ETF · 期权分析
QQQ 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $674.76
- 30D ATM IV
- 24.89%
- IV 百分位 · 1年
- 第 85
- 25Δ 风险逆转
- +7.39
- 期限斜率 90/30
- 0.943
▲ +0.39 pts 较前一交易日
概览
QQQ 期权当前计入的 30 天平值隐含波动率为 24.9%,相当于未来一个月约 ±7.1% 的波动。这高于它过去一年 252 个交易日中 85% 的读数。
它的 25-delta put 比 call 的隐含波动率高 7.39 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 6%。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ⓘ
- 24.89%
- 25-delta 风险逆转ⓘ
- +7.39
- 25-delta 蝶式价差ⓘ
- +0.77
- 期限结构斜率ⓘ
- 0.943
对应 30 天内约 ±7.1% 的波动，平常一天约 ±1.6%。
高于过去一年中 85% 的读数。
距平值同样远时，put 比 call的隐含波动率高 7.39 个点。
高于过去一年中 73% 的读数。
两翼的隐含波动率比平值高 0.77 个点。
90 天的隐含波动率比 30 天低 6%。
高于过去一年中 10% 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)
14.6%32.0%
- IV 百分位,1 年
- 85%
- IV 排名,1 年
- 59%
- IV 百分位,2 年
- 88%
- IV 排名,2 年
- 35%
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
- $674.76
- 30 天隐含远期价
- $675.58
- 60 天 ATM IV
- 23.79%
- 90 天 ATM IV
- 23.46%
- 180 天 ATM IV
- 23.52%
- 使用的到期日数
- 26
- 总未平仓量
- 11,979,688
- 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 547 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 | 24.89% | +7.39 | 0.943 | $674.76 |
| 2026-11-09 | 24.49% | +7.29 | 0.949 | $679.35 |
| 2026-11-06 | 28.56% | +9.58 | 0.894 | $656.10 |
| 2026-11-05 | 31.99% | +10.84 | 0.839 | $647.05 |
| 2026-11-04 | 22.11% | +5.29 | 0.982 | $691.95 |
| 2026-11-03 | 26.84% | +7.00 | 0.895 | $685.28 |
| 2026-11-02 | 26.66% | +7.59 | 0.903 | $681.09 |
| 2026-10-30 | 24.89% | +7.56 | 0.940 | $690.49 |
| 2026-10-29 | 20.72% | +5.97 | 1.020 | $715.34 |
| 2026-10-28 | 20.35% | +5.31 | 1.018 | $725.61 |
| 2026-10-27 | 21.25% | +5.81 | 0.996 | $721.25 |
| 2026-10-26 | 22.19% | +6.51 | 0.974 | $712.20 |
| 2026-10-23 | 24.35% | +7.58 | 0.939 | $704.40 |
| 2026-10-22 | 25.29% | +7.73 | 0.906 | $704.47 |
| 2026-10-21 | 21.19% | +5.84 | 0.977 | $725.20 |
| 2026-10-20 | 21.40% | +6.29 | 0.973 | $717.63 |
| 2026-10-19 | 20.96% | +6.83 | 0.981 | $718.36 |
| 2026-10-16 | 22.74% | +8.29 | 0.939 | $709.80 |
| 2026-10-15 | 19.91% | +5.75 | 0.998 | $728.00 |
| 2026-10-14 | 20.09% | +6.18 | 0.996 | $728.95 |
| 2026-10-13 | 18.41% | +5.11 | 1.043 | $743.57 |
| 2026-10-09 | 17.96% | +4.64 | 1.068 | $751.27 |
| 2026-10-08 | 19.27% | +5.05 | 1.037 | $747.58 |
| 2026-10-07 | 18.43% | +4.23 | 1.068 | $757.73 |
| 2026-10-06 | 18.61% | +3.86 | 1.064 | $759.66 |
| 2026-10-05 | 19.09% | +4.11 | 1.057 | $756.20 |
| 2026-10-02 | 18.63% | +4.25 | 1.074 | $749.58 |
| 2026-10-01 | 19.53% | +4.92 | 1.044 | $742.03 |
| 2026-09-30 | 19.32% | +4.79 | 1.045 | $739.77 |
| 2026-09-29 | 19.25% | +4.52 | 1.054 | $737.93 |
| 2026-09-28 | 19.03% | +4.39 | 1.061 | $736.53 |
| 2026-09-25 | 17.95% | +3.69 | 1.117 | $744.50 |
| 2026-09-24 | 18.22% | +3.93 | 1.115 | $741.10 |
| 2026-09-23 | 17.96% | +4.05 | 1.131 | $741.21 |
| 2026-09-22 | 17.51% | +3.07 | 1.141 | $747.46 |
| 2026-09-21 | 17.60% | +3.32 | 1.135 | $741.47 |
| 2026-09-18 | 16.48% | +4.68 | 1.176 | $721.45 |
| 2026-09-17 | 17.16% | +4.84 | 1.147 | $716.92 |
| 2026-09-16 | 18.96% | +6.28 | 1.088 | $704.72 |
| 2026-09-15 | 18.63% | +6.32 | 1.092 | $704.54 |
| 2026-09-14 | 18.52% | +6.06 | 1.103 | $709.18 |
| 2026-09-11 | 17.61% | +5.42 | 1.137 | $714.88 |
| 2026-09-10 | 19.92% | +6.18 | 1.054 | $708.69 |
| 2026-09-09 | 19.02% | +5.33 | 1.083 | $716.31 |
| 2026-09-08 | 18.41% | +4.87 | 1.099 | $718.36 |
| 2026-09-04 | 17.07% | +4.29 | 1.138 | $718.96 |
| 2026-09-03 | 17.04% | +4.14 | 1.126 | $717.67 |
| 2026-09-02 | 17.57% | +5.30 | 1.110 | $709.24 |
| 2026-09-01 | 18.22% | +5.72 | 1.078 | $707.64 |
| 2026-08-31 | 16.45% | +4.42 | 1.154 | $716.76 |
| 2026-08-28 | 16.80% | +4.21 | 1.157 | $716.43 |
| 2026-08-27 | 17.68% | +4.07 | 1.126 | $721.11 |
| 2026-08-21 | 19.08% | +4.69 | 1.110 | $713.44 |
| 2026-08-20 | 20.04% | +5.47 | 1.079 | $710.93 |
| 2026-08-19 | 19.12% | +4.76 | 1.111 | $716.08 |
| 2026-08-18 | 19.56% | +5.27 | 1.101 | $717.51 |
| 2026-08-17 | 18.50% | +4.50 | 1.144 | $729.87 |
| 2026-08-14 | 18.17% | +3.57 | 1.152 | $731.07 |
| 2026-08-13 | 18.70% | +3.29 | 1.140 | $732.07 |
| 2026-08-12 | 18.48% | +3.60 | 1.137 | $723.70 |
| 2026-08-11 | 19.43% | +3.97 | 1.103 | $718.45 |
| 2026-08-10 | 20.30% | +3.94 | 1.082 | $720.87 |
| 2026-08-07 | 20.24% | +3.56 | 1.082 | $723.03 |
| 2026-08-06 | 21.12% | +4.14 | 1.057 | $714.65 |
| 2026-08-05 | 21.84% | +3.80 | 1.039 | $717.30 |
| 2026-08-04 | 22.74% | +1.13 | 1.045 | $723.85 |
| 2026-08-03 | 21.75% | +4.68 | 1.046 | $700.07 |
| 2026-07-31 | 22.64% | +5.86 | 1.023 | $687.99 |
| 2026-07-30 | 24.36% | +5.98 | 0.983 | $683.55 |
| 2026-07-29 | 27.28% | +7.53 | 0.932 | $661.73 |
| 2026-07-28 | 25.85% | +6.93 | 0.952 | $675.49 |
| 2026-07-27 | 25.48% | +7.28 | 0.961 | $682.12 |
| 2026-07-24 | 25.64% | +7.56 | 0.974 | $684.23 |
| 2026-07-23 | 25.22% | +7.94 | 0.977 | $691.96 |
| 2026-07-22 | 23.70% | +7.38 | 1.010 | $705.35 |
| 2026-07-21 | 23.73% | +7.21 | 1.005 | $708.97 |
| 2026-07-20 | 25.64% | +7.90 | 0.962 | $696.06 |
| 2026-07-17 | 25.96% | +8.09 | 0.957 | $695.33 |
| 2026-07-16 | 24.44% | +7.29 | 0.987 | $705.94 |
| 2026-07-15 | 22.83% | +6.55 | 1.027 | $717.74 |
| 2026-07-14 | 23.27% | +6.81 | 1.021 | $719.69 |
| 2026-07-13 | 24.37% | +6.86 | 0.993 | $711.74 |
| 2026-07-10 | 22.25% | +5.65 | 1.049 | $725.51 |
| 2026-07-09 | 23.67% | +6.20 | 1.020 | $723.28 |
| 2026-07-08 | 24.82% | +6.86 | 0.990 | $711.44 |
| 2026-07-07 | 24.73% | +6.62 | 0.988 | $709.43 |
| 2026-07-06 | 23.80% | +6.09 | 1.009 | $722.82 |
| 2026-07-02 | 25.16% | +6.63 | 0.987 | $712.60 |
| 2026-07-01 | 24.37% | +6.51 | 1.005 | $725.17 |
| 2026-06-30 | 23.94% | +6.44 | 1.021 | $736.40 |
| 2026-06-29 | 25.87% | +7.04 | 0.972 | $724.08 |
| 2026-06-26 | 27.57% | +7.39 | 0.949 | $706.52 |
| 2026-06-25 | 27.49% | +7.40 | 0.953 | $716.38 |
| 2026-06-24 | 26.57% | +7.00 | 0.975 | $710.62 |
| 2026-06-23 | 28.44% | +7.83 | 0.944 | $713.65 |
| 2026-06-22 | 24.28% | +6.82 | 1.028 | $737.95 |
| 2026-06-18 | 23.32% | +5.70 | 1.054 | $740.62 |
| 2026-06-17 | 25.08% | +6.93 | 0.997 | $722.51 |
| 2026-06-16 | 23.89% | +6.00 | 1.019 | $729.86 |
| 2026-06-15 | 22.84% | +4.88 | 1.051 | $744.00 |
| 2026-06-12 | 24.60% | +5.59 | 1.008 | $721.34 |
| 2026-06-11 | 27.14% | +5.77 | 0.947 | $717.12 |
| 2026-06-10 | 28.57% | +6.88 | 0.923 | $693.69 |
| 2026-06-09 | 26.01% | +6.93 | 0.961 | $707.83 |
| 2026-06-08 | 23.71% | +6.71 | 1.013 | $716.07 |
| 2026-06-05 | 26.52% | +7.42 | 0.939 | $705.06 |
| 2026-06-04 | 20.64% | +4.42 | 1.087 | $740.61 |
| 2026-06-03 | 21.35% | +5.79 | 1.083 | $744.21 |
| 2026-06-02 | 21.06% | +4.45 | 1.088 | $746.16 |
| 2026-06-01 | 20.66% | +4.28 | 1.083 | $742.74 |
| 2026-05-29 | 20.10% | +3.84 | 1.094 | $738.31 |
| 2026-05-28 | 20.45% | +3.38 | 1.083 | $735.60 |
| 2026-05-27 | 20.90% | +3.64 | 1.057 | $729.45 |
| 2026-05-26 | 21.32% | +3.93 | 1.047 | $730.28 |
| 2026-05-22 | 20.44% | +4.18 | 1.062 | $717.54 |
| 2026-05-21 | 20.41% | +4.26 | 1.049 | $714.51 |
| 2026-05-20 | 21.61% | +4.81 | 1.024 | $713.15 |
| 2026-05-19 | 21.68% | +5.14 | 1.007 | $701.53 |
| 2026-05-18 | 21.67% | +5.19 | 1.010 | $705.88 |
| 2026-05-15 | 22.68% | +5.44 | 1.003 | $708.93 |
图表覆盖存档中的全部交易日,共 547 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 547 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 | 23.91% | 24.03% | 24.05% |
| 10Δ 看涨 | 24.53% | 24.78% | 24.75% |
| 15Δ 看涨 | 25.17% | 25.54% | 25.47% |
| 20Δ 看涨 | 25.80% | 26.17% | 26.12% |
| 25Δ 看涨 | 26.44% | 26.79% | 26.72% |
| 30Δ 看涨 | 26.99% | 27.34% | 27.31% |
| 35Δ 看涨 | 27.52% | 27.85% | 27.87% |
| 40Δ 看涨 | 28.04% | 28.37% | 28.41% |
| 45Δ 看涨 | 28.58% | 28.90% | 28.93% |
| ATM | 29.07% | 29.40% | 29.45% |
| 45Δ 看跌 | 29.55% | 29.85% | 29.98% |
| 40Δ 看跌 | 30.04% | 30.40% | 30.53% |
| 35Δ 看跌 | 30.46% | 30.90% | 31.09% |
| 30Δ 看跌 | 30.90% | 31.45% | 31.71% |
| 25Δ 看跌 | 31.29% | 32.02% | 32.38% |
| 20Δ 看跌 | 31.74% | 32.68% | 33.08% |
| 15Δ 看跌 | 32.34% | 33.57% | 34.01% |
| 10Δ 看跌 | 33.16% | 34.73% | 35.32% |
| 5Δ 看跌 | 35.17% | 37.31% | 38.28% |
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 | $673.39 | 29.07% | 31.29% | 26.44% | +4.85 | -0.20 | 106 |
| 2026-11-12 | 2 | $673.47 | 29.40% | 32.02% | 26.79% | +5.23 | +0.00 | 130 |
| 2026-11-13 | 3 | $673.68 | 29.45% | 32.38% | 26.72% | +5.66 | +0.10 | 156 |
| 2026-11-16 | 6 | $673.76 | 24.62% | 27.33% | 22.31% | +5.02 | +0.20 | 160 |
| 2026-11-17 | 7 | $673.86 | 25.97% | 29.01% | 23.49% | +5.52 | +0.28 | 151 |
| 2026-11-18 | 8 | $673.92 | 26.94% | 30.24% | 24.29% | +5.94 | +0.33 | 139 |
| 2026-11-19 | 9 | $674.00 | 27.37% | 30.97% | 24.64% | +6.32 | +0.43 | 123 |
| 2026-11-20 | 10 | $674.19 | 27.89% | 31.66% | 25.01% | +6.65 | +0.44 | 280 |
| 2026-11-23 | 13 | $674.27 | 25.91% | 29.59% | 23.14% | +6.46 | +0.45 | 146 |
| 2026-11-24 | 14 | $674.35 | 26.13% | 30.05% | 23.23% | +6.82 | +0.52 | 30 |
| 2026-11-27 | 17 | $674.65 | 25.42% | 29.54% | 22.56% | +6.98 | +0.63 | 195 |
| 2026-11-30 | 20 | $674.74 | 24.39% | 28.47% | 21.64% | +6.83 | +0.67 | 178 |
| 2026-12-04 | 24 | $675.15 | 24.97% | 29.29% | 22.09% | +7.19 | +0.72 | 179 |
| 2026-12-11 | 31 | $675.65 | 24.88% | 29.36% | 21.94% | +7.42 | +0.77 | 176 |
| 2026-12-18 | 38 | $676.13 | 24.65% | 29.18% | 21.67% | +7.51 | +0.78 | 280 |
| 2026-12-24 | 44 | $675.92 | 24.17% | 28.67% | 21.28% | +7.38 | +0.80 | 117 |
| 2026-12-31 | 51 | $676.44 | 23.92% | 28.33% | 21.03% | +7.31 | +0.75 | 277 |
| 2027-01-15 | 66 | $677.67 | 23.72% | 27.96% | 20.83% | +7.13 | +0.67 | 142 |
| 2027-01-29 | 80 | $678.69 | 23.52% | 27.74% | 20.73% | +7.01 | +0.71 | 181 |
| 2027-02-19 | 101 | $680.35 | 23.40% | 27.55% | 20.64% | +6.92 | +0.70 | 147 |
| 2027-03-19 | 129 | $682.55 | 23.47% | 27.54% | 20.78% | +6.76 | +0.68 | 167 |
| 2027-03-31 | 141 | $683.00 | 23.38% | 27.35% | 20.72% | +6.62 | +0.66 | 157 |
| 2027-06-17 | 219 | $689.31 | 23.61% | 27.36% | 21.07% | +6.29 | +0.61 | 183 |
| 2027-06-30 | 232 | $689.90 | 23.60% | 27.33% | 21.08% | +6.25 | +0.61 | 102 |
| 2027-09-17 | 311 | $696.27 | 23.83% | 27.22% | 21.33% | +5.90 | +0.44 | 172 |
| 2027-09-30 | 324 | $696.75 | 23.76% | 27.38% | 21.38% | +6.00 | +0.62 | 101 |
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
26 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 | $673.39 | 29.07% | $673.47 | 106 |
| 2026-11-12 | 2 天 | $673.47 | 29.40% | $673.62 | 130 |
| 2026-11-13 | 3 天 | $673.68 | 29.45% | $673.93 | 156 |
| 2026-11-16 | 6 天 | $673.76 | 24.62% | $674.10 | 160 |
| 2026-11-17 | 7 天 | $673.86 | 25.97% | $674.30 | 151 |
| 2026-11-18 | 8 天 | $673.92 | 26.94% | $674.46 | 139 |
| 2026-11-19 | 9 天 | $674.00 | 27.37% | $674.62 | 123 |
| 2026-11-20 | 10 天 | $674.19 | 27.89% | $674.90 | 280 |
| 2026-11-23 | 13 天 | $674.27 | 25.91% | $675.08 | 146 |
| 2026-11-24 | 14 天 | $674.35 | 26.13% | $675.23 | 30 |
| 2026-11-27 | 17 天 | $674.65 | 25.42% | $675.67 | 195 |
| 2026-11-30 | 20 天 | $674.74 | 24.39% | $675.84 | 178 |
| 2026-12-04 | 24 天 | $675.15 | 24.97% | $676.53 | 179 |
| 2026-12-11 | 31 天 | $675.65 | 24.88% | $677.43 | 176 |
| 2026-12-18 | 38 天 | $676.13 | 24.65% | $678.27 | 280 |
| 2026-12-24 | 44 天 | $675.92 | 24.17% | $678.31 | 117 |
| 2026-12-31 | 51 天 | $676.44 | 23.92% | $679.15 | 277 |
| 2027-01-15 | 66 天 | $677.67 | 23.72% | $681.12 | 142 |
| 2027-01-29 | 80 天 | $678.69 | 23.52% | $682.81 | 181 |
| 2027-02-19 | 101 天 | $680.35 | 23.40% | $685.53 | 147 |
| 2027-03-19 | 129 天 | $682.55 | 23.47% | $689.23 | 167 |
| 2027-03-31 | 141 天 | $683.00 | 23.38% | $690.25 | 157 |
| 2027-06-17 | 219 天 | $689.31 | 23.61% | $700.94 | 183 |
| 2027-06-30 | 232 天 | $689.90 | 23.60% | $702.21 | 102 |
| 2027-09-17 | 311 天 | $696.27 | 23.83% | $713.33 | 172 |
| 2027-09-30 | 324 天 | $696.75 | 23.76% | $714.43 | 101 |
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
- 24.89%
- 60 天
- 23.79%
- 90 天
- 23.46%
- 180 天
- 23.52%
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 547 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。