ETF · 期权分析
IGV 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $100.33
- 30D ATM IV
- 33.14%
- IV 百分位 · 1年
- 第 88
- 25Δ 风险逆转
- +2.15
- 期限斜率 90/30
- 0.931
▲ +0.54 pts 较前一交易日
概览
IGV 期权当前计入的 30 天平值隐含波动率为 33.1%,相当于未来一个月约 ±9.5% 的波动。这高于它过去一年 223 个交易日中 88% 的读数。
它的 25-delta put 比 call 的隐含波动率高 2.15 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 7%。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ⓘ
- 33.14%
- 25-delta 风险逆转ⓘ
- +2.15
- 25-delta 蝶式价差ⓘ
- +0.42
- 期限结构斜率ⓘ
- 0.931
对应 30 天内约 ±9.5% 的波动，平常一天约 ±2.1%。
高于过去一年中 88% 的读数。
距平值同样远时，put 比 call的隐含波动率高 2.15 个点。
高于过去一年中 12% 的读数。
两翼的隐含波动率比平值高 0.42 个点。
90 天的隐含波动率比 30 天低 7%。
高于过去一年中 16% 的读数。
30 天隐含波动率处在什么位置
对比此前 223 个交易日(一年窗口)
- IV 百分位,1 年
- 88%
- IV 排名,1 年
- 39%
- IV 百分位,2 年
- 89%
- IV 排名,2 年
- 40%
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
- $100.33
- 30 天隐含远期价
- $99.91
- 60 天 ATM IV
- 31.34%
- 90 天 ATM IV
- 30.86%
- 180 天 ATM IV
- 34.25%
- 使用的到期日数
- 14
- 总未平仓量
- 1,039,620
- Put / call 未平仓量比
- 2.75
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 303 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 | 33.14% | +2.15 | 0.931 | $100.33 |
| 2026-11-09 | 32.60% | +5.62 | 1.023 | $101.46 |
| 2026-11-06 | 34.62% | -0.90 | 0.948 | $98.88 |
| 2026-11-05 | 34.78% | +1.85 | 0.932 | $99.01 |
| 2026-11-04 | 33.67% | +1.42 | 0.945 | $103.56 |
| 2026-11-03 | 36.40% | +2.94 | 0.933 | $102.66 |
| 2026-11-02 | 35.69% | +5.02 | 0.958 | $101.90 |
| 2026-10-30 | 32.96% | +1.77 | 0.983 | $104.29 |
| 2026-10-29 | 32.73% | +1.74 | 0.985 | $107.97 |
| 2026-10-28 | 33.17% | +1.71 | 1.019 | $111.91 |
| 2026-10-27 | 32.91% | +2.78 | 0.996 | $111.78 |
| 2026-10-26 | 33.59% | +4.02 | 0.957 | $111.39 |
| 2026-10-23 | 32.80% | +2.98 | 0.976 | $110.59 |
| 2026-10-22 | 32.25% | +1.52 | 0.982 | $108.72 |
| 2026-10-21 | 31.60% | +3.00 | 0.949 | $108.82 |
| 2026-10-20 | 32.83% | +2.92 | 0.974 | $106.93 |
| 2026-10-19 | 33.21% | +3.36 | 0.967 | $105.99 |
| 2026-10-16 | 32.44% | +2.25 | 1.047 | $104.34 |
| 2026-10-15 | 34.76% | +0.48 | 0.879 | $109.60 |
| 2026-10-14 | 31.33% | +2.04 | 1.006 | $107.65 |
| 2026-10-13 | 30.08% | +4.65 | 1.019 | $110.98 |
| 2026-10-09 | 31.73% | -1.10 | 0.975 | $112.67 |
| 2026-10-08 | 32.71% | +3.50 | 0.937 | $109.59 |
| 2026-10-07 | 30.77% | -0.78 | 1.025 | $109.84 |
| 2026-10-06 | 31.15% | +1.78 | 0.984 | $111.16 |
| 2026-10-05 | 31.97% | +1.07 | 0.974 | $109.72 |
| 2026-10-02 | 31.81% | +3.03 | 0.995 | $108.43 |
| 2026-10-01 | 32.56% | +1.48 | 1.002 | $108.23 |
| 2026-09-30 | 32.22% | +3.00 | 0.976 | $106.48 |
| 2026-09-29 | 31.27% | +0.50 | 1.018 | $105.22 |
| 2026-09-28 | 32.35% | +1.02 | 0.990 | $105.43 |
| 2026-09-25 | 30.54% | +2.84 | 1.019 | $106.01 |
| 2026-09-24 | 31.85% | +1.89 | 1.039 | $107.15 |
| 2026-09-23 | 30.96% | +2.96 | 1.060 | $108.10 |
| 2026-09-22 | 30.44% | +0.70 | 1.074 | $106.75 |
| 2026-09-21 | 31.92% | -0.55 | 1.010 | $107.13 |
| 2026-09-18 | 29.51% | +0.70 | 1.031 | $104.35 |
| 2026-09-17 | 30.29% | +1.69 | 1.013 | $105.78 |
| 2025-10-22 | 25.25% | +5.63 | — | $113.51 |
| 2025-10-21 | 24.05% | +5.69 | 1.010 | $115.01 |
| 2025-10-20 | — | — | — | $113.89 |
| 2025-10-17 | — | — | — | $112.68 |
| 2025-10-16 | — | — | — | $112.80 |
| 2025-10-15 | — | — | — | $113.29 |
| 2025-10-14 | — | — | — | $113.59 |
| 2025-10-10 | — | — | — | $112.09 |
| 2025-10-09 | 24.23% | +4.81 | 1.028 | $115.67 |
| 2025-10-08 | 23.75% | +4.44 | 1.004 | $115.69 |
| 2025-10-07 | 23.61% | +3.93 | 1.025 | $114.37 |
| 2025-10-06 | 23.47% | +4.16 | 1.033 | $115.62 |
| 2025-10-03 | 23.68% | +4.73 | 0.952 | $114.83 |
| 2025-10-02 | 22.82% | +4.94 | 1.033 | $115.72 |
| 2025-10-01 | 22.83% | +4.38 | 1.024 | $115.07 |
| 2025-09-30 | 22.74% | +4.62 | 1.025 | $115.01 |
| 2025-09-29 | 22.62% | +4.30 | 1.018 | $115.98 |
| 2025-09-26 | 22.76% | +5.35 | 1.024 | $114.97 |
| 2025-09-25 | 23.94% | +4.29 | 1.009 | $113.90 |
| 2025-09-24 | 23.72% | +4.29 | 1.005 | $115.22 |
| 2025-09-23 | 23.90% | +4.37 | 1.004 | $116.40 |
| 2025-09-22 | 22.75% | +5.41 | 1.019 | $117.79 |
| 2025-09-19 | — | — | — | $117.19 |
| 2025-09-18 | 21.88% | +3.91 | 1.025 | $115.37 |
| 2025-09-17 | 22.53% | +5.16 | 0.990 | $113.22 |
| 2025-09-16 | — | — | — | $112.72 |
| 2025-09-15 | 21.63% | +5.00 | 1.033 | $112.81 |
| 2025-09-12 | 21.40% | +4.63 | 1.048 | $111.67 |
| 2025-09-11 | 20.74% | +4.49 | 1.057 | $112.40 |
| 2025-09-10 | 22.08% | +5.40 | 1.018 | $112.24 |
| 2025-09-09 | 20.90% | +6.28 | 1.035 | $110.52 |
| 2025-09-08 | 20.94% | +6.34 | 1.037 | $110.02 |
| 2025-09-05 | 21.05% | +5.57 | 1.015 | $108.14 |
| 2025-09-04 | 21.46% | +5.84 | 1.009 | $106.84 |
| 2025-09-03 | 22.28% | +6.83 | 1.005 | $107.32 |
| 2025-09-02 | 22.93% | +6.62 | 0.999 | $107.27 |
| 2025-08-29 | 21.14% | +5.60 | 1.031 | $108.10 |
| 2025-08-28 | 20.20% | +5.90 | 1.067 | $109.09 |
| 2025-08-27 | 21.49% | +5.29 | 1.020 | $107.45 |
| 2025-08-26 | 21.69% | +5.07 | 1.015 | $106.57 |
| 2025-08-25 | 21.55% | +4.55 | 1.035 | $106.69 |
| 2025-08-22 | 21.50% | +3.58 | 1.000 | $107.46 |
| 2025-08-21 | 23.81% | +6.05 | 0.981 | $105.96 |
| 2025-08-20 | 22.59% | +5.61 | 0.996 | $106.33 |
| 2025-08-19 | 22.67% | +5.40 | 0.988 | $106.58 |
| 2025-08-18 | 21.02% | +4.51 | 1.038 | $109.41 |
| 2025-08-15 | 21.22% | +4.10 | 1.051 | $109.11 |
| 2025-08-14 | 20.97% | +3.65 | 1.042 | $108.34 |
| 2025-08-13 | 20.60% | +3.89 | 1.049 | $109.54 |
| 2025-08-12 | 20.36% | +4.01 | 1.060 | $109.56 |
| 2025-08-11 | 21.16% | +3.46 | 1.070 | $108.37 |
| 2025-08-08 | 21.62% | +4.36 | 1.038 | $109.63 |
| 2025-08-07 | — | — | — | $109.60 |
| 2025-08-06 | 20.96% | +6.02 | 1.067 | $111.81 |
| 2025-08-05 | 22.43% | +6.11 | 1.023 | $110.55 |
| 2025-08-04 | 22.52% | +6.21 | 0.989 | $110.98 |
| 2025-08-01 | 25.13% | +6.53 | 0.958 | $108.63 |
| 2025-07-31 | 21.41% | +5.49 | 1.022 | $111.66 |
| 2025-07-30 | 20.90% | +4.74 | 1.021 | $112.72 |
| 2025-07-29 | 20.64% | +3.79 | 1.044 | $113.01 |
| 2025-07-28 | 18.68% | +4.24 | 1.104 | $112.88 |
| 2025-07-25 | 19.85% | +4.27 | 1.072 | $112.69 |
| 2025-07-24 | 19.98% | +4.44 | 1.059 | $112.09 |
| 2025-07-23 | 20.64% | +3.24 | 1.045 | $111.81 |
| 2025-07-22 | 21.43% | +4.44 | 1.031 | $110.90 |
| 2025-07-21 | 21.85% | +4.05 | — | $111.21 |
| 2025-07-18 | 21.36% | +3.45 | 1.047 | $111.06 |
| 2025-07-17 | 21.38% | +3.63 | 1.077 | $111.31 |
| 2025-07-16 | 22.01% | +3.94 | 1.040 | $109.81 |
| 2025-07-15 | — | — | — | $108.99 |
| 2025-07-14 | — | — | — | $109.05 |
| 2025-07-11 | — | — | — | $107.48 |
| 2025-07-10 | — | — | — | $109.15 |
| 2025-07-09 | — | — | — | $111.42 |
| 2025-07-08 | 20.70% | +2.96 | 1.078 | $111.08 |
| 2025-07-07 | 21.61% | +3.10 | 1.040 | $110.71 |
| 2025-07-03 | 20.10% | +3.04 | 1.089 | $111.27 |
| 2025-07-02 | 20.21% | +3.38 | 1.118 | $108.81 |
| 2025-07-01 | 20.64% | +3.77 | 1.081 | $108.24 |
| 2025-06-30 | — | — | — | $109.50 |
| 2025-06-27 | — | — | — | $107.78 |
| 2025-06-26 | 20.19% | +3.17 | 1.071 | $108.71 |
图表覆盖存档中的全部交易日,共 303 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 303 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
3d (2026-11-13) · 10d (2026-11-20) · 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 | 3d | 10d | 17d |
|---|---|---|---|
| 5Δ 看涨 | 42.51% | 35.77% | — |
| 10Δ 看涨 | 40.05% | 34.17% | 32.53% |
| 15Δ 看涨 | 39.16% | 34.93% | 31.95% |
| 20Δ 看涨 | 38.66% | 33.86% | 31.68% |
| 25Δ 看涨 | 38.53% | 33.54% | 31.73% |
| 30Δ 看涨 | 39.65% | 33.24% | 30.99% |
| 35Δ 看涨 | 39.01% | 34.47% | 31.86% |
| 40Δ 看涨 | 38.78% | 33.56% | 32.33% |
| 45Δ 看涨 | 39.57% | 32.44% | 32.76% |
| ATM | 39.36% | 34.40% | 33.27% |
| 45Δ 看跌 | 39.50% | 35.26% | 33.96% |
| 40Δ 看跌 | 39.97% | 35.89% | 34.33% |
| 35Δ 看跌 | 40.54% | 36.59% | 34.51% |
| 30Δ 看跌 | 41.34% | 37.44% | 35.49% |
| 25Δ 看跌 | 42.40% | 39.64% | 35.35% |
| 20Δ 看跌 | — | 39.33% | 35.73% |
| 15Δ 看跌 | — | 38.86% | — |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-13 | 3 | $100.03 | 39.36% | 42.40% | 38.53% | +3.88 | +1.11 | 12 |
| 2026-11-20 | 10 | $100.12 | 34.40% | 39.64% | 33.54% | +6.10 | +2.19 | 26 |
| 2026-11-27 | 17 | $100.05 | 33.27% | 35.35% | 31.73% | +3.62 | +0.27 | 21 |
| 2026-12-04 | 24 | $99.82 | 32.26% | 34.67% | 32.64% | +2.03 | +1.40 | 17 |
| 2026-12-11 | 31 | $99.92 | 33.25% | 34.63% | 32.47% | +2.16 | +0.30 | 27 |
| 2026-12-18 | 38 | $100.08 | 32.68% | 34.10% | 32.44% | +1.66 | +0.59 | 33 |
| 2026-12-24 | 44 | $100.15 | 32.94% | 35.77% | 33.37% | +2.40 | +1.63 | 19 |
| 2027-01-15 | 66 | $100.60 | 30.93% | 34.90% | 31.54% | +3.36 | +2.30 | 44 |
| 2027-02-19 | 101 | $100.87 | 30.84% | 33.99% | 30.69% | +3.31 | +1.50 | 30 |
| 2027-03-19 | 129 | $100.87 | 32.49% | 34.58% | 30.85% | +3.72 | +0.22 | 50 |
| 2027-05-21 | 192 | $101.57 | 34.52% | 34.69% | 32.48% | +2.21 | -0.94 | 33 |
| 2027-06-17 | 219 | $101.92 | 33.30% | 34.85% | 32.79% | +2.06 | +0.52 | 44 |
| 2027-07-16 | 248 | $102.55 | 33.50% | 35.44% | 32.34% | +3.10 | +0.39 | 18 |
| 2027-09-17 | 311 | $103.00 | 33.36% | 35.59% | 32.93% | +2.66 | +0.90 | 23 |
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
14 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 |
|---|---|---|---|---|---|
| 2026-11-13 | 3 天 | $100.03 | 39.36% | $100.09 | 12 |
| 2026-11-20 | 10 天 | $100.12 | 34.40% | $100.28 | 26 |
| 2026-11-27 | 17 天 | $100.05 | 33.27% | $100.31 | 21 |
| 2026-12-04 | 24 天 | $99.82 | 32.26% | $100.17 | 17 |
| 2026-12-11 | 31 天 | $99.92 | 33.25% | $100.40 | 27 |
| 2026-12-18 | 38 天 | $100.08 | 32.68% | $100.63 | 33 |
| 2026-12-24 | 44 天 | $100.15 | 32.94% | $100.80 | 19 |
| 2027-01-15 | 66 天 | $100.60 | 30.93% | $101.48 | 44 |
| 2027-02-19 | 101 天 | $100.87 | 30.84% | $102.21 | 30 |
| 2027-03-19 | 129 天 | $100.87 | 32.49% | $102.77 | 50 |
| 2027-05-21 | 192 天 | $101.57 | 34.52% | $104.80 | 33 |
| 2027-06-17 | 219 天 | $101.92 | 33.30% | $105.37 | 44 |
| 2027-07-16 | 248 天 | $102.55 | 33.50% | $106.54 | 18 |
| 2027-09-17 | 311 天 | $103.00 | 33.36% | $108.00 | 23 |
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
- 33.14%
- 60 天
- 31.34%
- 90 天
- 30.86%
- 180 天
- 34.25%
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 303 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。