指数 · 期权分析
SPX 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $7,520.93
- 30D ATM IV
- 15.36%
- IV 百分位 · 1年
- 第 71
- 25Δ 风险逆转
- +5.84
- 期限斜率 90/30
- 0.995
▼ -0.16 pts 较前一交易日
概览
SPX 期权当前计入的 30 天平值隐含波动率为 15.4%,相当于未来一个月约 ±4.4% 的波动。这高于它过去一年 237 个交易日中 71% 的读数。
它的 25-delta put 比 call 的隐含波动率高 5.84 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ⓘ
- 15.36%
- 25-delta 风险逆转ⓘ
- +5.84
- 25-delta 蝶式价差ⓘ
- +0.78
- 期限结构斜率ⓘ
- 0.995
对应 30 天内约 ±4.4% 的波动，平常一天约 ±1.0%。
高于过去一年中 71% 的读数。
距平值同样远时，put 比 call的隐含波动率高 5.84 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 0.78 个点。
90 天与 30 天期权的隐含波动率大致相同。
高于过去一年中 26% 的读数。
30 天隐含波动率处在什么位置
对比此前 237 个交易日(一年窗口)
11.1%40.9%
- IV 百分位,1 年
- 71%
- IV 排名,1 年
- 14%
- IV 百分位,2 年
- 73%
- IV 排名,2 年
- 18%
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
- $7,520.93
- 30 天隐含远期价
- $7,533.05
- 60 天 ATM IV
- 15.19%
- 90 天 ATM IV
- 15.29%
- 180 天 ATM IV
- 15.96%
- 使用的到期日数
- 13
- 总未平仓量
- 15,154,273
- Put / call 未平仓量比
- 1.38
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 | 15.36% | +5.84 | 0.995 | $7,520.93 |
| 2026-11-09 | 15.51% | +5.91 | 0.988 | $7,549.94 |
| 2026-11-06 | 18.87% | +8.64 | 0.926 | $7,376.86 |
| 2026-11-05 | 20.39% | +9.53 | 0.886 | $7,353.73 |
| 2026-11-04 | 13.34% | +4.57 | 1.031 | $7,688.62 |
| 2026-11-03 | 16.41% | +6.17 | 0.945 | $7,568.92 |
| 2026-11-02 | 16.21% | +6.74 | 0.974 | $7,541.40 |
| 2026-10-30 | 16.09% | +6.56 | 0.960 | $7,580.07 |
| 2026-10-29 | 13.19% | +4.86 | 1.049 | $7,720.39 |
| 2026-10-28 | 13.44% | +4.78 | 1.066 | $7,743.98 |
| 2026-10-27 | 13.79% | +4.70 | 1.031 | $7,722.60 |
| 2026-10-26 | 14.21% | +5.15 | 1.012 | $7,676.77 |
| 2026-10-23 | 15.00% | +5.99 | 0.992 | $7,623.68 |
| 2026-10-22 | 15.02% | +5.76 | 0.983 | $7,663.43 |
| 2026-10-21 | 12.94% | +3.99 | 1.050 | $7,757.17 |
| 2026-10-20 | — | — | — | $7,712.57 |
| 2026-10-19 | — | — | — | $7,690.73 |
| 2026-10-16 | — | — | — | $7,659.44 |
| 2026-10-15 | 12.62% | +4.41 | 1.054 | $7,744.06 |
| 2026-10-14 | 13.20% | +4.97 | 1.034 | $7,718.94 |
| 2026-10-13 | 12.33% | +4.03 | 1.068 | $7,805.45 |
| 2026-10-09 | 12.14% | +3.65 | 1.085 | $7,811.54 |
| 2026-10-08 | 12.68% | +4.07 | 1.063 | $7,765.36 |
| 2026-10-07 | 12.46% | +3.44 | 1.069 | $7,801.77 |
| 2026-10-06 | 12.43% | +3.14 | 1.071 | $7,818.93 |
| 2026-10-05 | 12.69% | +3.41 | 1.066 | $7,773.95 |
| 2026-10-02 | 12.55% | +3.76 | 1.081 | $7,722.72 |
| 2026-10-01 | 13.26% | +4.22 | 1.049 | $7,666.45 |
| 2026-09-30 | 13.17% | +4.02 | 1.046 | $7,651.54 |
| 2026-09-29 | 13.20% | +4.05 | 1.045 | $7,670.84 |
| 2026-09-28 | 13.01% | +4.05 | 1.054 | $7,683.69 |
| 2026-09-25 | 12.01% | +3.42 | 1.107 | $7,743.41 |
| 2026-09-24 | 12.53% | +3.78 | 1.092 | $7,704.13 |
| 2026-09-23 | 12.30% | +3.81 | 1.106 | $7,706.03 |
| 2026-09-22 | 11.64% | +2.86 | 1.144 | $7,764.64 |
| 2026-09-21 | 11.91% | +3.07 | 1.136 | $7,764.70 |
| 2026-09-18 | 11.72% | +3.98 | 1.153 | $7,650.50 |
| 2026-09-17 | 12.13% | +4.17 | 1.130 | $7,637.76 |
| 2026-09-16 | 13.94% | +5.49 | 1.049 | $7,551.81 |
| 2026-09-15 | 13.30% | +5.17 | 1.071 | $7,585.73 |
| 2026-09-14 | 13.05% | +4.97 | 1.080 | $7,619.98 |
| 2026-09-11 | 12.36% | +4.57 | 1.115 | $7,656.98 |
| 2026-09-10 | 14.10% | +5.42 | 1.045 | $7,591.70 |
| 2026-09-09 | 13.08% | +4.53 | 1.082 | $7,636.36 |
| 2026-09-08 | 12.54% | +4.21 | 1.102 | $7,673.52 |
| 2026-09-04 | 11.69% | +3.59 | 1.146 | $7,718.60 |
| 2026-09-03 | 11.61% | +3.31 | 1.142 | $7,747.71 |
| 2026-09-02 | 12.22% | +4.17 | 1.109 | $7,666.60 |
| 2026-09-01 | 12.81% | +4.65 | 1.082 | $7,631.47 |
| 2026-08-31 | 11.82% | +3.72 | 1.125 | $7,686.14 |
| 2026-08-28 | 11.47% | +3.42 | 1.166 | $7,711.76 |
| 2026-08-27 | 11.74% | +3.32 | 1.156 | $7,730.99 |
| 2026-08-26 | 12.13% | +3.61 | 1.135 | $7,675.70 |
| 2026-08-25 | 12.49% | +3.77 | 1.119 | $7,677.28 |
| 2026-08-24 | 12.54% | +4.11 | 1.118 | $7,652.86 |
| 2026-08-21 | 12.15% | +3.85 | 1.142 | $7,674.37 |
| 2026-08-20 | 12.60% | +4.41 | 1.120 | $7,641.16 |
| 2026-08-19 | 11.78% | +3.70 | 1.167 | $7,707.98 |
| 2026-08-18 | 12.50% | +4.31 | 1.141 | $7,691.76 |
| 2026-08-17 | 12.13% | +3.86 | 1.169 | $7,745.06 |
| 2025-10-22 | 14.34% | +6.23 | 1.023 | $6,699.40 |
| 2025-10-21 | — | — | — | $6,735.35 |
| 2025-10-20 | — | — | — | $6,735.13 |
| 2025-10-17 | — | — | — | $6,664.01 |
| 2025-10-16 | 18.79% | +9.14 | 0.934 | $6,629.07 |
| 2025-10-15 | 15.90% | +6.98 | 0.993 | $6,671.06 |
| 2025-10-14 | 15.87% | +6.98 | 0.998 | $6,644.31 |
| 2025-10-10 | 18.88% | +8.49 | 0.942 | $6,552.51 |
| 2025-10-09 | 12.98% | +4.77 | 1.095 | $6,735.11 |
| 2025-10-08 | 12.75% | +4.64 | 1.103 | $6,753.72 |
| 2025-10-07 | 13.44% | +5.10 | 1.073 | $6,714.59 |
| 2025-10-06 | 12.85% | +4.53 | 1.093 | $6,740.28 |
| 2025-10-03 | 12.70% | +4.93 | 1.100 | $6,715.79 |
| 2025-10-02 | 12.85% | +4.90 | 1.090 | $6,715.35 |
| 2025-10-01 | 12.61% | +4.67 | 1.101 | $6,711.20 |
| 2025-09-30 | 12.76% | +4.89 | 1.089 | $6,688.46 |
| 2025-09-29 | 12.73% | +4.76 | 1.092 | $6,661.21 |
| 2025-09-26 | 12.28% | +4.50 | 1.110 | $6,643.70 |
| 2025-09-25 | 13.34% | +4.89 | 1.075 | $6,604.72 |
| 2025-09-24 | 13.02% | +4.56 | 1.089 | $6,637.97 |
| 2025-09-23 | 13.19% | +4.66 | 1.081 | $6,656.92 |
| 2025-09-22 | 12.70% | +4.33 | 1.094 | $6,693.75 |
| 2025-09-19 | 12.03% | +4.17 | 1.122 | $6,664.36 |
| 2025-09-18 | 11.96% | +4.11 | 1.122 | $6,631.96 |
| 2025-09-17 | 12.06% | +4.15 | 1.109 | $6,600.35 |
| 2025-09-16 | 12.49% | +4.34 | 1.095 | $6,606.76 |
| 2025-09-15 | 11.99% | +4.16 | 1.113 | $6,615.28 |
| 2025-09-12 | 11.37% | +3.99 | 1.145 | $6,584.29 |
| 2025-09-11 | 11.41% | +3.99 | 1.133 | $6,587.47 |
| 2025-09-10 | 11.81% | +4.72 | 1.112 | $6,532.04 |
| 2025-09-09 | 11.61% | +4.72 | 1.126 | $6,512.61 |
| 2025-09-08 | 11.71% | +4.77 | 1.119 | $6,495.15 |
| 2025-09-05 | 11.73% | +4.90 | 1.128 | $6,481.50 |
| 2025-09-04 | 11.78% | +4.84 | 1.112 | $6,502.08 |
| 2025-09-03 | 12.56% | +5.52 | 1.077 | $6,448.26 |
| 2025-09-02 | 12.93% | +5.78 | 1.064 | $6,415.54 |
| 2025-08-29 | 11.94% | +4.89 | 1.109 | $6,460.26 |
| 2025-08-28 | 11.18% | +4.13 | 1.144 | $6,501.86 |
| 2025-08-27 | 11.51% | +4.36 | 1.127 | $6,481.40 |
| 2025-08-26 | 11.31% | +4.27 | 1.137 | $6,465.94 |
| 2025-08-25 | 11.58% | +4.34 | 1.129 | $6,439.32 |
| 2025-08-22 | 11.12% | +4.01 | 1.142 | $6,466.91 |
| 2025-08-21 | 13.26% | +5.35 | 1.055 | $6,370.17 |
| 2025-08-20 | 12.34% | +4.92 | 1.102 | $6,395.78 |
| 2025-08-19 | — | — | — | $6,411.37 |
| 2025-08-18 | — | — | — | $6,449.15 |
| 2025-08-15 | — | — | — | $6,449.80 |
| 2025-08-14 | 11.33% | +4.15 | 1.141 | $6,468.54 |
| 2025-08-13 | 11.40% | +4.07 | 1.131 | $6,466.58 |
| 2025-08-12 | 11.57% | +4.10 | 1.116 | $6,445.76 |
| 2025-08-11 | 12.81% | +4.99 | 1.065 | $6,373.45 |
| 2025-08-08 | 11.91% | +4.58 | 1.104 | $6,389.45 |
| 2025-08-07 | 12.95% | +5.16 | 1.063 | $6,340.00 |
| 2025-08-06 | 13.04% | +5.40 | 1.059 | $6,345.06 |
| 2025-08-05 | 13.98% | +5.94 | 1.032 | $6,299.19 |
| 2025-08-04 | 13.15% | +5.69 | 1.056 | $6,329.94 |
| 2025-08-01 | 15.34% | +6.87 | 0.996 | $6,238.01 |
| 2025-07-31 | 12.90% | +5.34 | 1.060 | $6,339.39 |
| 2025-07-30 | 11.97% | +4.75 | 1.095 | $6,362.90 |
| 2025-07-29 | 12.36% | +4.98 | 1.080 | $6,370.86 |
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 | 12.25% | 12.23% | 12.04% |
| 10Δ 看涨 | 12.60% | 12.32% | 12.12% |
| 15Δ 看涨 | 12.94% | 12.57% | 12.35% |
| 20Δ 看涨 | 13.30% | 12.85% | 12.64% |
| 25Δ 看涨 | 13.65% | 13.17% | 12.95% |
| 30Δ 看涨 | 14.00% | 13.53% | 13.30% |
| 35Δ 看涨 | 14.36% | 13.92% | 13.70% |
| 40Δ 看涨 | 14.70% | 14.35% | 14.14% |
| 45Δ 看涨 | 15.09% | 14.81% | 14.62% |
| ATM | 15.49% | 15.34% | 15.16% |
| 45Δ 看跌 | 15.90% | 15.92% | 15.76% |
| 40Δ 看跌 | 16.36% | 16.57% | 16.43% |
| 35Δ 看跌 | 16.87% | 17.31% | 17.21% |
| 30Δ 看跌 | 17.42% | 18.16% | 18.10% |
| 25Δ 看跌 | 18.09% | 19.16% | 19.17% |
| 20Δ 看跌 | 18.89% | 20.39% | 20.50% |
| 15Δ 看跌 | 19.99% | 22.05% | 22.30% |
| 10Δ 看跌 | 21.71% | 24.64% | 25.07% |
| 5Δ 看跌 | 25.43% | 30.06% | 30.79% |
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 | $7,520.10 | 15.49% | 18.09% | 13.65% | +4.43 | +0.38 | 385 |
| 2026-12-18 | 38 | $7,538.24 | 15.34% | 19.16% | 13.17% | +5.98 | +0.82 | 484 |
| 2027-01-15 | 66 | $7,565.10 | 15.16% | 19.17% | 12.95% | +6.22 | +0.90 | 455 |
| 2027-02-19 | 101 | $7,591.87 | 15.32% | 19.52% | 13.07% | +6.45 | +0.97 | 400 |
| 2027-03-19 | 129 | $7,611.57 | 15.60% | 19.97% | 13.29% | +6.68 | +1.03 | 327 |
| 2027-04-16 | 157 | $7,637.43 | 15.74% | 20.18% | 13.37% | +6.81 | +1.04 | 214 |
| 2027-05-21 | 192 | $7,667.43 | 16.05% | 20.55% | 13.58% | +6.97 | +1.02 | 204 |
| 2027-06-17 | 219 | $7,690.15 | 16.17% | 20.68% | 13.67% | +7.01 | +1.01 | 228 |
| 2027-07-16 | 248 | $7,716.81 | 16.27% | 20.79% | 13.73% | +7.06 | +0.99 | 194 |
| 2027-08-20 | 283 | $7,748.65 | 16.45% | 20.98% | 13.90% | +7.08 | +0.99 | 196 |
| 2027-09-17 | 311 | $7,771.88 | 16.55% | 21.06% | 14.00% | +7.06 | +0.98 | 204 |
| 2027-10-15 | 339 | $7,798.75 | 16.62% | 21.14% | 14.07% | +7.07 | +0.98 | 201 |
| 2027-11-19 | 374 | $7,830.55 | 16.73% | 21.24% | 14.20% | +7.04 | +0.99 | 204 |
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 |
|---|---|---|---|---|---|
| 2026-11-20 | 10 天 | $7,520.10 | 15.49% | $7,522.57 | 385 |
| 2026-12-18 | 38 天 | $7,538.24 | 15.34% | $7,547.49 | 484 |
| 2027-01-15 | 66 天 | $7,565.10 | 15.16% | $7,580.84 | 455 |
| 2027-02-19 | 101 天 | $7,591.87 | 15.32% | $7,616.57 | 400 |
| 2027-03-19 | 129 天 | $7,611.57 | 15.60% | $7,644.39 | 327 |
| 2027-04-16 | 157 天 | $7,637.43 | 15.74% | $7,678.21 | 214 |
| 2027-05-21 | 192 天 | $7,667.43 | 16.05% | $7,719.54 | 204 |
| 2027-06-17 | 219 天 | $7,690.15 | 16.17% | $7,750.69 | 228 |
| 2027-07-16 | 248 天 | $7,716.81 | 16.27% | $7,786.52 | 194 |
| 2027-08-20 | 283 天 | $7,748.65 | 16.45% | $7,830.40 | 196 |
| 2027-09-17 | 311 天 | $7,771.88 | 16.55% | $7,863.08 | 204 |
| 2027-10-15 | 339 天 | $7,798.75 | 16.62% | $7,899.48 | 201 |
| 2027-11-19 | 374 天 | $7,830.55 | 16.73% | $7,943.65 | 204 |
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
- 15.36%
- 60 天
- 15.19%
- 90 天
- 15.29%
- 180 天
- 15.96%
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。