ETF · 期权分析
SMH 期权分析
数据截至 2026年11月12日(收盘)
- 标的收盘价
- $501.73
- 30D ATM IV
- 44.97%
- IV 百分位 · 1年
- 第 93
- 25Δ 风险逆转
- +6.73
- 期限斜率 90/30
- 0.925
▼ -2.16 pts 较前一交易日
概览
SMH 期权当前计入的 30 天平值隐含波动率为 45.0%,相当于未来一个月约 ±12.9% 的波动。这高于它过去一年 249 个交易日中 93% 的读数。
它的 25-delta put 比 call 的隐含波动率高 6.73 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 8%。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ⓘ
- 44.97%
- 25-delta 风险逆转ⓘ
- +6.73
- 25-delta 蝶式价差ⓘ
- +1.07
- 期限结构斜率ⓘ
- 0.925
对应 30 天内约 ±12.9% 的波动，平常一天约 ±2.8%。
高于过去一年中 93% 的读数。
距平值同样远时，put 比 call的隐含波动率高 6.73 个点。
高于过去一年中 78% 的读数。
两翼的隐含波动率比平值高 1.07 个点。
90 天的隐含波动率比 30 天低 8%。
高于过去一年中 19% 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)
25.5%64.3%
- IV 百分位,1 年
- 93%
- IV 排名,1 年
- 50%
- IV 百分位,2 年
- 95%
- IV 排名,2 年
- 50%
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
- $501.73
- 30 天隐含远期价
- $501.76
- 60 天 ATM IV
- 42.31%
- 90 天 ATM IV
- 41.59%
- 180 天 ATM IV
- 40.86%
- 使用的到期日数
- 19
- 总未平仓量
- 1,835,564
- Put / call 未平仓量比
- 1.57
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 337 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 |
|---|---|---|---|---|
| 2026-11-12 | 44.97% | +6.73 | 0.925 | $501.73 |
| 2026-11-10 | 47.12% | +8.08 | 0.892 | $483.63 |
| 2026-11-09 | 45.53% | +8.74 | 0.908 | $487.41 |
| 2026-11-06 | 51.37% | +11.76 | 0.889 | $463.96 |
| 2026-11-05 | 55.32% | +12.91 | 0.856 | $447.73 |
| 2026-11-04 | 41.45% | +6.40 | 0.960 | $504.27 |
| 2026-11-03 | 44.57% | +6.98 | 0.910 | $518.52 |
| 2026-11-02 | 45.53% | +8.09 | 0.905 | $508.31 |
| 2026-10-30 | 42.70% | +7.61 | 0.927 | $522.49 |
| 2026-10-29 | 37.20% | +4.61 | 0.985 | $561.67 |
| 2026-10-28 | 36.82% | +3.73 | 0.990 | $567.67 |
| 2026-10-27 | 37.57% | +4.13 | 0.968 | $557.98 |
| 2026-10-26 | 38.88% | +4.58 | 0.957 | $541.62 |
| 2026-10-23 | 40.40% | +5.79 | 0.935 | $527.20 |
| 2026-10-22 | 43.06% | +6.64 | 0.887 | $523.35 |
| 2026-10-21 | 37.08% | +4.57 | 0.954 | $556.70 |
| 2026-10-20 | 36.55% | +5.55 | 0.967 | $546.36 |
| 2026-10-19 | 36.36% | +5.41 | 0.951 | $548.46 |
| 2026-10-16 | 38.16% | +6.20 | 0.945 | $539.79 |
| 2026-10-15 | 36.15% | +5.01 | 0.970 | $558.84 |
| 2026-10-14 | 36.14% | +4.33 | 0.956 | $564.74 |
| 2026-10-13 | 33.63% | +4.06 | 0.989 | $588.12 |
| 2026-10-09 | 32.17% | +4.80 | 1.013 | $603.33 |
| 2026-10-08 | 33.94% | +4.26 | 1.005 | $607.27 |
| 2026-10-07 | 32.00% | +2.73 | 1.035 | $625.03 |
| 2026-10-06 | 31.01% | +3.47 | 1.060 | $632.50 |
| 2026-10-05 | 32.22% | +2.46 | 1.062 | $633.90 |
| 2026-10-02 | 33.28% | +2.41 | 1.070 | $630.60 |
| 2026-10-01 | 34.77% | +2.26 | 1.050 | $617.81 |
| 2026-09-30 | 34.56% | +2.60 | 1.072 | $609.00 |
| 2026-09-29 | 34.02% | +2.94 | 1.067 | $606.90 |
| 2026-09-28 | 34.35% | +3.33 | 1.063 | $600.01 |
| 2026-09-25 | 32.84% | +2.99 | 1.114 | $606.56 |
| 2026-09-24 | 33.53% | +2.35 | 1.093 | $600.52 |
| 2026-09-23 | 34.02% | +2.93 | 1.087 | $601.41 |
| 2026-09-22 | 33.64% | +1.98 | 1.088 | $607.46 |
| 2026-09-21 | 34.04% | +1.58 | 1.070 | $596.03 |
| 2026-09-18 | 31.39% | +2.38 | 1.098 | $573.00 |
| 2026-09-17 | 31.98% | +3.33 | 1.073 | $560.61 |
| 2026-09-16 | 33.54% | +4.13 | 1.058 | $545.56 |
| 2026-09-15 | 32.17% | +4.59 | 1.093 | $542.11 |
| 2026-09-14 | 33.10% | +2.83 | 1.062 | $541.50 |
| 2026-09-11 | 31.56% | +3.53 | 1.100 | $568.53 |
| 2026-09-10 | 34.88% | +3.31 | 1.036 | $560.28 |
| 2026-09-09 | 34.03% | +3.31 | 1.066 | $574.29 |
| 2026-09-08 | 35.41% | +2.85 | 1.073 | $573.73 |
| 2026-09-04 | 33.34% | +1.25 | 1.082 | $567.01 |
| 2026-09-03 | 30.89% | +3.30 | 1.094 | $552.60 |
| 2026-09-02 | 31.70% | +3.30 | 1.086 | $550.48 |
| 2026-09-01 | 31.83% | +4.16 | 1.098 | $545.22 |
| 2026-08-31 | 31.93% | +3.45 | 1.078 | $556.63 |
| 2026-08-28 | 32.34% | +2.60 | 1.130 | $553.11 |
| 2026-08-27 | 33.95% | +3.55 | 1.095 | $573.00 |
| 2026-08-26 | 36.66% | +3.67 | 1.046 | $555.77 |
| 2026-08-25 | 35.38% | +3.87 | 1.072 | $555.82 |
| 2025-10-22 | 33.39% | +6.44 | 0.997 | $338.60 |
| 2025-10-21 | 35.73% | +5.41 | 0.936 | $345.30 |
| 2025-10-20 | 36.81% | +5.51 | 0.923 | $347.22 |
| 2025-10-17 | 37.87% | +5.83 | 0.915 | $342.83 |
| 2025-10-16 | 39.62% | +6.96 | 0.905 | $343.30 |
| 2025-10-15 | 37.82% | +4.44 | 0.903 | $341.78 |
| 2025-10-14 | 38.71% | +5.30 | 0.905 | $333.50 |
| 2025-10-10 | 38.01% | +6.59 | 0.899 | $325.34 |
| 2025-10-09 | 33.76% | +1.60 | 0.957 | $345.21 |
| 2025-10-08 | 35.05% | +0.80 | 0.937 | $346.07 |
| 2025-10-07 | 33.49% | +3.12 | 0.952 | $337.05 |
| 2025-10-06 | 34.18% | +1.39 | 0.936 | $343.38 |
| 2025-10-03 | 31.62% | +2.64 | 0.973 | $336.68 |
| 2025-10-02 | 31.78% | +2.29 | 0.969 | $338.24 |
| 2025-10-01 | 30.65% | +2.36 | 0.974 | $333.69 |
| 2025-09-30 | 29.62% | +3.80 | 0.991 | $326.36 |
| 2025-09-29 | 29.80% | +3.13 | 0.992 | $322.66 |
| 2025-09-26 | 29.02% | +3.73 | 1.008 | $321.82 |
| 2025-09-25 | 30.01% | +3.88 | 1.000 | $321.06 |
| 2025-09-24 | 29.27% | +3.48 | 1.013 | $321.11 |
| 2025-09-23 | — | — | — | $321.70 |
| 2025-09-22 | 29.68% | +2.65 | 0.984 | $322.17 |
| 2025-09-19 | 27.63% | +3.67 | 1.034 | $315.71 |
| 2025-09-18 | — | — | — | $316.97 |
| 2025-09-17 | 27.43% | +4.05 | 1.029 | $305.25 |
| 2025-09-16 | 27.58% | +4.21 | 1.028 | $307.21 |
| 2025-09-15 | 27.57% | +1.94 | 1.015 | $307.17 |
| 2025-09-12 | 27.18% | +4.13 | 1.022 | $304.32 |
| 2025-09-11 | 25.47% | +3.36 | 1.097 | $303.93 |
| 2025-09-10 | 26.39% | +4.33 | 1.061 | $300.83 |
| 2025-09-09 | — | — | — | $297.81 |
| 2025-09-08 | 26.39% | +4.76 | 1.061 | $296.52 |
| 2025-09-05 | 26.07% | +4.63 | 1.081 | $293.28 |
| 2025-09-04 | 26.42% | +5.41 | 1.063 | $289.86 |
| 2025-09-03 | 27.86% | +5.48 | 1.037 | $286.43 |
| 2025-09-02 | 28.68% | +5.76 | 1.023 | $286.48 |
| 2025-08-29 | 26.93% | +4.57 | 1.082 | $290.29 |
| 2025-08-28 | 25.58% | +4.23 | 1.080 | $298.88 |
| 2025-08-27 | 30.38% | +4.38 | 0.979 | $297.66 |
| 2025-08-26 | 28.13% | +4.92 | 1.030 | $296.75 |
| 2025-08-25 | 27.82% | +5.04 | 1.036 | $293.92 |
| 2025-08-22 | 28.07% | +5.26 | 1.031 | $293.64 |
| 2025-08-21 | 30.21% | +6.31 | 0.987 | $287.46 |
| 2025-08-20 | 28.67% | +6.00 | 1.019 | $288.96 |
| 2025-08-19 | 28.86% | +5.10 | 1.019 | $290.87 |
| 2025-08-18 | 27.55% | +4.30 | 1.037 | $296.86 |
| 2025-08-15 | 27.87% | +4.75 | 1.040 | $295.65 |
| 2025-08-14 | 27.39% | +3.87 | 1.035 | $301.92 |
| 2025-08-13 | 27.52% | +4.19 | 1.029 | $301.28 |
| 2025-08-12 | 27.91% | +4.38 | 1.015 | $300.10 |
| 2025-08-11 | 29.35% | +4.89 | 0.994 | $293.40 |
| 2025-08-08 | 28.31% | +5.36 | 1.013 | $293.53 |
| 2025-08-07 | 29.19% | +5.68 | 0.997 | $291.12 |
| 2025-08-06 | 30.10% | +6.10 | 0.978 | $286.62 |
| 2025-08-05 | 31.26% | +6.30 | 0.961 | $287.10 |
| 2025-08-04 | 30.40% | +5.88 | 0.969 | $290.19 |
| 2025-08-01 | 33.44% | +6.80 | 0.929 | $283.95 |
| 2025-07-31 | 30.71% | +5.90 | 0.961 | $288.78 |
| 2025-07-30 | 28.57% | +5.93 | 0.984 | $296.26 |
| 2025-07-29 | 28.36% | +5.18 | 0.989 | $292.90 |
| 2025-07-28 | 27.21% | +4.15 | 1.015 | $291.41 |
| 2025-07-25 | 26.17% | +4.46 | 1.059 | $287.49 |
| 2025-07-24 | 27.35% | +4.29 | 1.035 | $287.80 |
| 2025-07-23 | 28.36% | +5.29 | 1.027 | $286.61 |
| 2025-07-22 | 29.66% | +4.71 | 1.005 | $285.37 |
图表覆盖存档中的全部交易日,共 337 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 337 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 (2026-11-13) · 4d (2026-11-16) · 6d (2026-11-18)
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 | 4d | 6d |
|---|---|---|---|
| 5Δ 看涨 | 56.48% | 41.93% | 49.60% |
| 10Δ 看涨 | 55.51% | 40.40% | 47.94% |
| 15Δ 看涨 | 56.11% | 40.38% | 48.03% |
| 20Δ 看涨 | 56.51% | 40.62% | 48.44% |
| 25Δ 看涨 | 56.66% | 41.21% | 48.55% |
| 30Δ 看涨 | 56.81% | 41.41% | 48.90% |
| 35Δ 看涨 | 57.63% | 41.86% | 49.61% |
| 40Δ 看涨 | 58.65% | 42.50% | 49.76% |
| 45Δ 看涨 | 59.17% | 42.56% | 50.64% |
| ATM | 59.64% | 42.92% | 51.53% |
| 45Δ 看跌 | 60.73% | 43.80% | 52.03% |
| 40Δ 看跌 | 61.94% | 44.57% | 52.85% |
| 35Δ 看跌 | 63.03% | 45.29% | 54.81% |
| 30Δ 看跌 | 64.34% | 47.44% | 54.88% |
| 25Δ 看跌 | 66.09% | 47.22% | 56.50% |
| 20Δ 看跌 | 68.34% | 48.51% | 58.00% |
| 15Δ 看跌 | 70.85% | 50.06% | 59.91% |
| 10Δ 看跌 | 75.41% | 53.50% | 63.66% |
| 5Δ 看跌 | 83.69% | 60.70% | 71.58% |
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 | 1 | $500.08 | 59.64% | 66.09% | 56.66% | +9.43 | +1.73 | 68 |
| 2026-11-16 | 4 | $500.15 | 42.92% | 47.22% | 41.21% | +6.01 | +1.29 | 62 |
| 2026-11-18 | 6 | $500.33 | 51.53% | 56.50% | 48.55% | +7.95 | +0.99 | 75 |
| 2026-11-20 | 8 | $500.38 | 53.11% | 57.32% | 50.08% | +7.24 | +0.59 | 88 |
| 2026-11-23 | 11 | $500.75 | 46.66% | 52.63% | 46.32% | +6.31 | +2.81 | 43 |
| 2026-11-25 | 13 | $500.58 | 49.81% | 53.87% | 46.94% | +6.93 | +0.59 | 28 |
| 2026-11-27 | 15 | $500.68 | 46.99% | 50.98% | 43.59% | +7.38 | +0.29 | 92 |
| 2026-12-04 | 22 | $501.28 | 45.44% | 50.38% | 42.87% | +7.51 | +1.19 | 89 |
| 2026-12-11 | 29 | $501.75 | 44.95% | 49.53% | 42.74% | +6.79 | +1.18 | 100 |
| 2026-12-18 | 36 | $501.81 | 45.04% | 48.77% | 42.38% | +6.40 | +0.54 | 81 |
| 2026-12-24 | 42 | $500.65 | 44.31% | 47.95% | 41.92% | +6.03 | +0.63 | 66 |
| 2027-01-15 | 64 | $502.01 | 42.01% | 46.33% | 39.96% | +6.37 | +1.14 | 91 |
| 2027-02-19 | 99 | $503.51 | 41.50% | 44.70% | 39.22% | +5.49 | +0.46 | 86 |
| 2027-03-19 | 127 | $505.61 | 41.02% | 44.67% | 38.91% | +5.76 | +0.76 | 103 |
| 2027-04-16 | 155 | $507.19 | 40.85% | 44.08% | 38.76% | +5.32 | +0.57 | 73 |
| 2027-05-21 | 190 | $508.82 | 40.87% | 43.98% | 38.52% | +5.46 | +0.38 | 103 |
| 2027-06-17 | 217 | $511.28 | 40.47% | 43.91% | 38.20% | +5.72 | +0.58 | 124 |
| 2027-09-17 | 309 | $516.30 | 40.40% | 43.03% | 37.98% | +5.05 | +0.10 | 141 |
| 2027-12-17 | 400 | $522.26 | 39.90% | 42.95% | 37.93% | +5.02 | +0.55 | 143 |
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
19 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 | 1 天 | $500.08 | 59.64% | $500.32 | 68 |
| 2026-11-16 | 4 天 | $500.15 | 42.92% | $500.66 | 62 |
| 2026-11-18 | 6 天 | $500.33 | 51.53% | $501.42 | 75 |
| 2026-11-20 | 8 天 | $500.38 | 53.11% | $501.92 | 88 |
| 2026-11-23 | 11 天 | $500.75 | 46.66% | $502.40 | 43 |
| 2026-11-25 | 13 天 | $500.58 | 49.81% | $502.79 | 28 |
| 2026-11-27 | 15 天 | $500.68 | 46.99% | $502.95 | 92 |
| 2026-12-04 | 22 天 | $501.28 | 45.44% | $504.41 | 89 |
| 2026-12-11 | 29 天 | $501.75 | 44.95% | $505.79 | 100 |
| 2026-12-18 | 36 天 | $501.81 | 45.04% | $506.85 | 81 |
| 2026-12-24 | 42 天 | $500.65 | 44.31% | $506.34 | 66 |
| 2027-01-15 | 64 天 | $502.01 | 42.01% | $509.84 | 91 |
| 2027-02-19 | 99 天 | $503.51 | 41.50% | $515.40 | 86 |
| 2027-03-19 | 127 天 | $505.61 | 41.02% | $520.63 | 103 |
| 2027-04-16 | 155 天 | $507.19 | 40.85% | $525.48 | 73 |
| 2027-05-21 | 190 天 | $508.82 | 40.87% | $531.43 | 103 |
| 2027-06-17 | 217 天 | $511.28 | 40.47% | $536.80 | 124 |
| 2027-09-17 | 309 天 | $516.30 | 40.40% | $553.23 | 141 |
| 2027-12-17 | 400 天 | $522.26 | 39.90% | $569.85 | 143 |
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
- 44.97%
- 60 天
- 42.31%
- 90 天
- 41.59%
- 180 天
- 40.86%
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 337 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。