指数 · 期权分析
RUT 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $2,821.38
- 30D ATM IV
- 18.99%
- IV 百分位 · 1年
- 第 24
- 25Δ 风险逆转
- +4.77
- 期限斜率 90/30
- 1.021
▼ -0.15 pts 较前一交易日
概览
RUT 期权当前计入的 30 天平值隐含波动率为 19.0%,相当于未来一个月约 ±5.4% 的波动。这高于它过去一年 238 个交易日中 24% 的读数。
它的 25-delta put 比 call 的隐含波动率高 4.77 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ⓘ
- 18.99%
- 25-delta 风险逆转ⓘ
- +4.77
- 25-delta 蝶式价差ⓘ
- +0.63
- 期限结构斜率ⓘ
- 1.021
对应 30 天内约 ±5.4% 的波动，平常一天约 ±1.2%。
高于过去一年中 24% 的读数。
距平值同样远时，put 比 call的隐含波动率高 4.77 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 0.63 个点。
90 天的隐含波动率比 30 天高 2%。
高于过去一年中 68% 的读数。
30 天隐含波动率处在什么位置
对比此前 238 个交易日(一年窗口)
- IV 百分位,1 年
- 24%
- IV 排名,1 年
- 10%
- IV 百分位,2 年
- 18%
- IV 排名,2 年
- 10%
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
- $2,821.38
- 30 天隐含远期价
- $2,823.97
- 60 天 ATM IV
- 19.03%
- 90 天 ATM IV
- 19.39%
- 180 天 ATM IV
- 20.03%
- 使用的到期日数
- 6
- 总未平仓量
- 483,065
- Put / call 未平仓量比
- 1.59
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 348 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 | 18.99% | +4.77 | 1.021 | $2,821.38 |
| 2026-11-09 | 19.15% | +4.50 | 1.008 | $2,840.81 |
| 2026-11-06 | 21.96% | +6.65 | 0.957 | $2,754.11 |
| 2026-11-05 | 24.13% | +7.59 | 0.910 | $2,729.89 |
| 2026-11-04 | 17.41% | +3.85 | 1.040 | $2,856.95 |
| 2026-11-03 | 20.74% | +5.24 | 0.953 | $2,812.45 |
| 2026-11-02 | 20.97% | +5.52 | 0.952 | $2,805.88 |
| 2026-10-30 | 19.99% | +5.50 | 0.979 | $2,811.84 |
| 2026-10-29 | 17.65% | +3.94 | 1.042 | $2,859.22 |
| 2026-10-28 | 17.95% | +3.68 | 1.038 | $2,830.51 |
| 2026-10-27 | 18.61% | +3.78 | 1.015 | $2,818.87 |
| 2026-10-26 | 19.31% | +4.19 | 0.998 | $2,786.42 |
| 2026-10-23 | 20.02% | +4.65 | 0.986 | $2,775.90 |
| 2026-10-22 | 20.29% | +4.26 | 0.975 | $2,784.03 |
| 2026-10-21 | 18.54% | +3.26 | 1.020 | $2,781.02 |
| 2026-10-20 | — | — | — | $2,773.42 |
| 2026-10-19 | — | — | — | $2,728.30 |
| 2026-10-16 | — | — | — | $2,721.37 |
| 2026-10-15 | 17.98% | +3.37 | 1.021 | $2,767.27 |
| 2026-10-14 | 19.07% | +4.21 | 1.010 | $2,729.53 |
| 2026-10-13 | 18.24% | +3.23 | 1.031 | $2,783.37 |
| 2026-10-09 | 17.96% | +3.13 | 1.055 | $2,806.98 |
| 2026-10-08 | 18.77% | +3.40 | 1.027 | $2,794.13 |
| 2026-10-07 | 18.69% | +3.29 | 1.028 | $2,793.20 |
| 2026-10-06 | 18.32% | +2.88 | 1.035 | $2,830.30 |
| 2026-10-05 | 18.30% | +3.17 | 1.033 | $2,847.14 |
| 2026-10-02 | 18.04% | +3.51 | 1.045 | $2,832.90 |
| 2026-10-01 | 19.20% | +3.89 | 1.005 | $2,806.63 |
| 2026-09-30 | 18.90% | +3.70 | 1.010 | $2,796.86 |
| 2026-09-29 | 19.09% | +3.82 | 1.006 | $2,807.92 |
| 2026-09-28 | 18.74% | +3.84 | 1.014 | $2,817.91 |
| 2026-09-25 | 17.63% | +3.33 | 1.054 | $2,837.55 |
| 2026-09-24 | 18.29% | +3.49 | 1.038 | $2,835.57 |
| 2026-09-23 | 17.82% | +3.68 | 1.044 | $2,838.66 |
| 2026-09-22 | 16.67% | +2.55 | 1.082 | $2,889.92 |
| 2026-09-21 | 16.77% | +3.19 | 1.083 | $2,875.36 |
| 2026-09-18 | 16.30% | +4.08 | 1.115 | $2,860.40 |
| 2026-09-17 | 16.47% | +4.29 | 1.109 | $2,874.63 |
| 2026-09-16 | 18.60% | +5.51 | 1.039 | $2,858.81 |
| 2026-09-15 | 18.49% | +5.22 | 1.034 | $2,870.29 |
| 2026-09-14 | 17.97% | +5.07 | 1.054 | $2,892.24 |
| 2026-09-11 | 17.51% | +4.76 | 1.073 | $2,903.94 |
| 2026-09-10 | 19.64% | +5.36 | 1.006 | $2,890.95 |
| 2026-09-09 | 18.25% | +4.38 | 1.039 | $2,921.24 |
| 2026-09-08 | 17.13% | +4.07 | 1.073 | $2,960.20 |
| 2026-09-04 | 16.06% | +3.63 | 1.109 | $2,975.65 |
| 2026-09-03 | 16.44% | +3.53 | 1.091 | $2,968.27 |
| 2026-09-02 | 17.08% | +4.35 | 1.067 | $2,953.17 |
| 2026-09-01 | 18.01% | +5.00 | 1.035 | $2,920.13 |
| 2026-08-31 | 16.43% | +4.03 | 1.084 | $2,956.45 |
| 2026-08-28 | 16.06% | +3.78 | 1.116 | $2,972.37 |
| 2026-08-27 | 16.17% | +3.68 | 1.114 | $3,014.34 |
| 2026-08-26 | 16.67% | +3.89 | 1.104 | $3,005.90 |
| 2026-08-25 | 16.92% | +3.94 | 1.094 | $3,010.02 |
| 2026-08-24 | 17.23% | +4.13 | 1.077 | $2,995.08 |
| 2026-08-21 | 16.70% | +3.81 | 1.107 | $3,017.87 |
| 2026-08-20 | 17.35% | +4.65 | 1.098 | $2,992.43 |
| 2026-08-19 | 15.99% | +3.91 | 1.147 | $3,032.94 |
| 2026-08-18 | 16.79% | +4.55 | 1.124 | $3,017.89 |
| 2026-08-17 | 16.28% | +3.84 | 1.151 | $3,057.54 |
| 2025-10-22 | 22.05% | +4.47 | 1.000 | $2,451.55 |
| 2025-10-21 | — | — | — | $2,487.69 |
| 2025-10-20 | — | — | — | $2,499.91 |
| 2025-10-17 | — | — | — | $2,452.17 |
| 2025-10-16 | 25.23% | +7.11 | 0.941 | $2,467.02 |
| 2025-10-15 | 22.47% | +4.57 | 0.996 | $2,519.75 |
| 2025-10-14 | 22.81% | +4.63 | 0.983 | $2,495.50 |
| 2025-10-10 | 22.92% | +5.27 | 0.987 | $2,394.60 |
| 2025-10-09 | 19.73% | +2.85 | 1.059 | $2,468.85 |
| 2025-10-08 | 19.71% | +2.63 | 1.059 | $2,483.99 |
| 2025-10-07 | 20.24% | +3.14 | 1.041 | $2,458.42 |
| 2025-10-06 | 19.66% | +2.43 | 1.053 | $2,486.36 |
| 2025-10-03 | 19.42% | +2.61 | 1.061 | $2,476.18 |
| 2025-10-02 | 19.62% | +2.77 | 1.053 | $2,458.49 |
| 2025-10-01 | 19.56% | +2.59 | 1.050 | $2,442.35 |
| 2025-09-30 | 20.01% | +2.84 | 1.039 | $2,436.48 |
| 2025-09-29 | 20.08% | +2.56 | 1.038 | $2,435.25 |
| 2025-09-26 | 19.71% | +2.46 | 1.048 | $2,434.32 |
| 2025-09-25 | 21.10% | +2.94 | 1.021 | $2,411.04 |
| 2025-09-24 | 21.18% | +2.56 | 1.018 | $2,434.98 |
| 2025-09-23 | 21.18% | +2.53 | 1.016 | $2,457.51 |
| 2025-09-22 | 20.63% | +2.14 | 1.019 | $2,463.34 |
| 2025-09-19 | 19.54% | +2.19 | 1.047 | $2,448.77 |
| 2025-09-18 | 20.14% | +1.97 | 1.033 | $2,467.70 |
| 2025-09-17 | 20.57% | +2.37 | 1.002 | $2,407.35 |
| 2025-09-16 | 21.42% | +2.18 | 0.979 | $2,403.03 |
| 2025-09-15 | 20.96% | +2.42 | 0.991 | $2,405.13 |
| 2025-09-12 | 19.90% | +2.30 | 1.020 | $2,397.06 |
| 2025-09-11 | 20.07% | +2.19 | 1.012 | $2,421.53 |
| 2025-09-10 | 20.47% | +3.03 | 0.999 | $2,378.01 |
| 2025-09-09 | 20.47% | +3.21 | 0.997 | $2,381.82 |
| 2025-09-08 | 20.11% | +2.92 | 1.003 | $2,394.89 |
| 2025-09-05 | 19.87% | +2.90 | 1.019 | $2,391.05 |
| 2025-09-04 | 20.91% | +2.94 | 0.983 | $2,379.61 |
| 2025-09-03 | 21.22% | +3.52 | 0.974 | $2,349.97 |
| 2025-09-02 | 21.62% | +3.63 | 0.967 | $2,352.21 |
| 2025-08-29 | 20.23% | +2.80 | 1.007 | $2,366.42 |
| 2025-08-28 | 20.16% | +2.22 | 1.006 | $2,378.41 |
| 2025-08-27 | 20.68% | +2.34 | 0.995 | $2,373.80 |
| 2025-08-26 | 20.37% | +2.41 | 1.004 | $2,358.60 |
| 2025-08-25 | 20.41% | +2.30 | 1.007 | $2,339.17 |
| 2025-08-22 | 20.35% | +2.03 | 1.003 | $2,361.95 |
| 2025-08-21 | 21.79% | +3.52 | 0.968 | $2,274.10 |
| 2025-08-20 | 21.28% | +3.27 | 0.987 | $2,269.35 |
| 2025-08-19 | — | — | — | $2,276.61 |
| 2025-08-18 | — | — | — | $2,294.47 |
| 2025-08-15 | — | — | — | $2,286.52 |
| 2025-08-14 | 20.33% | +3.21 | 1.004 | $2,299.08 |
| 2025-08-13 | 20.45% | +2.43 | 1.002 | $2,328.06 |
| 2025-08-12 | 20.41% | +2.71 | 0.995 | $2,282.78 |
| 2025-08-11 | 22.07% | +3.91 | 0.953 | $2,216.51 |
| 2025-08-08 | 21.14% | +3.85 | 0.983 | $2,218.42 |
| 2025-08-07 | 21.91% | +4.30 | 0.970 | $2,214.72 |
| 2025-08-06 | 21.97% | +4.49 | 0.975 | $2,221.29 |
| 2025-08-05 | 22.43% | +4.77 | 0.969 | $2,225.67 |
| 2025-08-04 | 22.18% | +4.92 | 0.971 | $2,212.30 |
| 2025-08-01 | 23.92% | +6.16 | 0.944 | $2,166.78 |
| 2025-07-31 | 21.90% | +5.09 | 0.966 | $2,211.65 |
| 2025-07-30 | 20.60% | +4.41 | 0.988 | $2,232.40 |
| 2025-07-29 | 20.62% | +4.08 | 0.987 | $2,242.96 |
图表覆盖存档中的全部交易日,共 348 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 348 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) · 38d (2026-12-18) · 66d (2027-01-15)
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 | 38d | 66d |
|---|---|---|---|
| 5Δ 看涨 | 16.02% | 17.27% | 17.37% |
| 10Δ 看涨 | 15.98% | 16.84% | 16.84% |
| 15Δ 看涨 | 16.20% | 16.87% | 16.87% |
| 20Δ 看涨 | 16.42% | 17.05% | 17.05% |
| 25Δ 看涨 | 16.68% | 17.30% | 17.29% |
| 30Δ 看涨 | 17.00% | 17.60% | 17.57% |
| 35Δ 看涨 | 17.29% | 17.93% | 17.88% |
| 40Δ 看涨 | 17.57% | 18.27% | 18.22% |
| 45Δ 看涨 | 17.90% | 18.66% | 18.61% |
| ATM | 18.23% | 19.07% | 19.02% |
| 45Δ 看跌 | 18.60% | 19.53% | 19.48% |
| 40Δ 看跌 | 18.96% | 20.06% | 20.03% |
| 35Δ 看跌 | 19.38% | 20.65% | 20.64% |
| 30Δ 看跌 | 19.81% | 21.36% | 21.38% |
| 25Δ 看跌 | 20.36% | 22.18% | 22.27% |
| 20Δ 看跌 | 21.00% | 23.24% | 23.39% |
| 15Δ 看跌 | 21.82% | 24.61% | 24.95% |
| 10Δ 看跌 | 23.19% | 26.71% | 27.37% |
| 5Δ 看跌 | 26.65% | 31.10% | 32.40% |
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 | $2,820.40 | 18.23% | 20.36% | 16.68% | +3.69 | +0.29 | 125 |
| 2026-12-18 | 38 | $2,825.40 | 19.07% | 22.18% | 17.30% | +4.88 | +0.67 | 185 |
| 2027-01-15 | 66 | $2,834.43 | 19.02% | 22.27% | 17.29% | +4.98 | +0.76 | 125 |
| 2027-03-19 | 129 | $2,849.90 | 19.69% | 23.07% | 17.90% | +5.17 | +0.80 | 131 |
| 2027-06-17 | 219 | $2,875.77 | 20.18% | 23.51% | 18.49% | +5.03 | +0.81 | 58 |
| 2027-09-17 | 311 | $2,903.12 | 20.47% | 23.63% | 18.83% | +4.80 | +0.76 | 51 |
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
6 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 | $2,820.40 | 18.23% | $2,821.68 | 125 |
| 2026-12-18 | 38 天 | $2,825.40 | 19.07% | $2,830.76 | 185 |
| 2027-01-15 | 66 天 | $2,834.43 | 19.02% | $2,843.72 | 125 |
| 2027-03-19 | 129 天 | $2,849.90 | 19.69% | $2,869.49 | 131 |
| 2027-06-17 | 219 天 | $2,875.77 | 20.18% | $2,911.14 | 58 |
| 2027-09-17 | 311 天 | $2,903.12 | 20.47% | $2,955.41 | 51 |
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
- 18.99%
- 60 天
- 19.03%
- 90 天
- 19.39%
- 180 天
- 20.03%
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 348 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。