ETF · 期权分析
IEF 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $91.01
- 30D ATM IV
- 6.74%
- IV 百分位 · 1年
- 第 36
- 25Δ 风险逆转
- -0.08
- 期限斜率 90/30
- 1.039
▲ +0.22 pts 较前一交易日
概览
IEF 期权当前计入的 30 天平值隐含波动率为 6.7%,相当于未来一个月约 ±1.9% 的波动。这高于它过去一年 250 个交易日中 36% 的读数。
它的 25-delta call 比 put 的隐含波动率高 0.08 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ⓘ
- 6.74%
- 25-delta 风险逆转ⓘ
- -0.08
- 25-delta 蝶式价差ⓘ
- +0.05
- 期限结构斜率ⓘ
- 1.039
对应 30 天内约 ±1.9% 的波动，平常一天约 ±0.4%。
高于过去一年中 36% 的读数。
距平值同样远时，call 比 put的隐含波动率高 0.08 个点。
高于过去一年中 57% 的读数。
两翼的隐含波动率比平值高 0.05 个点。
90 天的隐含波动率比 30 天高 4%。
高于过去一年中 46% 的读数。
30 天隐含波动率处在什么位置
对比此前 250 个交易日(一年窗口)
- IV 百分位,1 年
- 36%
- IV 排名,1 年
- 24%
- IV 百分位,2 年
- 30%
- IV 排名,2 年
- 24%
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
- $91.01
- 30 天隐含远期价
- $91.06
- 60 天 ATM IV
- 6.85%
- 90 天 ATM IV
- 7.00%
- 180 天 ATM IV
- 7.21%
- 使用的到期日数
- 12
- 总未平仓量
- 1,063,718
- Put / call 未平仓量比
- 0.63
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 338 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 | 6.74% | -0.08 | 1.039 | $91.01 |
| 2026-11-09 | 6.52% | -0.14 | 1.053 | $91.80 |
| 2026-11-06 | 6.96% | -0.29 | 1.029 | $91.86 |
| 2026-11-05 | 7.50% | -0.30 | 0.994 | $91.97 |
| 2026-11-04 | 6.95% | -0.05 | 1.023 | $91.66 |
| 2026-11-03 | 7.66% | -0.10 | 0.987 | $91.16 |
| 2026-11-02 | 7.81% | -0.20 | 0.975 | $91.50 |
| 2026-10-30 | 7.62% | -0.59 | 0.996 | $91.76 |
| 2026-10-29 | 7.18% | -0.31 | 1.027 | $91.25 |
| 2026-10-28 | 7.15% | +0.21 | 1.045 | $90.85 |
| 2026-10-27 | 7.03% | -0.29 | 1.058 | $91.10 |
| 2026-10-26 | 7.48% | -0.48 | 1.029 | $91.12 |
| 2026-10-23 | 7.85% | -0.67 | 1.003 | $91.05 |
| 2026-10-22 | 8.27% | -0.92 | 0.967 | $91.20 |
| 2026-10-21 | 7.37% | +0.19 | 1.020 | $90.23 |
| 2026-10-20 | 7.53% | -0.08 | 1.005 | $90.25 |
| 2026-10-19 | 7.58% | +0.07 | 0.991 | $90.08 |
| 2026-10-16 | 7.68% | +0.21 | 0.987 | $90.42 |
| 2026-10-15 | 7.80% | +0.15 | 0.982 | $90.35 |
| 2026-10-14 | 7.79% | -0.47 | 0.995 | $89.71 |
| 2026-10-13 | 7.39% | -0.16 | 1.011 | $89.54 |
| 2026-10-09 | 7.46% | +0.18 | 1.023 | $89.40 |
| 2026-10-08 | 7.83% | +0.12 | 1.002 | $89.45 |
| 2026-10-07 | 8.25% | +0.63 | 0.978 | $89.11 |
| 2026-10-06 | 8.10% | +0.82 | 0.982 | $89.13 |
| 2026-10-05 | 8.55% | +0.79 | 0.963 | $88.92 |
| 2026-10-02 | 8.20% | +0.56 | 1.001 | $89.05 |
| 2026-10-01 | 8.26% | +0.03 | 0.998 | $89.30 |
| 2026-09-30 | 8.15% | +0.67 | 0.990 | $89.31 |
| 2026-09-29 | 8.05% | +0.74 | 0.990 | $89.45 |
| 2026-09-28 | 8.06% | +0.93 | 0.974 | $89.53 |
| 2026-09-25 | 7.60% | +0.72 | 1.007 | $90.00 |
| 2026-09-24 | 8.18% | +0.89 | 0.941 | $89.69 |
| 2026-09-23 | 7.25% | +0.43 | 0.990 | $90.19 |
| 2026-09-22 | 6.05% | +0.05 | 1.073 | $91.16 |
| 2026-09-21 | 6.13% | -0.02 | 1.070 | $91.15 |
| 2026-09-18 | 6.15% | +0.25 | 1.089 | $90.80 |
| 2026-09-17 | 5.99% | +0.33 | 1.082 | $91.25 |
| 2026-09-16 | 6.74% | +0.35 | 1.003 | $90.73 |
| 2026-09-15 | 6.73% | +0.32 | 1.012 | $90.82 |
| 2026-09-14 | 6.59% | +0.54 | 1.008 | $90.93 |
| 2026-09-11 | 6.58% | +0.56 | 1.006 | $91.01 |
| 2026-09-10 | 7.04% | +0.75 | 0.983 | $91.18 |
| 2026-09-09 | 5.88% | +0.42 | 1.046 | $91.90 |
| 2026-09-08 | 5.66% | +0.28 | 1.061 | $92.16 |
| 2026-09-04 | 5.70% | +0.22 | 1.038 | $92.25 |
| 2026-09-03 | 5.90% | +0.31 | 1.009 | $92.28 |
| 2026-09-02 | 5.89% | +0.32 | 1.009 | $92.18 |
| 2026-09-01 | 6.07% | +0.57 | 0.999 | $92.10 |
| 2026-08-31 | 5.75% | +0.20 | 1.013 | $92.74 |
| 2026-08-28 | 5.43% | +0.31 | 1.065 | $92.85 |
| 2026-08-27 | 5.46% | +0.22 | 1.046 | $93.23 |
| 2026-08-26 | 5.40% | -0.05 | 1.032 | $93.32 |
| 2026-08-25 | 5.34% | +0.04 | 1.022 | $93.51 |
| 2026-08-24 | 5.43% | +0.12 | 1.043 | $93.01 |
| 2025-10-22 | 6.07% | -0.79 | 1.042 | $97.72 |
| 2025-10-21 | 6.13% | -0.88 | 1.029 | $97.70 |
| 2025-10-20 | 6.12% | -0.76 | 1.028 | $97.52 |
| 2025-10-17 | 6.01% | -0.58 | 1.041 | $97.39 |
| 2025-10-16 | 6.69% | -0.78 | 0.989 | $97.55 |
| 2025-10-15 | 6.11% | -0.20 | 1.032 | $97.10 |
| 2025-10-14 | 6.30% | -0.23 | 1.012 | $97.21 |
| 2025-10-10 | 6.48% | -0.24 | 0.997 | $96.91 |
| 2025-10-09 | 6.20% | -0.06 | 1.012 | $96.31 |
| 2025-10-08 | 5.97% | -0.00 | 1.043 | $96.38 |
| 2025-10-07 | 5.89% | -0.13 | 1.033 | $96.36 |
| 2025-10-06 | 5.83% | -0.14 | 1.032 | $96.12 |
| 2025-10-03 | 5.61% | -0.05 | 1.079 | $96.40 |
| 2025-10-02 | 5.72% | -0.22 | 1.092 | $96.59 |
| 2025-10-01 | 5.95% | -0.27 | 1.090 | $96.49 |
| 2025-09-30 | 6.34% | -0.22 | 1.057 | $96.46 |
| 2025-09-29 | 6.32% | -0.24 | 1.060 | $96.50 |
| 2025-09-26 | 6.21% | -0.08 | 1.084 | $96.22 |
| 2025-09-25 | 6.18% | -0.35 | 1.087 | $96.27 |
| 2025-09-24 | 5.93% | -0.20 | 1.096 | $96.48 |
| 2025-09-23 | 5.84% | -0.23 | 1.115 | $96.74 |
| 2025-09-22 | 5.92% | -0.10 | 1.087 | $96.47 |
| 2025-09-19 | 5.67% | -0.24 | 1.114 | $96.63 |
| 2025-09-18 | 5.79% | -0.16 | 1.088 | $96.67 |
| 2025-09-17 | 5.86% | -0.27 | 1.081 | $96.99 |
| 2025-09-16 | 6.26% | -0.21 | 1.040 | $97.20 |
| 2025-09-15 | 6.18% | -0.13 | 1.046 | $97.14 |
| 2025-09-12 | 5.94% | -0.18 | 1.070 | $96.98 |
| 2025-09-11 | 6.10% | -0.25 | 1.049 | $97.26 |
| 2025-09-10 | 6.37% | -0.14 | 1.018 | $97.11 |
| 2025-09-09 | 6.51% | -0.32 | 1.005 | $96.85 |
| 2025-09-08 | 6.76% | -0.22 | 0.980 | $97.08 |
| 2025-09-05 | 6.72% | -0.04 | 0.984 | $96.78 |
| 2025-09-04 | 7.16% | -0.27 | 0.939 | $96.31 |
| 2025-09-03 | 7.11% | -0.29 | 0.933 | $95.88 |
| 2025-09-02 | 6.85% | -0.23 | 0.959 | $95.55 |
| 2025-08-29 | 6.39% | -0.33 | 1.006 | $96.15 |
| 2025-08-28 | 6.10% | -0.19 | 1.071 | $96.23 |
| 2025-08-27 | 6.23% | -0.34 | 1.032 | $96.01 |
| 2025-08-26 | 6.07% | -0.38 | 1.046 | $95.83 |
| 2025-08-25 | 5.97% | -0.34 | 1.051 | $95.58 |
| 2025-08-22 | 6.16% | -0.42 | 1.033 | $95.77 |
| 2025-08-21 | 6.33% | -0.25 | 1.014 | $95.24 |
| 2025-08-20 | 6.27% | -0.18 | 1.035 | $95.52 |
| 2025-08-19 | 6.13% | -0.12 | 1.061 | $95.38 |
| 2025-08-18 | 6.20% | +0.06 | 1.042 | $95.14 |
| 2025-08-15 | 5.95% | -0.01 | 1.099 | $95.23 |
| 2025-08-14 | 5.98% | +0.06 | 1.109 | $95.42 |
| 2025-08-13 | 6.01% | +0.03 | 1.128 | $95.73 |
| 2025-08-12 | 5.99% | +0.09 | 1.117 | $95.39 |
| 2025-08-11 | 6.47% | +0.01 | 1.076 | $95.41 |
| 2025-08-08 | 6.15% | +0.01 | 1.113 | $95.38 |
| 2025-08-07 | 6.38% | +0.39 | 1.137 | $95.60 |
| 2025-08-06 | 6.59% | -0.15 | 1.138 | $95.67 |
| 2025-08-05 | 6.79% | -0.47 | 1.085 | $95.74 |
| 2025-08-04 | 7.20% | -0.26 | 1.038 | $95.81 |
| 2025-08-01 | 7.03% | -0.49 | 1.038 | $95.68 |
| 2025-07-31 | 6.26% | +0.03 | 1.110 | $94.90 |
| 2025-07-30 | 6.33% | -0.04 | 1.103 | $94.82 |
| 2025-07-29 | 6.57% | -0.12 | 1.084 | $95.15 |
| 2025-07-28 | 6.34% | +0.02 | 1.113 | $94.53 |
| 2025-07-25 | 6.34% | -0.06 | 1.143 | $94.74 |
| 2025-07-24 | 6.56% | -0.01 | 1.118 | $94.52 |
| 2025-07-23 | 6.57% | -0.07 | 1.115 | $94.66 |
| 2025-07-22 | 6.74% | -0.21 | 1.093 | $95.00 |
图表覆盖存档中的全部交易日,共 338 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 338 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) · 15d (2026-11-25) · 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 | 10d | 15d | 17d |
|---|---|---|---|
| 5Δ 看涨 | 8.38% | 8.15% | 7.70% |
| 10Δ 看涨 | 7.23% | 7.31% | 7.01% |
| 15Δ 看涨 | 6.93% | 6.88% | 6.65% |
| 20Δ 看涨 | 6.77% | 6.63% | 6.38% |
| 25Δ 看涨 | 6.63% | 6.51% | 6.21% |
| 30Δ 看涨 | 6.51% | 6.44% | 6.14% |
| 35Δ 看涨 | 6.45% | 6.39% | 6.11% |
| 40Δ 看涨 | 6.44% | 6.34% | 6.09% |
| 45Δ 看涨 | 6.43% | 6.31% | 6.08% |
| ATM | 6.43% | 6.29% | 6.08% |
| 45Δ 看跌 | 6.43% | 6.28% | 6.07% |
| 40Δ 看跌 | 6.43% | 6.28% | 6.07% |
| 35Δ 看跌 | 6.44% | 6.29% | 6.08% |
| 30Δ 看跌 | 6.46% | 6.32% | 6.10% |
| 25Δ 看跌 | 6.50% | 6.36% | 6.13% |
| 20Δ 看跌 | 6.63% | 6.42% | 6.25% |
| 15Δ 看跌 | 6.95% | 6.50% | 6.42% |
| 10Δ 看跌 | 7.37% | 6.84% | 6.71% |
| 5Δ 看跌 | 8.46% | 7.82% | 7.47% |
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 | $91.14 | 6.43% | 6.50% | 6.63% | -0.13 | +0.13 | 14 |
| 2026-11-25 | 15 | $91.19 | 6.29% | 6.36% | 6.51% | -0.15 | +0.15 | 8 |
| 2026-11-27 | 17 | $91.21 | 6.08% | 6.13% | 6.21% | -0.08 | +0.09 | 18 |
| 2026-12-04 | 24 | $91.05 | 6.72% | 6.68% | 6.62% | +0.06 | -0.07 | 22 |
| 2026-12-11 | 31 | $91.07 | 6.74% | 6.76% | 6.86% | -0.10 | +0.07 | 18 |
| 2026-12-18 | 38 | $90.97 | 7.14% | 7.05% | 7.12% | -0.06 | -0.05 | 18 |
| 2026-12-24 | 44 | $90.93 | 6.76% | 6.78% | 6.98% | -0.20 | +0.12 | 7 |
| 2027-01-15 | 66 | $91.12 | 6.87% | 6.73% | 6.93% | -0.20 | -0.04 | 24 |
| 2027-03-19 | 129 | $91.32 | 7.11% | 7.16% | 7.41% | -0.25 | +0.18 | 26 |
| 2027-04-16 | 157 | $91.41 | 7.16% | 7.31% | 7.46% | -0.15 | +0.23 | 24 |
| 2027-06-17 | 219 | $91.52 | 7.27% | 7.40% | 7.60% | -0.21 | +0.23 | 13 |
| 2027-09-17 | 311 | $91.75 | 7.39% | 7.58% | 7.67% | -0.10 | +0.24 | 16 |
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
12 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 | $91.14 | 6.43% | $91.15 | 14 |
| 2026-11-25 | 15 天 | $91.19 | 6.29% | $91.19 | 8 |
| 2026-11-27 | 17 天 | $91.21 | 6.08% | $91.21 | 18 |
| 2026-12-04 | 24 天 | $91.05 | 6.72% | $91.06 | 22 |
| 2026-12-11 | 31 天 | $91.07 | 6.74% | $91.08 | 18 |
| 2026-12-18 | 38 天 | $90.97 | 7.14% | $91.00 | 18 |
| 2026-12-24 | 44 天 | $90.93 | 6.76% | $90.96 | 7 |
| 2027-01-15 | 66 天 | $91.12 | 6.87% | $91.16 | 24 |
| 2027-03-19 | 129 天 | $91.32 | 7.11% | $91.40 | 26 |
| 2027-04-16 | 157 天 | $91.41 | 7.16% | $91.51 | 24 |
| 2027-06-17 | 219 天 | $91.52 | 7.27% | $91.66 | 13 |
| 2027-09-17 | 311 天 | $91.75 | 7.39% | $91.96 | 16 |
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
- 6.74%
- 60 天
- 6.85%
- 90 天
- 7.00%
- 180 天
- 7.21%
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 338 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。