ETF · 期权分析
SPY 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $749.92
- 30D ATM IV
- 15.54%
- IV 百分位 · 1年
- 第 72
- 25Δ 风险逆转
- +5.69
- 期限斜率 90/30
- 1.011
▼ -0.08 pts 较前一交易日
概览
SPY 期权当前计入的 30 天平值隐含波动率为 15.5%,相当于未来一个月约 ±4.5% 的波动。这高于它过去一年 252 个交易日中 72% 的读数。
它的 25-delta put 比 call 的隐含波动率高 5.69 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ⓘ
- 15.54%
- 25-delta 风险逆转ⓘ
- +5.69
- 25-delta 蝶式价差ⓘ
- +0.63
- 期限结构斜率ⓘ
- 1.011
对应 30 天内约 ±4.5% 的波动，平常一天约 ±1.0%。
高于过去一年中 72% 的读数。
距平值同样远时，put 比 call的隐含波动率高 5.69 个点。
高于过去一年中 67% 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 1%。
高于过去一年中 24% 的读数。
30 天隐含波动率处在什么位置
对比此前 252 个交易日(一年窗口)
10.7%26.2%
- IV 百分位,1 年
- 72%
- IV 排名,1 年
- 31%
- IV 百分位,2 年
- 71%
- IV 排名,2 年
- 19%
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
- $749.92
- 30 天隐含远期价
- $751.79
- 60 天 ATM IV
- 15.50%
- 90 天 ATM IV
- 15.71%
- 180 天 ATM IV
- 16.47%
- 使用的到期日数
- 29
- 总未平仓量
- 14,662,712
- Put / call 未平仓量比
- 2.03
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 549 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 | 15.54% | +5.69 | 1.011 | $749.92 |
| 2026-11-09 | 15.62% | +5.72 | 1.008 | $752.69 |
| 2026-11-06 | 19.03% | +8.51 | 0.943 | $735.29 |
| 2026-11-05 | 20.58% | +9.53 | 0.901 | $733.00 |
| 2026-11-04 | 13.24% | +4.37 | 1.070 | $766.81 |
| 2026-11-03 | 16.33% | +5.96 | 0.976 | $754.35 |
| 2026-11-02 | 16.66% | +6.50 | 0.973 | $752.10 |
| 2026-10-30 | 15.73% | +6.34 | 1.009 | $755.72 |
| 2026-10-29 | 12.88% | +4.57 | 1.104 | $769.36 |
| 2026-10-28 | 13.25% | +4.34 | 1.086 | $772.31 |
| 2026-10-27 | 13.71% | +4.57 | 1.067 | $769.66 |
| 2026-10-26 | 14.28% | +5.10 | 1.038 | $765.37 |
| 2026-10-23 | 15.20% | +5.93 | 1.006 | $759.97 |
| 2026-10-22 | 15.29% | +5.73 | 0.993 | $763.96 |
| 2026-10-21 | 13.24% | +3.99 | 1.057 | $773.09 |
| 2026-10-20 | 13.42% | +4.58 | 1.047 | $769.05 |
| 2026-10-19 | 13.66% | +5.18 | 1.041 | $766.48 |
| 2026-10-16 | 14.64% | +6.49 | 1.007 | $763.25 |
| 2026-10-15 | 12.76% | +4.23 | 1.072 | $771.79 |
| 2026-10-14 | 13.37% | +4.83 | 1.049 | $769.60 |
| 2026-10-13 | 12.29% | +3.77 | 1.100 | $778.01 |
| 2026-10-09 | 12.11% | +3.34 | 1.111 | $778.57 |
| 2026-10-08 | 12.72% | +3.82 | 1.081 | $773.93 |
| 2026-10-07 | 12.52% | +3.18 | 1.084 | $777.22 |
| 2026-10-06 | 12.51% | +2.82 | 1.082 | $779.09 |
| 2026-10-05 | 12.76% | +3.22 | 1.077 | $774.83 |
| 2026-10-02 | 12.66% | +3.57 | 1.084 | $769.64 |
| 2026-10-01 | 13.48% | +4.09 | 1.046 | $763.99 |
| 2026-09-30 | 13.36% | +3.86 | 1.046 | $762.63 |
| 2026-09-29 | 13.39% | +3.89 | 1.047 | $764.20 |
| 2026-09-28 | 13.17% | +3.88 | 1.060 | $765.61 |
| 2026-09-25 | 12.02% | +3.29 | 1.130 | $771.35 |
| 2026-09-24 | 12.54% | +3.62 | 1.114 | $767.18 |
| 2026-09-23 | 12.26% | +3.69 | 1.137 | $767.81 |
| 2026-09-22 | 11.60% | +2.70 | 1.176 | $773.38 |
| 2026-09-21 | 11.99% | +2.96 | 1.156 | $773.50 |
| 2026-09-18 | 11.96% | +3.97 | 1.162 | $761.69 |
| 2026-09-17 | 12.43% | +4.14 | 1.131 | $762.60 |
| 2026-09-16 | 14.30% | +5.48 | 1.048 | $754.05 |
| 2026-09-15 | 13.72% | +5.13 | 1.065 | $757.39 |
| 2026-09-14 | 13.48% | +5.02 | 1.073 | $760.88 |
| 2026-09-11 | 12.51% | +4.44 | 1.120 | $764.29 |
| 2026-09-10 | 14.31% | +5.38 | 1.044 | $757.83 |
| 2026-09-09 | 13.29% | +4.54 | 1.082 | $762.40 |
| 2026-09-08 | 12.72% | +4.23 | 1.102 | $765.96 |
| 2026-09-04 | 11.75% | +3.57 | 1.148 | $770.19 |
| 2026-09-03 | 11.74% | +3.22 | 1.139 | $773.17 |
| 2026-09-02 | 12.35% | +4.04 | 1.116 | $765.16 |
| 2026-09-01 | 13.04% | +4.80 | 1.072 | $761.78 |
| 2026-08-31 | 11.81% | +3.80 | 1.139 | $767.05 |
| 2026-08-28 | 11.55% | +3.54 | 1.176 | $769.35 |
| 2026-08-27 | 11.81% | +3.33 | 1.166 | $771.10 |
| 2026-08-21 | 12.50% | +3.98 | 1.135 | $765.72 |
| 2026-08-20 | 13.13% | +4.62 | 1.105 | $762.60 |
| 2026-08-19 | 12.34% | +3.86 | 1.145 | $769.06 |
| 2026-08-18 | 12.93% | +4.41 | 1.130 | $767.45 |
| 2026-08-17 | 12.46% | +3.89 | 1.168 | $772.67 |
| 2026-08-14 | 11.79% | +3.02 | 1.207 | $776.34 |
| 2026-08-13 | 12.11% | +2.78 | 1.188 | $777.88 |
| 2026-08-12 | 11.99% | +2.88 | 1.198 | $772.49 |
| 2026-08-11 | 12.58% | +3.15 | 1.162 | $770.56 |
| 2026-08-10 | 12.79% | +3.07 | 1.151 | $773.03 |
| 2026-08-07 | 12.49% | +2.83 | 1.161 | $773.26 |
| 2026-08-06 | 12.68% | +3.38 | 1.136 | $768.56 |
| 2026-08-05 | 13.27% | +3.15 | 1.104 | $769.79 |
| 2026-08-04 | 13.57% | +2.54 | 1.106 | $771.33 |
| 2026-08-03 | 12.72% | +3.57 | 1.137 | $757.67 |
| 2026-07-31 | 12.77% | +4.58 | 1.136 | $747.03 |
| 2026-07-30 | 13.86% | +4.98 | 1.077 | $741.69 |
| 2026-07-29 | 17.06% | +6.63 | 0.971 | $729.46 |
| 2026-07-28 | 14.84% | +5.89 | 1.026 | $740.86 |
| 2026-07-27 | 15.12% | +6.12 | 1.021 | $739.09 |
| 2026-07-24 | 15.02% | +6.26 | 1.036 | $738.93 |
| 2026-07-23 | 15.19% | +6.30 | 1.030 | $738.18 |
| 2026-07-22 | 13.25% | +5.42 | 1.112 | $747.41 |
| 2026-07-21 | 13.67% | +5.37 | 1.086 | $748.28 |
| 2026-07-20 | 15.02% | +6.16 | 1.027 | $742.09 |
| 2026-07-17 | 15.04% | +6.22 | 1.027 | $743.29 |
| 2026-07-16 | 13.48% | +5.19 | 1.088 | $750.72 |
| 2026-07-15 | 12.74% | +4.47 | 1.124 | $754.81 |
| 2026-07-14 | 13.37% | +4.83 | 1.094 | $751.83 |
| 2026-07-13 | 13.98% | +5.00 | 1.065 | $749.17 |
| 2026-07-10 | 12.41% | +3.76 | 1.142 | $754.95 |
| 2026-07-09 | 12.89% | +4.12 | 1.119 | $751.71 |
| 2026-07-08 | 13.77% | +4.85 | 1.071 | $745.40 |
| 2026-07-07 | 13.22% | +4.42 | 1.096 | $747.71 |
| 2026-07-06 | 12.82% | +3.81 | 1.117 | $751.28 |
| 2026-07-02 | 13.37% | +4.36 | 1.088 | $744.78 |
| 2026-07-01 | 13.59% | +4.32 | 1.078 | $745.76 |
| 2026-06-30 | 13.56% | +4.16 | 1.080 | $746.77 |
| 2026-06-29 | 14.65% | +4.70 | 1.036 | $741.00 |
| 2026-06-26 | 15.54% | +5.01 | 1.011 | $728.99 |
| 2026-06-25 | 15.86% | +5.25 | 1.004 | $734.30 |
| 2026-06-24 | 15.50% | +5.37 | 1.017 | $733.24 |
| 2026-06-23 | 16.19% | +5.79 | 1.003 | $733.58 |
| 2026-06-22 | 14.35% | +5.01 | 1.065 | $744.39 |
| 2026-06-18 | 13.58% | +4.55 | 1.109 | $746.74 |
| 2026-06-17 | 15.31% | +5.49 | 1.028 | $740.96 |
| 2026-06-16 | 13.65% | +4.46 | 1.098 | $750.33 |
| 2026-06-15 | 13.29% | +3.85 | 1.122 | $754.83 |
| 2026-06-12 | 14.80% | +4.33 | 1.067 | $741.75 |
| 2026-06-11 | 16.27% | +4.70 | 1.015 | $737.76 |
| 2026-06-10 | 18.35% | +5.79 | 0.958 | $725.43 |
| 2026-06-09 | 16.37% | +5.58 | 1.002 | $737.05 |
| 2026-06-08 | 15.56% | +5.38 | 1.025 | $739.22 |
| 2026-06-05 | 16.85% | +6.72 | 0.982 | $737.55 |
| 2026-06-04 | 12.97% | +4.04 | 1.143 | $757.09 |
| 2026-06-03 | 13.44% | +2.90 | 1.124 | $754.24 |
| 2026-06-02 | 13.14% | +4.01 | 1.134 | $759.57 |
| 2026-06-01 | 13.17% | +4.01 | 1.133 | $758.54 |
| 2026-05-29 | 12.60% | +3.54 | 1.151 | $756.48 |
| 2026-05-28 | 13.12% | +3.09 | 1.135 | $754.60 |
| 2026-05-27 | 13.66% | +3.43 | 1.106 | $750.46 |
| 2026-05-26 | 14.27% | +3.60 | 1.080 | $750.59 |
| 2026-05-22 | 14.10% | +3.97 | 1.086 | $745.64 |
| 2026-05-21 | 14.25% | +4.08 | 1.073 | $742.72 |
| 2026-05-20 | 14.96% | +4.55 | 1.046 | $741.25 |
| 2026-05-19 | 15.50% | +5.28 | 1.027 | $733.73 |
| 2026-05-18 | 15.15% | +4.89 | 1.039 | $738.65 |
| 2026-05-15 | 15.33% | +4.90 | 1.051 | $739.17 |
图表覆盖存档中的全部交易日,共 549 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 549 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 | 13.92% | 14.08% | 13.86% |
| 10Δ 看涨 | 14.07% | 14.34% | 14.27% |
| 15Δ 看涨 | 14.30% | 14.64% | 14.58% |
| 20Δ 看涨 | 14.64% | 14.98% | 14.98% |
| 25Δ 看涨 | 14.93% | 15.26% | 15.33% |
| 30Δ 看涨 | 15.25% | 15.58% | 15.64% |
| 35Δ 看涨 | 15.57% | 15.88% | 15.98% |
| 40Δ 看涨 | 15.83% | 16.20% | 16.32% |
| 45Δ 看涨 | 16.11% | 16.52% | 16.66% |
| ATM | 16.41% | 16.85% | 17.01% |
| 45Δ 看跌 | 16.70% | 17.19% | 17.35% |
| 40Δ 看跌 | 16.98% | 17.55% | 17.70% |
| 35Δ 看跌 | 17.29% | 17.90% | 18.09% |
| 30Δ 看跌 | 17.60% | 18.27% | 18.50% |
| 25Δ 看跌 | 17.88% | 18.66% | 18.99% |
| 20Δ 看跌 | 18.17% | 19.14% | 19.56% |
| 15Δ 看跌 | 18.52% | 19.66% | 20.27% |
| 10Δ 看跌 | 18.98% | 20.42% | 21.25% |
| 5Δ 看跌 | 19.77% | 21.92% | 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 | $749.32 | 16.41% | 17.88% | 14.93% | +2.96 | -0.01 | 67 |
| 2026-11-12 | 2 | $749.42 | 16.85% | 18.66% | 15.26% | +3.40 | +0.11 | 105 |
| 2026-11-13 | 3 | $749.64 | 17.01% | 18.99% | 15.33% | +3.65 | +0.15 | 104 |
| 2026-11-16 | 6 | $749.74 | 14.19% | 16.05% | 12.75% | +3.30 | +0.21 | 134 |
| 2026-11-17 | 7 | $749.83 | 15.00% | 17.09% | 13.43% | +3.66 | +0.26 | 126 |
| 2026-11-18 | 8 | $749.90 | 15.57% | 17.93% | 13.84% | +4.09 | +0.31 | 116 |
| 2026-11-19 | 9 | $749.97 | 15.85% | 18.37% | 14.00% | +4.37 | +0.34 | 120 |
| 2026-11-20 | 10 | $750.17 | 16.12% | 18.79% | 14.16% | +4.63 | +0.35 | 175 |
| 2026-11-23 | 13 | $750.28 | 15.05% | 17.73% | 13.10% | +4.64 | +0.37 | 150 |
| 2026-11-24 | 14 | $750.36 | 15.19% | 18.01% | 13.15% | +4.86 | +0.39 | 30 |
| 2026-11-27 | 17 | $750.72 | 14.95% | 17.83% | 12.86% | +4.97 | +0.40 | 161 |
| 2026-11-30 | 20 | $750.84 | 14.53% | 17.43% | 12.49% | +4.94 | +0.42 | 278 |
| 2026-12-04 | 24 | $751.32 | 15.19% | 18.42% | 13.04% | +5.38 | +0.54 | 153 |
| 2026-12-11 | 31 | $751.86 | 15.58% | 19.08% | 13.35% | +5.73 | +0.64 | 151 |
| 2026-12-18 | 38 | $751.45 | 15.77% | 19.50% | 13.40% | +6.09 | +0.68 | 214 |
| 2026-12-24 | 44 | $751.38 | 15.51% | 19.28% | 13.14% | +6.14 | +0.70 | 117 |
| 2026-12-31 | 51 | $751.62 | 15.39% | 19.17% | 13.03% | +6.13 | +0.71 | 324 |
| 2027-01-15 | 66 | $752.96 | 15.56% | 19.31% | 13.19% | +6.11 | +0.69 | 136 |
| 2027-01-29 | 80 | $754.12 | 15.64% | 19.45% | 13.24% | +6.21 | +0.70 | 228 |
| 2027-02-19 | 101 | $755.93 | 15.77% | 19.65% | 13.31% | +6.33 | +0.71 | 110 |
| 2027-02-26 | 108 | $756.49 | 15.86% | 19.74% | 13.38% | +6.36 | +0.69 | 147 |
| 2027-03-19 | 129 | $757.89 | 16.07% | 20.06% | 13.52% | +6.54 | +0.72 | 161 |
| 2027-03-31 | 141 | $758.08 | 15.98% | 20.01% | 13.46% | +6.55 | +0.76 | 194 |
| 2027-04-16 | 157 | $759.50 | 16.20% | 20.31% | 13.63% | +6.68 | +0.77 | 103 |
| 2027-04-30 | 171 | $760.73 | 16.38% | 20.49% | 13.75% | +6.75 | +0.74 | 133 |
| 2027-06-17 | 219 | $764.59 | 16.77% | 20.80% | 14.00% | +6.81 | +0.63 | 189 |
| 2027-06-30 | 232 | $764.91 | 16.73% | 20.79% | 13.97% | +6.82 | +0.65 | 183 |
| 2027-09-17 | 311 | $771.70 | 17.30% | 21.25% | 14.41% | +6.84 | +0.53 | 205 |
| 2027-09-30 | 324 | $771.80 | 17.31% | 21.23% | 14.43% | +6.80 | +0.52 | 166 |
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
29 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 | $749.32 | 16.41% | $749.35 | 67 |
| 2026-11-12 | 2 天 | $749.42 | 16.85% | $749.47 | 105 |
| 2026-11-13 | 3 天 | $749.64 | 17.01% | $749.73 | 104 |
| 2026-11-16 | 6 天 | $749.74 | 14.19% | $749.87 | 134 |
| 2026-11-17 | 7 天 | $749.83 | 15.00% | $749.99 | 126 |
| 2026-11-18 | 8 天 | $749.90 | 15.57% | $750.10 | 116 |
| 2026-11-19 | 9 天 | $749.97 | 15.85% | $750.20 | 120 |
| 2026-11-20 | 10 天 | $750.17 | 16.12% | $750.43 | 175 |
| 2026-11-23 | 13 天 | $750.28 | 15.05% | $750.58 | 150 |
| 2026-11-24 | 14 天 | $750.36 | 15.19% | $750.69 | 30 |
| 2026-11-27 | 17 天 | $750.72 | 14.95% | $751.12 | 161 |
| 2026-11-30 | 20 天 | $750.84 | 14.53% | $751.27 | 278 |
| 2026-12-04 | 24 天 | $751.32 | 15.19% | $751.89 | 153 |
| 2026-12-11 | 31 天 | $751.86 | 15.58% | $752.64 | 151 |
| 2026-12-18 | 38 天 | $751.45 | 15.77% | $752.43 | 214 |
| 2026-12-24 | 44 天 | $751.38 | 15.51% | $752.47 | 117 |
| 2026-12-31 | 51 天 | $751.62 | 15.39% | $752.87 | 324 |
| 2027-01-15 | 66 天 | $752.96 | 15.56% | $754.62 | 136 |
| 2027-01-29 | 80 天 | $754.12 | 15.64% | $756.14 | 228 |
| 2027-02-19 | 101 天 | $755.93 | 15.77% | $758.54 | 110 |
| 2027-02-26 | 108 天 | $756.49 | 15.86% | $759.31 | 147 |
| 2027-03-19 | 129 天 | $757.89 | 16.07% | $761.35 | 161 |
| 2027-03-31 | 141 天 | $758.08 | 15.98% | $761.83 | 194 |
| 2027-04-16 | 157 天 | $759.50 | 16.20% | $763.80 | 103 |
| 2027-04-30 | 171 天 | $760.73 | 16.38% | $765.53 | 133 |
| 2027-06-17 | 219 天 | $764.59 | 16.77% | $771.07 | 189 |
| 2027-06-30 | 232 天 | $764.91 | 16.73% | $771.75 | 183 |
| 2027-09-17 | 311 天 | $771.70 | 17.30% | $781.60 | 205 |
| 2027-09-30 | 324 天 | $771.80 | 17.31% | $782.13 | 166 |
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
- 15.54%
- 60 天
- 15.50%
- 90 天
- 15.71%
- 180 天
- 16.47%
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 549 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。