指数 · 期权分析
SPXW 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
- 15.35%
- IV 百分位 · 1年
- 第 68
- 25Δ 风险逆转
- +5.76
- 期限斜率 90/30
- 0.999
▲ +0.13 pts 较前一交易日
概览
SPXW 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 249 个交易日中 68% 的读数。
它的 25-delta put 比 call 的隐含波动率高 5.76 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ⓘ
- 15.35%
- 25-delta 风险逆转ⓘ
- +5.76
- 25-delta 蝶式价差ⓘ
- +0.74
- 期限结构斜率ⓘ
- 0.999
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 68% 的读数。
距平值同样远时，put 比 call的隐含波动率高 5.76 个点。
高于过去一年中 71% 的读数。
两翼的隐含波动率比平值高 0.74 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 30% 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)
8.9%41.6%
- IV 百分位,1 年
- 68%
- IV 排名,1 年
- 20%
- IV 百分位,2 年
- 67%
- IV 排名,2 年
- 20%
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
- $7,531.25
- 60 天 ATM IV
- 15.18%
- 90 天 ATM IV
- 15.34%
- 180 天 ATM IV
- 15.97%
- 使用的到期日数
- 39
- 总未平仓量
- 5,127,810
- 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 268 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 | 15.35% | +5.76 | 0.999 | $7,520.93 |
| 2026-11-09 | 15.23% | +5.70 | 1.010 | $7,549.94 |
| 2026-11-06 | 18.57% | +8.45 | 0.944 | $7,376.86 |
| 2026-11-05 | 20.24% | +9.55 | 0.894 | $7,353.73 |
| 2026-11-04 | 12.91% | +4.32 | 1.063 | $7,688.62 |
| 2026-11-03 | 16.10% | +6.04 | 0.966 | $7,568.92 |
| 2026-11-02 | 16.47% | +6.59 | 0.960 | $7,541.40 |
| 2025-10-22 | 14.50% | +6.34 | 1.017 | $6,699.40 |
| 2025-10-21 | 13.77% | +5.60 | 1.043 | $6,735.35 |
| 2025-10-20 | 13.68% | +5.50 | 1.058 | $6,735.13 |
| 2025-10-17 | 15.70% | +7.10 | 1.002 | $6,664.01 |
| 2025-10-16 | 19.10% | +9.26 | 0.924 | $6,629.07 |
| 2025-10-15 | 16.08% | +7.07 | 0.986 | $6,671.06 |
| 2025-10-14 | 16.02% | +7.03 | 0.992 | $6,644.31 |
| 2025-10-10 | 19.12% | +8.06 | 0.930 | $6,552.51 |
| 2025-10-09 | 12.86% | +4.75 | 1.104 | $6,735.11 |
| 2025-10-08 | 12.77% | +4.70 | 1.099 | $6,753.72 |
| 2025-10-07 | 13.37% | +5.18 | 1.075 | $6,714.59 |
| 2025-10-06 | 12.68% | +4.49 | 1.101 | $6,740.28 |
| 2025-10-03 | 12.67% | +4.97 | 1.094 | $6,715.79 |
| 2025-10-02 | 12.95% | +4.96 | 1.074 | $6,715.35 |
| 2025-10-01 | 12.73% | +4.70 | 1.082 | $6,711.20 |
| 2025-09-30 | 12.72% | +4.78 | 1.087 | $6,688.46 |
| 2025-09-29 | 12.49% | +4.57 | 1.108 | $6,661.21 |
| 2025-09-26 | 11.86% | +4.23 | 1.148 | $6,643.70 |
| 2025-09-25 | 13.12% | +4.74 | 1.092 | $6,604.72 |
| 2025-09-24 | 12.92% | +4.45 | 1.098 | $6,637.97 |
| 2025-09-23 | 13.02% | +4.54 | 1.096 | $6,656.92 |
| 2025-09-22 | 12.48% | +4.21 | 1.116 | $6,693.75 |
| 2025-09-19 | 11.84% | +4.12 | 1.144 | $6,664.36 |
| 2025-09-18 | 11.96% | +4.12 | 1.127 | $6,631.96 |
| 2025-09-17 | 12.22% | +4.23 | 1.098 | $6,600.35 |
| 2025-09-16 | 12.57% | +4.40 | 1.091 | $6,606.76 |
| 2025-09-15 | 11.95% | +4.11 | 1.119 | $6,615.28 |
| 2025-09-12 | 11.06% | +3.89 | 1.176 | $6,584.29 |
| 2025-09-11 | 11.22% | +3.91 | 1.152 | $6,587.47 |
| 2025-09-10 | 11.64% | +4.69 | 1.130 | $6,532.04 |
| 2025-09-09 | 11.41% | +4.65 | 1.142 | $6,512.61 |
| 2025-09-08 | 11.47% | +4.77 | 1.141 | $6,495.15 |
| 2025-09-05 | 11.50% | +4.93 | 1.147 | $6,481.50 |
| 2025-09-04 | 11.68% | +4.87 | 1.116 | $6,502.08 |
| 2025-09-03 | 12.58% | +5.63 | 1.070 | $6,448.26 |
| 2025-09-02 | 12.78% | +5.87 | 1.069 | $6,415.54 |
| 2025-08-29 | 11.58% | +4.85 | 1.138 | $6,460.26 |
| 2025-08-28 | 10.91% | +4.06 | 1.167 | $6,501.86 |
| 2025-08-27 | 11.33% | +4.32 | 1.143 | $6,481.40 |
| 2025-08-26 | 11.06% | +4.23 | 1.163 | $6,465.94 |
| 2025-08-25 | 11.34% | +4.25 | 1.153 | $6,439.32 |
| 2025-08-22 | 10.94% | +3.95 | 1.167 | $6,466.91 |
| 2025-08-21 | 13.26% | +5.36 | 1.060 | $6,370.17 |
| 2025-08-20 | 12.49% | +5.03 | 1.095 | $6,395.78 |
| 2025-08-19 | 12.00% | +4.83 | 1.121 | $6,411.37 |
| 2025-08-18 | 11.45% | +4.21 | 1.149 | $6,449.15 |
| 2025-08-15 | 11.28% | +4.14 | 1.175 | $6,449.80 |
| 2025-08-14 | 11.07% | +3.94 | 1.175 | $6,468.54 |
| 2025-08-13 | 11.16% | +3.81 | 1.161 | $6,466.58 |
| 2025-08-12 | 11.35% | +3.87 | 1.143 | $6,445.76 |
| 2025-08-11 | 12.45% | +4.65 | 1.099 | $6,373.45 |
| 2025-08-08 | 11.48% | +4.22 | 1.149 | $6,389.45 |
| 2025-08-07 | 12.81% | +4.87 | 1.079 | $6,340.00 |
| 2025-08-06 | 13.02% | +5.19 | 1.066 | $6,345.06 |
| 2025-08-05 | 13.88% | +5.73 | 1.045 | $6,299.19 |
| 2025-08-04 | 12.90% | +5.44 | 1.081 | $6,329.94 |
| 2025-08-01 | 15.46% | +6.80 | 0.993 | $6,238.01 |
| 2025-07-31 | 12.94% | +5.20 | 1.061 | $6,339.39 |
| 2025-07-30 | 12.00% | +4.59 | 1.097 | $6,362.90 |
| 2025-07-29 | 12.31% | +4.89 | 1.089 | $6,370.86 |
| 2025-07-28 | 11.46% | +3.97 | 1.140 | $6,389.77 |
| 2025-07-25 | 11.46% | +3.75 | 1.143 | $6,388.64 |
| 2025-07-24 | 11.90% | +3.79 | 1.121 | $6,363.35 |
| 2025-07-23 | 12.21% | +3.84 | 1.101 | $6,358.91 |
| 2025-07-22 | 12.89% | +4.35 | 1.094 | $6,309.62 |
| 2025-07-21 | 12.96% | +4.30 | 1.090 | $6,305.60 |
| 2025-07-18 | 12.85% | +4.18 | 1.103 | $6,296.79 |
| 2025-07-17 | 13.04% | +4.22 | 1.091 | $6,297.36 |
| 2025-07-16 | 13.91% | +4.59 | 1.053 | $6,263.70 |
| 2025-07-15 | 14.23% | +4.55 | 1.043 | $6,243.76 |
| 2025-07-14 | 13.73% | +4.40 | 1.053 | $6,268.56 |
| 2025-07-11 | 13.09% | +3.99 | 1.087 | $6,259.75 |
| 2025-07-10 | 12.70% | +3.52 | 1.092 | $6,280.46 |
| 2025-07-09 | 13.12% | +3.71 | 1.075 | $6,263.26 |
| 2025-07-08 | 13.75% | +4.24 | 1.057 | $6,225.52 |
| 2025-07-07 | 14.64% | +4.64 | 1.029 | $6,229.98 |
| 2025-07-03 | — | — | — | $6,279.35 |
| 2025-07-02 | 13.59% | +4.21 | 1.047 | $6,227.42 |
| 2025-07-01 | 13.53% | +4.20 | 1.061 | $6,198.01 |
| 2025-06-30 | 13.32% | +4.05 | 1.073 | $6,204.95 |
| 2025-06-27 | 12.71% | +3.73 | 1.123 | $6,173.07 |
| 2025-06-26 | 12.90% | +4.23 | 1.104 | $6,141.02 |
| 2025-06-25 | 13.27% | +4.45 | 1.090 | $6,092.16 |
| 2025-06-24 | 13.47% | +4.73 | 1.081 | $6,092.18 |
| 2025-06-23 | 14.83% | +6.08 | 1.059 | $6,025.17 |
| 2025-06-20 | 15.76% | +6.55 | 1.040 | $5,967.84 |
| 2025-06-18 | 15.74% | +6.81 | 1.033 | $5,980.87 |
| 2025-06-17 | 16.43% | +6.97 | 1.013 | $5,982.72 |
| 2025-06-16 | 14.38% | +5.54 | 1.078 | $6,033.11 |
| 2025-06-13 | 15.83% | +6.56 | 1.055 | $5,976.97 |
| 2025-06-12 | 14.02% | +5.24 | 1.096 | $6,045.26 |
| 2025-06-11 | 13.84% | +4.86 | 1.097 | $6,022.24 |
| 2025-06-10 | 13.57% | +4.11 | 1.112 | $6,038.81 |
| 2025-06-09 | 13.69% | +4.14 | 1.113 | $6,005.88 |
| 2025-06-06 | 13.22% | +3.89 | 1.150 | $6,000.36 |
| 2025-06-05 | 14.80% | +5.25 | 1.095 | $5,939.30 |
| 2025-06-04 | 14.37% | +4.70 | 1.099 | $5,970.81 |
| 2025-06-03 | 14.36% | +4.83 | 1.095 | $5,970.37 |
| 2025-06-02 | 14.84% | +5.37 | 1.083 | $5,935.94 |
| 2025-05-30 | 15.09% | +5.56 | 1.080 | $5,911.69 |
| 2025-05-29 | 15.42% | +5.35 | 1.066 | $5,912.17 |
| 2025-05-28 | 15.19% | +5.18 | 1.067 | $5,888.55 |
| 2025-05-27 | 14.94% | +5.25 | 1.075 | $5,921.54 |
| 2025-05-23 | 17.96% | +7.09 | 1.010 | $5,802.82 |
| 2025-05-22 | 16.44% | +5.94 | 1.028 | $5,842.01 |
| 2025-05-21 | 17.12% | +6.43 | 1.004 | $5,844.61 |
| 2025-05-20 | 15.05% | +4.95 | 1.048 | $5,940.46 |
| 2025-05-19 | 15.00% | +4.75 | 1.040 | $5,963.60 |
| 2025-05-16 | 14.70% | +4.39 | 1.061 | $5,958.38 |
| 2025-05-15 | 14.59% | +4.38 | 1.059 | $5,916.93 |
| 2025-05-14 | 15.31% | +4.49 | 1.035 | $5,892.58 |
| 2025-05-13 | 14.76% | +4.35 | 1.044 | $5,886.55 |
| 2025-05-12 | 14.97% | +4.75 | 1.054 | $5,844.19 |
图表覆盖存档中的全部交易日,共 268 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 268 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 | 13.65% | 13.84% | 13.84% |
| 10Δ 看涨 | 13.87% | 14.17% | 14.17% |
| 15Δ 看涨 | 14.16% | 14.50% | 14.52% |
| 20Δ 看涨 | 14.46% | 14.83% | 14.88% |
| 25Δ 看涨 | 14.76% | 15.15% | 15.22% |
| 30Δ 看涨 | 15.11% | 15.49% | 15.56% |
| 35Δ 看涨 | 15.37% | 15.78% | 15.92% |
| 40Δ 看涨 | 15.68% | 16.10% | 16.24% |
| 45Δ 看涨 | 15.98% | 16.41% | 16.56% |
| ATM | 16.28% | 16.74% | 16.90% |
| 45Δ 看跌 | 16.60% | 17.09% | 17.27% |
| 40Δ 看跌 | 16.85% | 17.41% | 17.63% |
| 35Δ 看跌 | 17.16% | 17.77% | 18.02% |
| 30Δ 看跌 | 17.47% | 18.11% | 18.46% |
| 25Δ 看跌 | 17.76% | 18.53% | 18.94% |
| 20Δ 看跌 | 18.09% | 19.00% | 19.53% |
| 15Δ 看跌 | 18.42% | 19.56% | 20.21% |
| 10Δ 看跌 | 18.86% | 20.34% | 21.22% |
| 5Δ 看跌 | 19.58% | 21.80% | 23.25% |
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 | $7,515.60 | 16.28% | 17.76% | 14.76% | +3.00 | -0.02 | 160 |
| 2026-11-12 | 2 | $7,515.85 | 16.74% | 18.53% | 15.15% | +3.38 | +0.10 | 214 |
| 2026-11-13 | 3 | $7,517.45 | 16.90% | 18.94% | 15.22% | +3.72 | +0.18 | 265 |
| 2026-11-16 | 6 | $7,517.15 | 14.16% | 16.02% | 12.72% | +3.31 | +0.21 | 210 |
| 2026-11-17 | 7 | $7,517.90 | 14.56% | 16.70% | 12.98% | +3.72 | +0.28 | 220 |
| 2026-11-18 | 8 | $7,518.15 | 15.53% | 17.94% | 13.80% | +4.13 | +0.34 | 212 |
| 2026-11-19 | 9 | $7,518.05 | 15.81% | 18.39% | 13.97% | +4.42 | +0.37 | 205 |
| 2026-11-20 | 10 | $7,520.05 | 16.04% | 18.80% | 14.09% | +4.71 | +0.40 | 452 |
| 2026-11-23 | 13 | $7,520.95 | 14.98% | 17.74% | 13.06% | +4.68 | +0.42 | 199 |
| 2026-11-24 | 14 | $7,521.55 | 15.10% | 18.00% | 13.08% | +4.91 | +0.44 | 198 |
| 2026-11-25 | 15 | $7,523.30 | 15.23% | 18.25% | 13.16% | +5.09 | +0.48 | 199 |
| 2026-11-27 | 17 | $7,525.95 | 14.76% | 17.80% | 12.74% | +5.06 | +0.51 | 266 |
| 2026-11-30 | 20 | $7,526.70 | 14.37% | 17.43% | 12.38% | +5.04 | +0.53 | 454 |
| 2026-12-01 | 21 | $7,526.85 | 14.54% | 17.67% | 12.51% | +5.16 | +0.55 | 150 |
| 2026-12-02 | 22 | $7,527.41 | 14.68% | 17.89% | 12.63% | +5.26 | +0.58 | 140 |
| 2026-12-03 | 23 | $7,527.06 | 14.81% | 18.11% | 12.74% | +5.36 | +0.61 | 140 |
| 2026-12-04 | 24 | $7,528.65 | 15.04% | 18.42% | 12.95% | +5.47 | +0.65 | 240 |
| 2026-12-07 | 27 | $7,528.80 | 14.70% | 18.02% | 12.66% | +5.37 | +0.64 | 134 |
| 2026-12-08 | 28 | $7,529.70 | 14.80% | 18.23% | 12.75% | +5.48 | +0.69 | 130 |
| 2026-12-09 | 29 | $7,530.50 | 15.10% | 18.61% | 12.99% | +5.62 | +0.70 | 134 |
| 2026-12-10 | 30 | $7,531.25 | 15.35% | 18.98% | 13.21% | +5.76 | +0.74 | 118 |
| 2026-12-11 | 31 | $7,533.31 | 15.44% | 19.11% | 13.28% | +5.83 | +0.75 | 166 |
| 2026-12-14 | 34 | $7,533.81 | 15.12% | 18.78% | 13.01% | +5.77 | +0.77 | 103 |
| 2026-12-15 | 35 | $7,533.93 | 15.22% | 18.95% | 13.08% | +5.86 | +0.79 | 58 |
| 2026-12-16 | 36 | $7,534.49 | 15.31% | 19.09% | 13.16% | +5.93 | +0.81 | 54 |
| 2026-12-17 | 37 | $7,535.34 | 15.39% | 19.21% | 13.22% | +6.00 | +0.82 | 64 |
| 2026-12-18 | 38 | $7,538.04 | 15.48% | 19.34% | 13.28% | +6.05 | +0.83 | 435 |
| 2026-12-24 | 44 | $7,543.67 | 15.29% | 19.19% | 13.07% | +6.11 | +0.84 | 65 |
| 2026-12-31 | 51 | $7,549.75 | 15.17% | 19.11% | 12.93% | +6.18 | +0.85 | 615 |
| 2027-01-08 | 59 | $7,558.19 | 15.17% | 19.14% | 12.94% | +6.20 | +0.87 | 115 |
| 2027-01-15 | 66 | $7,564.75 | 15.24% | 19.26% | 13.01% | +6.24 | +0.89 | 365 |
| 2027-01-29 | 80 | $7,576.11 | 15.30% | 19.40% | 13.07% | +6.34 | +0.93 | 464 |
| 2027-02-19 | 101 | $7,591.55 | 15.38% | 19.59% | 13.11% | +6.48 | +0.97 | 139 |
| 2027-02-26 | 108 | $7,597.11 | 15.44% | 19.70% | 13.16% | +6.54 | +0.99 | 184 |
| 2027-03-19 | 129 | $7,611.27 | 15.65% | 20.04% | 13.33% | +6.71 | +1.03 | 136 |
| 2027-03-31 | 141 | $7,620.05 | 15.63% | 20.00% | 13.29% | +6.70 | +1.02 | 526 |
| 2027-04-30 | 171 | $7,651.12 | 15.91% | 20.39% | 13.49% | +6.90 | +1.03 | 163 |
| 2027-06-30 | 232 | $7,699.13 | 16.22% | 20.72% | 13.70% | +7.02 | +0.99 | 433 |
| 2027-09-30 | 324 | $7,782.29 | 16.59% | 21.09% | 14.04% | +7.05 | +0.98 | 361 |
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
39 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 | $7,515.60 | 16.28% | $7,515.87 | 160 |
| 2026-11-12 | 2 天 | $7,515.85 | 16.74% | $7,516.43 | 214 |
| 2026-11-13 | 3 天 | $7,517.45 | 16.90% | $7,518.33 | 265 |
| 2026-11-16 | 6 天 | $7,517.15 | 14.16% | $7,518.39 | 210 |
| 2026-11-17 | 7 天 | $7,517.90 | 14.56% | $7,519.43 | 220 |
| 2026-11-18 | 8 天 | $7,518.15 | 15.53% | $7,520.14 | 212 |
| 2026-11-19 | 9 天 | $7,518.05 | 15.81% | $7,520.37 | 205 |
| 2026-11-20 | 10 天 | $7,520.05 | 16.04% | $7,522.70 | 452 |
| 2026-11-23 | 13 天 | $7,520.95 | 14.98% | $7,523.96 | 199 |
| 2026-11-24 | 14 天 | $7,521.55 | 15.10% | $7,524.84 | 198 |
| 2026-11-25 | 15 天 | $7,523.30 | 15.23% | $7,526.88 | 199 |
| 2026-11-27 | 17 天 | $7,525.95 | 14.76% | $7,529.77 | 266 |
| 2026-11-30 | 20 天 | $7,526.70 | 14.37% | $7,530.97 | 454 |
| 2026-12-01 | 21 天 | $7,526.85 | 14.54% | $7,531.43 | 150 |
| 2026-12-02 | 22 天 | $7,527.41 | 14.68% | $7,532.29 | 140 |
| 2026-12-03 | 23 天 | $7,527.06 | 14.81% | $7,532.26 | 140 |
| 2026-12-04 | 24 天 | $7,528.65 | 15.04% | $7,534.25 | 240 |
| 2026-12-07 | 27 天 | $7,528.80 | 14.70% | $7,534.82 | 134 |
| 2026-12-08 | 28 天 | $7,529.70 | 14.80% | $7,536.03 | 130 |
| 2026-12-09 | 29 天 | $7,530.50 | 15.10% | $7,537.32 | 134 |
| 2026-12-10 | 30 天 | $7,531.25 | 15.35% | $7,538.55 | 118 |
| 2026-12-11 | 31 天 | $7,533.31 | 15.44% | $7,540.95 | 166 |
| 2026-12-14 | 34 天 | $7,533.81 | 15.12% | $7,541.84 | 103 |
| 2026-12-15 | 35 天 | $7,533.93 | 15.22% | $7,542.31 | 58 |
| 2026-12-16 | 36 天 | $7,534.49 | 15.31% | $7,543.21 | 54 |
| 2026-12-17 | 37 天 | $7,535.34 | 15.39% | $7,544.40 | 64 |
| 2026-12-18 | 38 天 | $7,538.04 | 15.48% | $7,547.45 | 435 |
| 2026-12-24 | 44 天 | $7,543.67 | 15.29% | $7,554.31 | 65 |
| 2026-12-31 | 51 天 | $7,549.75 | 15.17% | $7,561.90 | 615 |
| 2027-01-08 | 59 天 | $7,558.19 | 15.17% | $7,572.26 | 115 |
| 2027-01-15 | 66 天 | $7,564.75 | 15.24% | $7,580.66 | 365 |
| 2027-01-29 | 80 天 | $7,576.11 | 15.30% | $7,595.58 | 464 |
| 2027-02-19 | 101 天 | $7,591.55 | 15.38% | $7,616.42 | 139 |
| 2027-02-26 | 108 天 | $7,597.11 | 15.44% | $7,623.95 | 184 |
| 2027-03-19 | 129 天 | $7,611.27 | 15.65% | $7,644.30 | 136 |
| 2027-03-31 | 141 天 | $7,620.05 | 15.63% | $7,656.08 | 526 |
| 2027-04-30 | 171 天 | $7,651.12 | 15.91% | $7,696.62 | 163 |
| 2027-06-30 | 232 天 | $7,699.13 | 16.22% | $7,763.74 | 433 |
| 2027-09-30 | 324 天 | $7,782.29 | 16.59% | $7,877.91 | 361 |
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
- 15.35%
- 60 天
- 15.18%
- 90 天
- 15.34%
- 180 天
- 15.97%
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 268 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。