ETF · 期权分析
GLD 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $369.36
- 30D ATM IV
- 22.63%
- IV 百分位 · 1年
- 第 84
- 25Δ 风险逆转
- +1.40
- 期限斜率 90/30
- 0.992
▼ -0.14 pts 较前一交易日
概览
GLD 期权当前计入的 30 天平值隐含波动率为 22.6%,相当于未来一个月约 ±6.5% 的波动。这高于它过去一年 249 个交易日中 84% 的读数。
它的 25-delta put 比 call 的隐含波动率高 1.40 个波动率点,过去一年里只有 3% 的交易日差距比这更大。
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ⓘ
- 22.63%
- 25-delta 风险逆转ⓘ
- +1.40
- 25-delta 蝶式价差ⓘ
- +0.42
- 期限结构斜率ⓘ
- 0.992
对应 30 天内约 ±6.5% 的波动，平常一天约 ±1.4%。
高于过去一年中 84% 的读数。
距平值同样远时，put 比 call的隐含波动率高 1.40 个点。
高于过去一年中 97% 的读数。
两翼的隐含波动率比平值高 0.42 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 43% 的读数。
30 天隐含波动率处在什么位置
对比此前 249 个交易日(一年窗口)
13.7%30.4%
- IV 百分位,1 年
- 84%
- IV 排名,1 年
- 54%
- IV 百分位,2 年
- 88%
- IV 排名,2 年
- 56%
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
- $369.36
- 30 天隐含远期价
- $370.58
- 60 天 ATM IV
- 22.22%
- 90 天 ATM IV
- 22.46%
- 180 天 ATM IV
- 22.96%
- 使用的到期日数
- 24
- 总未平仓量
- 4,680,880
- Put / call 未平仓量比
- 0.49
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 | 22.63% | +1.40 | 0.992 | $369.36 |
| 2026-11-09 | 22.77% | +0.92 | 0.990 | $379.53 |
| 2026-11-06 | 23.14% | +1.50 | 0.998 | $372.52 |
| 2026-11-05 | 22.88% | +1.18 | 0.991 | $375.49 |
| 2026-11-04 | 21.47% | +0.25 | 1.022 | $372.49 |
| 2026-11-03 | 22.82% | +1.77 | 0.989 | $359.26 |
| 2026-11-02 | 22.55% | +1.76 | 0.988 | $361.65 |
| 2026-10-30 | 23.48% | +2.76 | 0.974 | $355.78 |
| 2026-10-29 | 20.08% | +1.27 | 1.040 | $368.57 |
| 2026-10-28 | 21.00% | +0.56 | 1.000 | $373.51 |
| 2026-10-27 | 20.06% | +0.30 | 1.030 | $372.28 |
| 2026-10-26 | 20.91% | +1.10 | 1.004 | $367.82 |
| 2026-10-23 | 21.64% | +1.77 | 0.986 | $366.61 |
| 2026-10-22 | 21.91% | +1.17 | 0.971 | $369.00 |
| 2026-10-21 | 19.56% | +0.29 | 1.018 | $378.95 |
| 2026-10-20 | 19.97% | +0.39 | 1.013 | $377.65 |
| 2026-10-19 | 20.34% | +0.29 | 1.010 | $379.69 |
| 2026-10-16 | 20.70% | +0.15 | 1.015 | $382.01 |
| 2026-10-15 | 20.74% | +0.14 | 1.002 | $382.71 |
| 2026-10-14 | 20.91% | +0.66 | 0.999 | $375.99 |
| 2026-10-13 | 20.48% | -0.11 | 1.009 | $381.67 |
| 2026-10-09 | 20.86% | -0.48 | 1.025 | $384.58 |
| 2026-10-08 | 20.93% | +0.25 | 1.008 | $378.62 |
| 2026-10-07 | 21.36% | -0.04 | 1.006 | $375.88 |
| 2026-10-06 | 20.96% | -0.38 | 1.020 | $382.27 |
| 2026-10-05 | 21.04% | +0.38 | 1.020 | $379.55 |
| 2026-10-02 | 20.83% | +0.21 | 1.041 | $380.14 |
| 2026-10-01 | 21.02% | +0.52 | 1.037 | $382.76 |
| 2026-09-30 | 21.15% | +0.58 | 1.037 | $380.84 |
| 2026-09-29 | 21.90% | +0.23 | 1.018 | $382.89 |
| 2026-09-28 | 22.28% | +0.45 | 0.999 | $377.91 |
| 2026-09-25 | 19.79% | -0.03 | 1.093 | $393.41 |
| 2026-09-24 | 20.15% | -0.02 | 1.079 | $391.69 |
| 2026-09-23 | 20.27% | -0.29 | 1.086 | $392.88 |
| 2026-09-22 | 21.13% | -1.17 | 1.086 | $400.07 |
| 2026-09-21 | 20.83% | -0.82 | 1.092 | $398.38 |
| 2026-09-18 | 21.14% | -0.56 | 1.107 | $401.17 |
| 2026-09-17 | 22.76% | -0.67 | 1.064 | $398.36 |
| 2026-09-16 | 24.14% | -0.04 | 1.029 | $391.74 |
| 2026-09-15 | 24.64% | -0.98 | 1.014 | $394.15 |
| 2026-09-14 | 24.34% | -0.72 | 1.013 | $392.84 |
| 2026-09-11 | 23.34% | -0.89 | 1.038 | $398.77 |
| 2026-09-10 | 25.90% | -1.15 | 0.979 | $396.36 |
| 2026-09-09 | 25.52% | -1.80 | 0.986 | $403.35 |
| 2026-09-08 | 24.86% | -1.35 | 0.994 | $399.72 |
| 2026-09-04 | 24.13% | -1.71 | 1.020 | $406.77 |
| 2026-09-03 | 24.65% | -1.59 | 1.008 | $410.22 |
| 2026-09-02 | 24.09% | -0.93 | 1.002 | $402.78 |
| 2026-09-01 | 22.88% | -0.36 | 1.039 | $396.75 |
| 2026-08-31 | 21.65% | -1.40 | 1.086 | $408.42 |
| 2026-08-28 | 22.78% | -0.87 | 1.085 | $408.89 |
| 2026-08-27 | 24.46% | -0.84 | 1.053 | $422.60 |
| 2026-08-26 | 24.93% | -1.41 | 1.043 | $421.32 |
| 2026-08-25 | 25.76% | -1.79 | 1.024 | $428.07 |
| 2026-08-24 | 26.71% | -2.14 | 0.999 | $426.69 |
| 2026-08-21 | 25.65% | -1.89 | 1.014 | $423.36 |
| 2025-10-22 | 25.73% | -1.72 | 0.863 | $377.28 |
| 2025-10-21 | 28.25% | -1.05 | 0.833 | $377.24 |
| 2025-10-20 | 29.98% | -1.24 | 0.837 | $403.15 |
| 2025-10-17 | 29.38% | -1.06 | 0.837 | $388.99 |
| 2025-10-16 | 30.38% | -1.90 | 0.845 | $396.45 |
| 2025-10-15 | 25.42% | -1.44 | 0.853 | $387.39 |
| 2025-10-14 | 24.72% | -0.81 | 0.852 | $380.79 |
| 2025-10-10 | 22.71% | -0.64 | 0.876 | $369.12 |
| 2025-10-09 | 20.19% | -0.96 | 0.919 | $365.43 |
| 2025-10-08 | 21.08% | -0.54 | 0.901 | $372.30 |
| 2025-10-07 | 18.86% | -0.38 | 0.946 | $366.26 |
| 2025-10-06 | 18.55% | -0.49 | 0.952 | $364.38 |
| 2025-10-03 | 16.56% | -0.34 | 0.997 | $357.64 |
| 2025-10-02 | 17.00% | -0.57 | 0.979 | $354.79 |
| 2025-10-01 | 17.64% | -0.55 | 0.978 | $356.03 |
| 2025-09-30 | 18.28% | -0.88 | 0.972 | $355.47 |
| 2025-09-29 | 17.84% | -0.90 | 0.991 | $352.46 |
| 2025-09-26 | 17.06% | -1.48 | 1.018 | $346.74 |
| 2025-09-25 | 17.52% | -1.50 | 0.992 | $344.75 |
| 2025-09-24 | 16.85% | -1.32 | 1.003 | $343.32 |
| 2025-09-23 | 17.51% | -1.24 | 0.993 | $346.46 |
| 2025-09-22 | 16.93% | -1.21 | 1.001 | $345.05 |
| 2025-09-19 | 15.38% | -1.08 | 1.050 | $339.18 |
| 2025-09-18 | 15.18% | -0.78 | 1.035 | $335.62 |
| 2025-09-17 | 16.20% | -0.80 | 1.006 | $336.97 |
| 2025-09-16 | 17.13% | -1.12 | 0.983 | $339.59 |
| 2025-09-15 | 16.51% | -1.23 | 1.000 | $338.91 |
| 2025-09-12 | 14.90% | -0.96 | 1.047 | $335.42 |
| 2025-09-11 | 15.17% | -1.08 | 1.037 | $334.76 |
| 2025-09-10 | 16.23% | -1.00 | 0.998 | $335.26 |
| 2025-09-09 | 16.73% | -1.35 | 0.987 | $334.06 |
| 2025-09-08 | 18.02% | -1.35 | 0.960 | $334.82 |
| 2025-09-05 | 17.16% | -1.24 | 0.980 | $331.05 |
| 2025-09-04 | 17.20% | -1.25 | 0.966 | $326.69 |
| 2025-09-03 | 18.44% | -0.68 | 0.958 | $328.14 |
| 2025-09-02 | 18.45% | -0.93 | 0.959 | $325.59 |
| 2025-08-29 | 16.28% | -1.33 | 1.023 | $318.07 |
| 2025-08-28 | 15.07% | -1.42 | 1.050 | $315.03 |
| 2025-08-27 | 14.71% | -1.04 | 1.065 | $312.71 |
| 2025-08-26 | 14.66% | -0.99 | 1.056 | $312.08 |
| 2025-08-25 | 13.97% | -0.53 | 1.072 | $309.83 |
| 2025-08-22 | 14.03% | -0.75 | 1.073 | $310.58 |
| 2025-08-21 | 14.28% | -0.64 | 1.061 | $307.29 |
| 2025-08-20 | 14.28% | -0.73 | 1.054 | $308.36 |
| 2025-08-19 | 13.82% | -0.53 | 1.056 | $305.27 |
| 2025-08-18 | 13.94% | -0.70 | 1.059 | $306.95 |
| 2025-08-15 | 14.11% | -0.63 | 1.068 | $307.43 |
| 2025-08-14 | 14.19% | -1.01 | 1.069 | $307.25 |
| 2025-08-13 | 14.75% | -1.19 | 1.050 | $309.21 |
| 2025-08-12 | 15.12% | -1.05 | 1.035 | $308.27 |
| 2025-08-11 | 15.47% | -1.19 | 1.023 | $308.55 |
| 2025-08-08 | 15.54% | -1.11 | 1.014 | $313.05 |
| 2025-08-07 | 15.62% | -1.35 | 1.025 | $313.12 |
| 2025-08-06 | 15.10% | -1.20 | 1.044 | $310.50 |
| 2025-08-05 | 15.45% | -1.12 | 1.034 | $311.16 |
| 2025-08-04 | 15.79% | -1.23 | 1.024 | $310.91 |
| 2025-08-01 | 15.93% | -1.56 | 1.024 | $309.11 |
| 2025-07-31 | 14.72% | -0.52 | 1.044 | $302.96 |
| 2025-07-30 | 14.80% | -0.53 | 1.040 | $300.96 |
| 2025-07-29 | 15.54% | -0.97 | 1.021 | $306.25 |
| 2025-07-28 | 15.83% | -0.80 | 1.007 | $305.41 |
| 2025-07-25 | 16.07% | -0.98 | 1.013 | $307.40 |
| 2025-07-24 | 16.87% | -1.16 | 0.997 | $310.27 |
| 2025-07-23 | 17.49% | -1.35 | 0.991 | $312.18 |
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) · 2d (2026-11-12) · 3d (2026-11-13)
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 | 2d | 3d |
|---|---|---|---|
| 5Δ 看涨 | 22.47% | 22.42% | 22.66% |
| 10Δ 看涨 | 22.17% | 22.02% | 22.51% |
| 15Δ 看涨 | 22.08% | 21.69% | 22.44% |
| 20Δ 看涨 | 22.17% | 22.06% | 22.59% |
| 25Δ 看涨 | 22.16% | 22.08% | 22.69% |
| 30Δ 看涨 | 22.18% | 22.11% | 22.74% |
| 35Δ 看涨 | 22.30% | 22.55% | 23.11% |
| 40Δ 看涨 | 22.55% | 22.76% | 23.28% |
| 45Δ 看涨 | 22.86% | 23.09% | 23.58% |
| ATM | 23.00% | 23.33% | 23.82% |
| 45Δ 看跌 | 23.17% | 23.53% | 24.04% |
| 40Δ 看跌 | 23.55% | 23.79% | 24.33% |
| 35Δ 看跌 | 23.92% | 24.24% | 24.63% |
| 30Δ 看跌 | 24.27% | 24.55% | 24.98% |
| 25Δ 看跌 | 24.70% | 24.99% | 25.37% |
| 20Δ 看跌 | 25.12% | 25.33% | 25.74% |
| 15Δ 看跌 | 25.55% | 25.69% | 26.48% |
| 10Δ 看跌 | 26.38% | 27.06% | 27.47% |
| 5Δ 看跌 | 27.55% | 28.66% | 29.36% |
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 | $369.42 | 23.00% | 24.70% | 22.16% | +2.54 | +0.43 | 32 |
| 2026-11-12 | 2 | $369.45 | 23.33% | 24.99% | 22.08% | +2.92 | +0.20 | 59 |
| 2026-11-13 | 3 | $369.56 | 23.82% | 25.37% | 22.69% | +2.68 | +0.21 | 60 |
| 2026-11-16 | 6 | $369.60 | 20.40% | 21.67% | 19.46% | +2.21 | +0.17 | 72 |
| 2026-11-17 | 7 | $369.65 | 21.32% | 22.64% | 20.35% | +2.30 | +0.17 | 71 |
| 2026-11-18 | 8 | $369.70 | 21.78% | 23.37% | 21.11% | +2.26 | +0.46 | 48 |
| 2026-11-19 | 9 | $369.72 | 22.19% | 23.77% | 21.46% | +2.31 | +0.42 | 53 |
| 2026-11-20 | 10 | $369.82 | 22.69% | 24.32% | 22.08% | +2.24 | +0.50 | 135 |
| 2026-11-23 | 13 | $369.85 | 21.22% | 22.76% | 20.80% | +1.97 | +0.56 | 78 |
| 2026-11-27 | 17 | $370.18 | 21.40% | 23.10% | 21.14% | +1.96 | +0.72 | 106 |
| 2026-12-04 | 24 | $370.33 | 22.10% | 23.26% | 21.73% | +1.54 | +0.39 | 112 |
| 2026-12-11 | 31 | $370.62 | 22.70% | 23.82% | 22.44% | +1.38 | +0.43 | 100 |
| 2026-12-18 | 38 | $370.92 | 22.43% | 23.55% | 22.31% | +1.24 | +0.50 | 168 |
| 2026-12-24 | 44 | $371.18 | 22.31% | 23.28% | 22.20% | +1.08 | +0.43 | 58 |
| 2026-12-31 | 51 | $371.43 | 22.20% | 23.09% | 22.15% | +0.94 | +0.42 | 118 |
| 2027-01-15 | 66 | $372.12 | 22.23% | 23.20% | 22.30% | +0.90 | +0.52 | 202 |
| 2027-02-19 | 101 | $373.48 | 22.53% | 23.17% | 22.73% | +0.44 | +0.42 | 75 |
| 2027-03-19 | 129 | $374.64 | 22.74% | 23.24% | 23.06% | +0.18 | +0.41 | 89 |
| 2027-03-31 | 141 | $375.15 | 22.62% | 23.22% | 23.01% | +0.21 | +0.50 | 131 |
| 2027-06-17 | 219 | $378.41 | 23.17% | 23.33% | 23.57% | -0.24 | +0.28 | 124 |
| 2027-06-30 | 232 | $379.03 | 23.10% | 23.37% | 23.55% | -0.18 | +0.35 | 113 |
| 2027-09-17 | 311 | $382.52 | 23.45% | 23.74% | 24.13% | -0.40 | +0.48 | 82 |
| 2027-09-30 | 324 | $382.57 | 23.50% | 23.72% | 24.11% | -0.40 | +0.41 | 68 |
| 2027-11-19 | 374 | $384.84 | 23.80% | 23.91% | 24.27% | -0.36 | +0.29 | 50 |
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
24 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 | $369.42 | 23.00% | $369.45 | 32 |
| 2026-11-12 | 2 天 | $369.45 | 23.33% | $369.50 | 59 |
| 2026-11-13 | 3 天 | $369.56 | 23.82% | $369.65 | 60 |
| 2026-11-16 | 6 天 | $369.60 | 20.40% | $369.73 | 72 |
| 2026-11-17 | 7 天 | $369.65 | 21.32% | $369.81 | 71 |
| 2026-11-18 | 8 天 | $369.70 | 21.78% | $369.89 | 48 |
| 2026-11-19 | 9 天 | $369.72 | 22.19% | $369.95 | 53 |
| 2026-11-20 | 10 天 | $369.82 | 22.69% | $370.09 | 135 |
| 2026-11-23 | 13 天 | $369.85 | 21.22% | $370.15 | 78 |
| 2026-11-27 | 17 天 | $370.18 | 21.40% | $370.57 | 106 |
| 2026-12-04 | 24 天 | $370.33 | 22.10% | $370.92 | 112 |
| 2026-12-11 | 31 天 | $370.62 | 22.70% | $371.44 | 100 |
| 2026-12-18 | 38 天 | $370.92 | 22.43% | $371.90 | 168 |
| 2026-12-24 | 44 天 | $371.18 | 22.31% | $372.29 | 58 |
| 2026-12-31 | 51 天 | $371.43 | 22.20% | $372.71 | 118 |
| 2027-01-15 | 66 天 | $372.12 | 22.23% | $373.78 | 202 |
| 2027-02-19 | 101 天 | $373.48 | 22.53% | $376.11 | 75 |
| 2027-03-19 | 129 天 | $374.64 | 22.74% | $378.08 | 89 |
| 2027-03-31 | 141 天 | $375.15 | 22.62% | $378.88 | 131 |
| 2027-06-17 | 219 天 | $378.41 | 23.17% | $384.55 | 124 |
| 2027-06-30 | 232 天 | $379.03 | 23.10% | $385.51 | 113 |
| 2027-09-17 | 311 天 | $382.52 | 23.45% | $391.59 | 82 |
| 2027-09-30 | 324 天 | $382.57 | 23.50% | $392.06 | 68 |
| 2027-11-19 | 374 天 | $384.84 | 23.80% | $396.17 | 50 |
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
- 22.63%
- 60 天
- 22.22%
- 90 天
- 22.46%
- 180 天
- 22.96%
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。