ETF · 期权分析
SOXX 期权分析
数据截至 2026年11月12日(收盘)
- 标的收盘价
- $154.99
- 30D ATM IV
- 50.43%
- IV 百分位 · 1年
- 第 95
- 25Δ 风险逆转
- +8.85
- 期限斜率 90/30
- 0.903
▼ -0.09 pts 较前一交易日
概览
SOXX 期权当前计入的 30 天平值隐含波动率为 50.4%,相当于未来一个月约 ±14.5% 的波动。这高于它过去一年 197 个交易日中 95% 的读数。
它的 25-delta put 比 call 的隐含波动率高 8.85 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 10%。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ⓘ
- 50.43%
- 25-delta 风险逆转ⓘ
- +8.85
- 25-delta 蝶式价差ⓘ
- +1.28
- 期限结构斜率ⓘ
- 0.903
对应 30 天内约 ±14.5% 的波动，平常一天约 ±3.2%。
高于过去一年中 95% 的读数。
距平值同样远时，put 比 call的隐含波动率高 8.85 个点。
高于过去一年中 87% 的读数。
两翼的隐含波动率比平值高 1.28 个点。
90 天的隐含波动率比 30 天低 10%。
高于过去一年中 12% 的读数。
30 天隐含波动率处在什么位置
对比此前 197 个交易日(一年窗口)
- IV 百分位,1 年
- 95%
- IV 排名,1 年
- 70%
- IV 百分位,2 年
- 96%
- IV 排名,2 年
- 70%
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
- $154.99
- 30 天隐含远期价
- $155.10
- 60 天 ATM IV
- 47.48%
- 90 天 ATM IV
- 45.52%
- 180 天 ATM IV
- 44.20%
- 使用的到期日数
- 13
- 总未平仓量
- 1,667,239
- Put / call 未平仓量比
- 1.51
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 335 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 | 50.43% | +8.85 | 0.903 | $154.99 |
| 2026-11-10 | 50.52% | +10.93 | 0.927 | $146.59 |
| 2026-11-09 | 49.32% | +10.59 | 0.939 | $146.76 |
| 2026-11-06 | 56.55% | +10.54 | 0.884 | $136.53 |
| 2026-11-05 | 58.21% | +12.79 | 0.906 | $131.90 |
| 2026-11-04 | 46.64% | +2.44 | 0.928 | $450.41 |
| 2026-11-03 | 49.95% | +5.01 | 0.889 | $465.00 |
| 2026-11-02 | 49.80% | +5.02 | 0.907 | $453.65 |
| 2026-10-30 | 48.28% | +8.11 | 0.907 | $471.51 |
| 2026-10-29 | 40.09% | +5.24 | 0.981 | $513.86 |
| 2026-10-28 | 40.98% | +5.11 | 0.971 | $521.94 |
| 2026-10-27 | 42.78% | +4.03 | 0.925 | $511.06 |
| 2026-10-26 | 41.93% | +5.07 | 0.956 | $491.83 |
| 2026-10-23 | 45.20% | +5.10 | 0.926 | $478.20 |
| 2026-10-22 | 46.79% | +4.80 | 0.896 | $475.69 |
| 2026-10-21 | 41.57% | +4.88 | 0.934 | $510.36 |
| 2026-10-20 | 41.21% | +5.08 | 0.942 | $500.01 |
| 2026-10-19 | 40.68% | +4.76 | 0.961 | $501.93 |
| 2026-10-16 | 41.92% | +5.97 | 0.950 | $493.39 |
| 2026-10-15 | 41.16% | +7.43 | 0.914 | $514.71 |
| 2026-10-14 | 40.10% | +5.95 | 0.958 | $519.42 |
| 2026-10-13 | 37.63% | +4.02 | 0.971 | $543.90 |
| 2026-10-09 | 36.67% | +3.34 | 0.989 | $559.40 |
| 2026-10-08 | 38.13% | +3.12 | 0.987 | $563.28 |
| 2026-10-07 | 36.01% | +5.14 | 1.025 | $582.82 |
| 2026-10-06 | 35.82% | +2.81 | 1.052 | $589.45 |
| 2026-10-05 | 36.79% | +1.20 | 1.014 | $589.51 |
| 2026-10-02 | 38.69% | +1.54 | 1.023 | $588.90 |
| 2026-10-01 | 37.69% | +5.84 | 1.064 | $576.33 |
| 2026-09-30 | 39.88% | +2.48 | 1.012 | $568.64 |
| 2026-09-29 | 39.96% | +1.03 | 1.007 | $567.44 |
| 2026-09-28 | 38.19% | +3.40 | 1.053 | $560.79 |
| 2026-09-25 | 38.50% | +4.65 | 1.055 | $572.68 |
| 2026-09-24 | 38.19% | +3.48 | 1.086 | $566.07 |
| 2026-09-23 | 39.08% | +3.36 | 1.044 | $565.72 |
| 2026-09-22 | 39.07% | +2.52 | 1.021 | $572.78 |
| 2026-09-21 | 37.43% | +4.62 | 1.079 | $559.34 |
| 2026-09-18 | 35.34% | +4.06 | 1.089 | $533.07 |
| 2026-09-17 | 35.18% | +3.39 | 1.085 | $519.10 |
| 2026-09-16 | 36.53% | +4.10 | 1.087 | $502.06 |
| 2026-09-15 | 36.35% | +4.26 | 1.066 | $498.85 |
| 2026-09-14 | — | — | — | $497.40 |
| 2026-09-11 | 35.47% | +3.35 | 1.070 | $527.07 |
| 2026-09-10 | 38.18% | +2.03 | 1.052 | $517.43 |
| 2026-09-09 | 38.57% | +1.55 | 1.057 | $532.00 |
| 2026-09-08 | 40.98% | +2.41 | 1.015 | $528.40 |
| 2026-09-04 | 36.45% | +2.98 | 1.075 | $519.86 |
| 2026-09-03 | 35.03% | +3.42 | 1.075 | $502.20 |
| 2026-09-02 | 36.28% | +1.40 | 1.064 | $501.44 |
| 2026-09-01 | 36.73% | +4.26 | 1.060 | $500.31 |
| 2026-08-31 | 35.93% | +3.67 | 1.093 | $511.04 |
| 2026-08-28 | 37.66% | +1.89 | 1.082 | $508.62 |
| 2026-08-27 | 38.70% | +3.07 | 1.091 | $525.43 |
| 2026-08-26 | 40.43% | +3.40 | 1.049 | $515.40 |
| 2025-10-22 | — | — | — | $284.13 |
| 2025-10-21 | — | — | — | $291.33 |
| 2025-10-20 | — | — | — | $292.97 |
| 2025-10-17 | — | — | — | $288.17 |
| 2025-10-16 | — | — | — | $288.98 |
| 2025-10-15 | — | — | — | $287.64 |
| 2025-10-14 | — | — | — | $279.03 |
| 2025-10-10 | — | — | — | $271.99 |
| 2025-10-09 | 32.66% | +2.40 | 1.048 | $290.19 |
| 2025-10-08 | — | — | — | $291.54 |
| 2025-10-07 | — | — | — | $281.91 |
| 2025-10-06 | — | — | — | $288.36 |
| 2025-10-03 | — | — | — | $279.96 |
| 2025-10-02 | — | — | — | $281.69 |
| 2025-10-01 | — | — | — | $276.34 |
| 2025-09-30 | — | — | — | $271.12 |
| 2025-09-29 | — | — | — | $268.93 |
| 2025-09-26 | — | — | — | $268.83 |
| 2025-09-25 | 30.19% | +3.59 | 1.012 | $268.24 |
| 2025-09-24 | 29.89% | +2.67 | 1.025 | $269.10 |
| 2025-09-23 | — | — | — | $269.51 |
| 2025-09-22 | — | — | — | $269.83 |
| 2025-09-19 | — | — | — | $265.86 |
| 2025-09-18 | — | — | — | $267.57 |
| 2025-09-17 | 27.15% | +3.09 | 1.077 | $258.53 |
| 2025-09-16 | — | — | — | $258.58 |
| 2025-09-15 | — | — | — | $257.80 |
| 2025-09-12 | — | — | — | $255.64 |
| 2025-09-11 | — | — | — | $255.19 |
| 2025-09-10 | — | — | — | $253.45 |
| 2025-09-09 | — | — | — | $249.06 |
| 2025-09-08 | — | — | — | $248.85 |
| 2025-09-05 | — | — | — | $247.05 |
| 2025-09-04 | — | — | — | $244.17 |
| 2025-09-03 | — | — | — | $241.68 |
| 2025-09-02 | — | — | — | $242.83 |
| 2025-08-29 | 26.92% | +5.67 | — | $245.32 |
| 2025-08-28 | — | — | — | $252.55 |
| 2025-08-27 | — | — | — | $251.34 |
| 2025-08-26 | — | — | — | $250.85 |
| 2025-08-25 | — | — | — | $248.51 |
| 2025-08-22 | 27.50% | +5.42 | 1.027 | $249.09 |
| 2025-08-21 | 28.03% | +8.14 | 1.032 | $242.36 |
| 2025-08-20 | 28.32% | +6.54 | 1.019 | $243.74 |
| 2025-08-19 | 28.00% | +9.40 | 0.976 | $245.15 |
| 2025-08-18 | 26.78% | +5.27 | 1.038 | $249.05 |
| 2025-08-15 | 27.17% | +5.06 | 1.030 | $248.32 |
| 2025-08-14 | 28.18% | +3.15 | 0.981 | $254.14 |
| 2025-08-13 | 26.39% | +4.08 | 1.037 | $253.88 |
| 2025-08-12 | 26.64% | +4.58 | 1.019 | $250.16 |
| 2025-08-11 | 27.16% | +7.10 | 1.028 | $242.41 |
| 2025-08-08 | 27.36% | +4.93 | 1.013 | $242.87 |
| 2025-08-07 | 26.53% | +6.39 | 1.020 | $240.84 |
| 2025-08-06 | 30.08% | +5.27 | 0.941 | $236.93 |
| 2025-08-05 | 29.73% | +6.54 | 1.019 | $238.73 |
| 2025-08-04 | 28.94% | +5.85 | 0.984 | $240.40 |
| 2025-08-01 | 32.33% | +7.28 | 0.936 | $237.24 |
| 2025-07-31 | 31.90% | +7.97 | 0.919 | $240.03 |
| 2025-07-30 | 28.03% | +5.28 | 1.000 | $247.95 |
| 2025-07-29 | 27.22% | +3.99 | 1.033 | $246.19 |
| 2025-07-28 | 27.68% | +3.42 | 0.983 | $245.75 |
| 2025-07-25 | 25.94% | +4.41 | 1.043 | $241.54 |
| 2025-07-24 | 27.17% | +4.33 | 1.018 | $241.56 |
| 2025-07-23 | 29.90% | +8.82 | 0.964 | $242.06 |
| 2025-07-22 | 30.51% | +3.65 | 0.949 | $243.54 |
| 2025-07-21 | 29.72% | +4.01 | 0.977 | $246.95 |
图表覆盖存档中的全部交易日,共 335 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 335 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) · 8d (2026-11-20) · 15d (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 | 1d | 8d | 15d |
|---|---|---|---|
| 5Δ 看涨 | — | 57.72% | — |
| 10Δ 看涨 | — | 57.13% | — |
| 15Δ 看涨 | 62.01% | 56.00% | 49.36% |
| 20Δ 看涨 | 61.18% | 57.05% | 49.47% |
| 25Δ 看涨 | 62.38% | 56.47% | 49.08% |
| 30Δ 看涨 | 66.43% | 59.10% | 50.08% |
| 35Δ 看涨 | 60.36% | 58.29% | 50.76% |
| 40Δ 看涨 | 61.77% | 58.67% | 50.02% |
| 45Δ 看涨 | 61.73% | 61.37% | 53.93% |
| ATM | 63.53% | 60.49% | 53.83% |
| 45Δ 看跌 | 67.75% | 61.04% | 54.32% |
| 40Δ 看跌 | 69.52% | 61.79% | 54.91% |
| 35Δ 看跌 | 70.28% | 61.65% | 55.32% |
| 30Δ 看跌 | 73.04% | 61.38% | 56.64% |
| 25Δ 看跌 | 71.02% | 65.05% | 60.75% |
| 20Δ 看跌 | 73.49% | 64.40% | 58.50% |
| 15Δ 看跌 | 78.66% | 67.73% | 60.54% |
| 10Δ 看跌 | 81.39% | 70.62% | 62.98% |
| 5Δ 看跌 | 87.56% | 78.38% | — |
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 | $154.55 | 63.53% | 71.02% | 62.38% | +8.64 | +3.17 | 15 |
| 2026-11-20 | 8 | $154.45 | 60.49% | 65.05% | 56.47% | +8.59 | +0.27 | 37 |
| 2026-11-27 | 15 | $154.90 | 53.83% | 60.75% | 49.08% | +11.67 | +1.09 | 37 |
| 2026-12-04 | 22 | $154.75 | 51.31% | 54.76% | 50.10% | +4.66 | +1.12 | 50 |
| 2026-12-11 | 29 | $155.15 | 50.63% | 56.55% | 47.36% | +9.19 | +1.32 | 43 |
| 2026-12-18 | 36 | $154.80 | 49.46% | 54.08% | 46.90% | +7.19 | +1.03 | 57 |
| 2027-01-15 | 64 | $155.05 | 47.29% | 49.51% | 42.95% | +6.55 | -1.06 | 49 |
| 2027-02-19 | 99 | $155.96 | 45.11% | 48.69% | 42.67% | +6.02 | +0.57 | 51 |
| 2027-03-19 | 127 | $156.26 | 45.32% | 48.40% | 42.74% | +5.66 | +0.25 | 67 |
| 2027-04-16 | 155 | $156.52 | 44.88% | 48.76% | 41.48% | +7.28 | +0.24 | 65 |
| 2027-06-17 | 217 | $158.33 | 43.48% | 47.75% | 40.83% | +6.92 | +0.81 | 76 |
| 2027-09-17 | 309 | $158.64 | 44.44% | 47.62% | 41.71% | +5.91 | +0.23 | 93 |
| 2027-12-17 | 400 | $161.09 | 42.99% | 47.16% | 40.98% | +6.18 | +1.08 | 100 |
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
13 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 | $154.55 | 63.53% | $154.63 | 15 |
| 2026-11-20 | 8 天 | $154.45 | 60.49% | $155.07 | 37 |
| 2026-11-27 | 15 天 | $154.90 | 53.83% | $155.82 | 37 |
| 2026-12-04 | 22 天 | $154.75 | 51.31% | $155.98 | 50 |
| 2026-12-11 | 29 天 | $155.15 | 50.63% | $156.74 | 43 |
| 2026-12-18 | 36 天 | $154.80 | 49.46% | $156.68 | 57 |
| 2027-01-15 | 64 天 | $155.05 | 47.29% | $158.12 | 49 |
| 2027-02-19 | 99 天 | $155.96 | 45.11% | $160.33 | 51 |
| 2027-03-19 | 127 天 | $156.26 | 45.32% | $161.95 | 67 |
| 2027-04-16 | 155 天 | $156.52 | 44.88% | $163.36 | 65 |
| 2027-06-17 | 217 天 | $158.33 | 43.48% | $167.48 | 76 |
| 2027-09-17 | 309 天 | $158.64 | 44.44% | $172.47 | 93 |
| 2027-12-17 | 400 天 | $161.09 | 42.99% | $178.26 | 100 |
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
- 50.43%
- 60 天
- 47.48%
- 90 天
- 45.52%
- 180 天
- 44.20%
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 335 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。