77% | -1.97 | 1.061 | $119.83 |
| 2026-09-23 | 49.54% | -2.22 | 1.006 | $121.28 |
| 2026-09-22 | 48.47% | -1.98 | 0.985 | $127.97 |
| 2026-09-21 | 46.51% | +1.31 | 1.047 | $122.68 |
| 2026-09-18 | 46.95% | -2.01 | 1.042 | $124.44 |
| 2026-09-17 | 47.69% | -2.23 | 1.038 | $123.63 |
| 2026-09-16 | 49.94% | +2.94 | 1.001 | $118.02 |
| 2026-09-15 | — | — | — | $120.31 |
| 2026-09-14 | — | — | — | $120.89 |
| 2026-09-11 | 49.86% | +4.97 | 1.003 | $125.41 |
| 2026-09-10 | 51.02% | -2.99 | 1.017 | $124.10 |
| 2026-09-09 | 51.52% | -1.57 | 0.984 | $129.25 |
| 2026-09-08 | 51.17% | +0.13 | 1.027 | $127.54 |
| 2026-09-04 | 46.98% | +0.54 | 1.058 | $129.03 |
| 2026-09-03 | 49.78% | -0.14 | 1.030 | $132.33 |
| 2026-09-02 | 50.43% | +3.25 | 1.030 | $128.05 |
| 2026-09-01 | 50.43% | -1.95 | 0.990 | $122.28 |
| 2026-08-31 | — | — | — | $127.93 |
| 2026-08-28 | — | — | — | $128.80 |
| 2026-08-27 | 50.72% | +1.31 | 1.032 | $134.79 |
| 2026-08-26 | — | — | — | $132.86 |
| 2026-08-25 | 52.95% | -0.03 | 0.975 | $135.90 |
| 2026-08-24 | 53.80% | -0.17 | 0.991 | $133.58 |
| 2026-08-21 | 53.23% | -0.77 | 1.035 | $132.59 |
| 2025-10-22 | 49.97% | +1.73 | 0.985 | $95.00 |
| 2025-10-21 | 50.47% | +0.74 | 1.005 | $95.11 |
| 2025-10-20 | 52.54% | +1.21 | 0.980 | $106.13 |
| 2025-10-17 | 51.06% | -0.25 | 0.961 | $103.11 |
| 2025-10-16 | 54.97% | +1.14 | 0.947 | $111.70 |
| 2025-10-15 | 47.80% | +2.70 | 1.005 | $108.48 |
| 2025-10-14 | 47.98% | +0.16 | 0.915 | $103.62 |
| 2025-10-10 | 46.27% | +3.22 | 1.001 | $99.90 |
| 2025-10-09 | 45.98% | +4.50 | 0.977 | $99.89 |
| 2025-10-08 | 44.85% | +1.39 | 0.955 | $104.81 |
| 2025-10-07 | 43.62% | -1.50 | 0.982 | $100.68 |
| 2025-10-06 | 39.72% | -0.55 | 1.044 | $102.48 |
| 2025-10-03 | 41.82% | -1.05 | 0.998 | $99.74 |
| 2025-10-02 | 40.78% | +2.70 | 1.068 | $99.64 |
| 2025-10-01 | 41.63% | -1.48 | 1.060 | $99.90 |
| 2025-09-30 | 42.17% | -1.38 | 0.989 | $99.03 |
| 2025-09-29 | 43.06% | -1.75 | 0.956 | $98.24 |
| 2025-09-26 | 40.02% | +1.04 | 1.009 | $96.21 |
| 2025-09-25 | 38.60% | -0.34 | 1.059 | $93.99 |
| 2025-09-24 | 40.63% | -1.27 | 1.010 | $92.78 |
| 2025-09-23 | 42.43% | -0.21 | 0.915 | $95.01 |
| 2025-09-22 | 41.22% | +2.72 | 0.972 | $95.18 |
| 2025-09-19 | 36.19% | -1.27 | 1.064 | $91.98 |
| 2025-09-18 | 36.64% | +0.27 | 1.033 | $87.57 |
| 2025-09-17 | 38.23% | -1.77 | 1.017 | $87.61 |
| 2025-09-16 | 39.85% | -0.01 | 0.987 | $88.85 |
| 2025-09-15 | 39.13% | -0.17 | 1.002 | $91.49 |
| 2025-09-12 | 37.03% | -0.44 | 1.063 | $90.03 |
| 2025-09-11 | 37.25% | +0.49 | 1.041 | $90.01 |
| 2025-09-10 | 37.34% | +1.42 | 1.024 | $88.09 |
| 2025-09-09 | 35.37% | -0.18 | 1.081 | $85.60 |
| 2025-09-08 | 37.35% | -0.72 | 1.014 | $86.38 |
| 2025-09-05 | 37.62% | -1.69 | 1.020 | $84.86 |
| 2025-09-04 | 36.35% | +0.12 | 1.026 | $82.68 |
| 2025-09-03 | — | — | — | $83.80 |
| 2025-09-02 | 38.58% | +0.96 | 1.023 | $82.96 |
| 2025-08-29 | 34.96% | -2.36 | 1.033 | $80.05 |
| 2025-08-28 | 33.33% | -0.28 | 1.047 | $77.14 |
| 2025-08-27 | 35.39% | -0.61 | 0.984 | $77.54 |
| 2025-08-26 | 34.64% | -0.39 | 1.028 | $77.54 |
| 2025-08-25 | 33.91% | +0.07 | 1.035 | $76.00 |
| 2025-08-22 | 33.37% | +0.95 | 1.047 | $76.27 |
| 2025-08-21 | 34.43% | -0.25 | 1.025 | $74.77 |
| 2025-08-20 | 32.71% | -0.12 | 1.053 | $73.28 |
| 2025-08-19 | 32.94% | -0.53 | 1.043 | $71.22 |
| 2025-08-18 | 33.08% | -0.22 | 1.045 | $73.70 |
| 2025-08-15 | 33.63% | -0.70 | 1.044 | $73.88 |
| 2025-08-14 | 33.72% | -0.46 | 1.024 | $72.77 |
| 2025-08-13 | 33.56% | -1.77 | 1.039 | $73.04 |
| 2025-08-12 | 33.58% | -0.49 | 1.025 | $72.93 |
| 2025-08-11 | 35.09% | -2.00 | 1.004 | $71.89 |
| 2025-08-08 | 34.62% | -2.50 | 1.034 | $72.23 |
| 2025-08-07 | 35.85% | -1.27 | 1.039 | $72.37 |
| 2025-08-06 | 35.29% | -1.73 | 1.044 | $71.24 |
| 2025-08-05 | 36.04% | -0.51 | 1.041 | $69.58 |
| 2025-08-04 | 36.07% | -2.22 | 1.045 | $67.59 |
| 2025-08-01 | 35.74% | -0.29 | 1.034 | $65.03 |
| 2025-07-31 | 33.66% | -0.23 | 1.025 | $64.22 |
| 2025-07-30 | 34.33% | -1.66 | 1.024 | $64.74 |
| 2025-07-29 | 35.07% | -1.14 | 1.080 | $66.54 |
| 2025-07-28 | 35.37% | -0.93 | 1.001 | $66.12 |
| 2025-07-25 | 35.50% | +0.44 | 1.008 | $67.82 |
| 2025-07-24 | 35.36% | -0.99 | 1.045 | $68.21 |
| 2025-07-23 | 36.76% | -1.43 | 0.994 | $69.07 |
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 |
|---|---|---|---|
| 20Δ 看涨 | 54.28% | 52.78% | — |
| 25Δ 看涨 | 55.54% | 50.70% | 50.29% |
| 30Δ 看涨 | 54.40% | 50.74% | 50.36% |
| 35Δ 看涨 | 52.11% | 50.12% | 50.04% |
| 40Δ 看涨 | 54.03% | 51.29% | 53.88% |
| 45Δ 看涨 | 51.94% | 51.12% | 50.43% |
| ATM | 54.80% | 49.69% | 49.06% |
| 45Δ 看跌 | 55.53% | 50.80% | 50.58% |
| 40Δ 看跌 | 56.03% | 49.73% | 51.80% |
| 35Δ 看跌 | 56.63% | 50.93% | 51.08% |
| 30Δ 看跌 | 57.13% | 51.64% | 51.77% |
| 25Δ 看跌 | 57.95% | 52.74% | 51.67% |
| 20Δ 看跌 | 58.59% | 53.98% | 54.35% |
| 15Δ 看跌 | 58.64% | 53.77% | — |
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 | $107.10 | 54.80% | 57.95% | 55.54% | +2.41 | +1.94 | 21 |
| 2026-11-27 | 17 | $106.92 | 49.69% | 52.74% | 50.70% | +2.04 | +2.03 | 29 |
| 2026-12-04 | 24 | $106.88 | 49.06% | 51.67% | 50.29% | +1.38 | +1.92 | 28 |
| 2026-12-11 | 31 | $107.13 | 48.54% | 53.56% | 52.00% | +1.56 | +4.24 | 25 |
| 2026-12-18 | 38 | $107.38 | 46.79% | 50.51% | 49.41% | +1.10 | +3.17 | 43 |
| 2027-01-15 | 66 | $107.58 | 47.32% | 49.44% | 48.84% | +0.60 | +1.82 | 46 |
| 2027-02-19 | 101 | $107.40 | 49.19% | 48.12% | 49.12% | -1.00 | -0.58 | 35 |
| 2027-03-19 | 129 | $108.06 | 49.02% | 49.48% | 49.86% | -0.38 | +0.65 | 28 |
| 2027-05-21 | 192 | $108.36 | 50.37% | 49.28% | 51.45% | -2.17 | -0.00 | 39 |
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
9 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 | $107.10 | 54.80% | $107.54 | 21 |
| 2026-11-27 | 17 天 | $106.92 | 49.69% | $107.54 | 29 |
| 2026-12-04 | 24 天 | $106.88 | 49.06% | $107.73 | 28 |
| 2026-12-11 | 31 天 | $107.13 | 48.54% | $108.21 | 25 |
| 2026-12-18 | 38 天 | $107.38 | 46.79% | $108.61 | 43 |
| 2027-01-15 | 66 天 | $107.58 | 47.32% | $109.78 | 46 |
| 2027-02-19 | 101 天 | $107.40 | 49.19% | $111.06 | 35 |
| 2027-03-19 | 129 天 | $108.06 | 49.02% | $112.75 | 28 |
| 2027-05-21 | 192 天 | $108.36 | 50.37% | $115.83 | 39 |
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
- 48.60%
- 60 天
- 47.25%
- 90 天
- 48.77%
- 180 天
- 50.18%
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。