ETF · 期权分析
TLT 期权分析
数据截至 2026年11月12日(收盘)
- 标的收盘价
- $79.72
- 30D ATM IV
- 12.48%
- IV 百分位 · 1年
- 第 20
- 25Δ 风险逆转
- +0.63
- 期限斜率 90/30
- 1.005
▲ +0.53 pts 较前一交易日
概览
TLT 期权当前计入的 30 天平值隐含波动率为 12.5%,相当于未来一个月约 ±3.6% 的波动。这高于它过去一年 252 个交易日中 20% 的读数。
它的 25-delta put 比 call 的隐含波动率高 0.63 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ⓘ
- 12.48%
- 25-delta 风险逆转ⓘ
- +0.63
- 25-delta 蝶式价差ⓘ
- +0.17
- 期限结构斜率ⓘ
- 1.005
对应 30 天内约 ±3.6% 的波动，平常一天约 ±0.8%。
高于过去一年中 20% 的读数。
距平值同样远时，put 比 call的隐含波动率高 0.63 个点。
高于过去一年中 65% 的读数。
两翼的隐含波动率比平值高 0.17 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 19% 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)
10.1%23.9%
- IV 百分位,1 年
- 20%
- IV 排名,1 年
- 17%
- IV 百分位,2 年
- 18%
- IV 排名,2 年
- 17%
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
- $79.72
- 30 天隐含远期价
- $79.75
- 60 天 ATM IV
- 12.34%
- 90 天 ATM IV
- 12.54%
- 180 天 ATM IV
- 12.98%
- 使用的到期日数
- 26
- 总未平仓量
- 9,234,127
- Put / call 未平仓量比
- 0.66
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 | 12.48% | +0.63 | 1.005 | $79.72 |
| 2026-11-10 | 11.96% | -0.03 | 1.018 | $80.88 |
| 2026-11-09 | 11.63% | -0.08 | 1.030 | $81.96 |
| 2026-11-06 | 12.15% | -0.23 | 1.029 | $81.92 |
| 2026-11-05 | 12.96% | -0.81 | 1.007 | $81.93 |
| 2026-11-04 | 12.02% | -0.18 | 1.037 | $81.76 |
| 2026-11-03 | 13.44% | -0.50 | 1.004 | $81.11 |
| 2026-11-02 | 13.56% | -0.90 | 0.999 | $81.73 |
| 2026-10-30 | 12.45% | -0.94 | 1.062 | $81.84 |
| 2026-10-29 | 12.25% | -0.08 | 1.047 | $81.49 |
| 2026-10-28 | 12.44% | +0.19 | 1.048 | $80.99 |
| 2026-10-27 | 12.35% | -0.08 | 1.043 | $81.63 |
| 2026-10-26 | 12.96% | -0.26 | 1.037 | $81.68 |
| 2026-10-23 | 13.58% | -0.22 | 1.024 | $81.34 |
| 2026-10-22 | 14.59% | -0.56 | 0.960 | $81.74 |
| 2026-10-21 | 13.12% | +0.06 | 1.034 | $80.24 |
| 2026-10-20 | 13.63% | +0.22 | 1.012 | $80.13 |
| 2026-10-19 | 13.98% | -0.02 | 1.002 | $79.46 |
| 2026-10-16 | 14.83% | +0.08 | 0.964 | $80.05 |
| 2026-10-15 | 13.93% | +0.64 | 0.996 | $79.97 |
| 2026-10-14 | 13.84% | +0.98 | 1.001 | $78.89 |
| 2026-10-13 | 13.59% | +0.55 | 0.996 | $78.37 |
| 2026-10-09 | 13.91% | +0.73 | 1.007 | $77.98 |
| 2026-10-08 | 14.90% | +1.06 | 0.977 | $77.87 |
| 2026-10-07 | 15.35% | +1.70 | 0.974 | $77.15 |
| 2026-10-06 | 15.00% | +1.51 | 0.997 | $77.28 |
| 2026-10-05 | 16.42% | +1.85 | 0.970 | $77.11 |
| 2026-10-02 | 15.96% | +1.51 | 0.997 | $77.48 |
| 2026-10-01 | 16.63% | +1.45 | 0.983 | $77.71 |
| 2026-09-30 | 16.84% | +1.51 | 0.961 | $77.78 |
| 2026-09-29 | 16.43% | +1.65 | 0.953 | $78.23 |
| 2026-09-28 | 15.18% | +2.08 | 0.971 | $78.62 |
| 2026-09-25 | 14.01% | +1.86 | 1.012 | $79.32 |
| 2026-09-24 | 14.64% | +1.62 | 0.975 | $79.42 |
| 2026-09-23 | 12.40% | +0.80 | 1.023 | $80.46 |
| 2026-09-22 | 10.87% | +0.45 | 1.084 | $81.75 |
| 2026-09-21 | 11.02% | +0.73 | 1.088 | $81.80 |
| 2026-09-18 | 11.26% | +0.71 | 1.087 | $81.25 |
| 2026-09-17 | 10.59% | +0.49 | 1.096 | $81.78 |
| 2026-09-16 | 11.91% | +1.05 | 1.080 | $80.88 |
| 2026-09-15 | 13.09% | +0.68 | 1.037 | $80.71 |
| 2026-09-14 | 12.55% | +0.66 | 1.032 | $80.93 |
| 2026-09-11 | 11.07% | +1.05 | 1.110 | $80.87 |
| 2026-09-10 | 12.79% | +0.92 | 1.034 | $80.78 |
| 2026-09-09 | 11.18% | +0.81 | 1.066 | $81.73 |
| 2026-09-08 | 11.19% | +0.43 | 1.048 | $82.20 |
| 2026-09-04 | 10.31% | +0.65 | 1.099 | $82.21 |
| 2026-09-03 | 11.11% | +0.63 | 1.050 | $82.07 |
| 2026-09-02 | 11.32% | +0.64 | 1.037 | $81.95 |
| 2026-09-01 | 11.29% | +0.65 | 1.054 | $81.87 |
| 2026-08-31 | 10.56% | +0.30 | 1.091 | $82.52 |
| 2026-08-28 | 10.14% | +0.28 | 1.108 | $82.88 |
| 2026-08-27 | 10.78% | +0.02 | 1.080 | $83.13 |
| 2026-08-26 | 10.95% | +0.26 | 1.067 | $83.30 |
| 2025-10-22 | 11.58% | -0.44 | 1.094 | $92.06 |
| 2025-10-21 | 11.82% | -0.81 | 1.082 | $92.00 |
| 2025-10-20 | 11.77% | -0.72 | 1.082 | $91.55 |
| 2025-10-17 | 11.51% | -0.61 | 1.111 | $91.20 |
| 2025-10-16 | 12.88% | -1.11 | 1.039 | $91.34 |
| 2025-10-15 | 11.97% | +0.18 | 1.070 | $90.66 |
| 2025-10-14 | 12.79% | -0.07 | 1.040 | $90.86 |
| 2025-10-10 | 13.49% | +0.14 | 1.006 | $90.62 |
| 2025-10-09 | 12.81% | +0.33 | 1.031 | $89.18 |
| 2025-10-08 | 12.50% | +0.42 | 1.034 | $89.25 |
| 2025-10-07 | 11.78% | +0.37 | 1.050 | $89.18 |
| 2025-10-06 | 11.99% | +0.51 | 1.051 | $88.67 |
| 2025-10-03 | 10.78% | +0.73 | 1.106 | $89.38 |
| 2025-10-02 | 11.49% | -0.01 | 1.075 | $89.55 |
| 2025-10-01 | 11.78% | -0.08 | 1.063 | $89.29 |
| 2025-09-30 | 12.75% | -0.03 | 1.035 | $89.37 |
| 2025-09-29 | 12.67% | +0.03 | 1.049 | $89.63 |
| 2025-09-26 | 12.49% | +0.09 | 1.090 | $88.90 |
| 2025-09-25 | 12.67% | -0.04 | 1.088 | $88.98 |
| 2025-09-24 | 12.52% | +0.00 | 1.085 | $88.98 |
| 2025-09-23 | 12.72% | -0.01 | 1.087 | $89.32 |
| 2025-09-22 | 12.65% | +0.27 | 1.091 | $88.70 |
| 2025-09-19 | 12.45% | +0.34 | 1.091 | $89.02 |
| 2025-09-18 | 12.20% | +0.29 | 1.109 | $89.19 |
| 2025-09-17 | 12.30% | +0.17 | 1.100 | $90.12 |
| 2025-09-16 | 13.08% | +0.23 | 1.055 | $90.35 |
| 2025-09-15 | 13.08% | +0.07 | 1.056 | $90.16 |
| 2025-09-12 | 12.79% | +0.27 | 1.067 | $89.95 |
| 2025-09-11 | 12.96% | +0.08 | 1.063 | $90.34 |
| 2025-09-10 | 13.42% | -0.03 | 1.045 | $89.74 |
| 2025-09-09 | 13.76% | +0.10 | 1.019 | $89.23 |
| 2025-09-08 | 14.25% | +0.30 | 0.985 | $89.74 |
| 2025-09-05 | 13.72% | +0.38 | 1.007 | $88.56 |
| 2025-09-04 | 14.20% | +0.69 | 0.988 | $87.23 |
| 2025-09-03 | 13.72% | +0.51 | 1.009 | $86.57 |
| 2025-09-02 | 13.73% | +0.51 | 1.016 | $85.63 |
| 2025-08-29 | 12.45% | +0.49 | 1.060 | $86.60 |
| 2025-08-28 | 12.11% | +0.51 | 1.070 | $87.22 |
| 2025-08-27 | 12.05% | +0.39 | 1.066 | $86.65 |
| 2025-08-26 | 12.13% | +0.29 | 1.076 | $86.75 |
| 2025-08-25 | 11.89% | +0.17 | 1.089 | $86.80 |
| 2025-08-22 | 12.06% | +0.51 | 1.082 | $87.05 |
| 2025-08-21 | 12.96% | +0.43 | 1.038 | $86.41 |
| 2025-08-20 | 12.75% | +0.25 | 1.049 | $86.84 |
| 2025-08-19 | 12.57% | +0.44 | 1.060 | $86.65 |
| 2025-08-18 | 12.48% | +0.61 | 1.069 | $86.15 |
| 2025-08-15 | 12.03% | +0.58 | 1.090 | $86.40 |
| 2025-08-14 | 12.23% | +0.33 | 1.074 | $87.02 |
| 2025-08-13 | 12.35% | +0.47 | 1.087 | $87.67 |
| 2025-08-12 | 12.07% | +0.83 | 1.094 | $86.95 |
| 2025-08-11 | 12.38% | +0.41 | 1.086 | $87.39 |
| 2025-08-08 | 12.04% | +0.34 | 1.126 | $87.29 |
| 2025-08-07 | 12.37% | +0.33 | 1.108 | $87.67 |
| 2025-08-06 | 12.74% | +0.43 | 1.101 | $87.82 |
| 2025-08-05 | 13.36% | +0.01 | 1.055 | $88.33 |
| 2025-08-04 | 13.79% | +0.45 | 1.039 | $88.06 |
| 2025-08-01 | 13.77% | +0.39 | 1.050 | $87.82 |
| 2025-07-31 | 13.06% | +1.16 | 1.086 | $86.92 |
| 2025-07-30 | 13.31% | +1.03 | 1.086 | $86.87 |
| 2025-07-29 | 13.59% | +0.66 | 1.068 | $87.32 |
| 2025-07-28 | 13.59% | +0.79 | 1.076 | $85.87 |
| 2025-07-25 | 13.76% | +0.68 | 1.069 | $86.43 |
| 2025-07-24 | 14.20% | +0.89 | 1.057 | $85.89 |
| 2025-07-23 | 14.02% | +0.87 | 1.064 | $86.04 |
| 2025-07-22 | 14.29% | +0.81 | 1.046 | $86.52 |
| 2025-07-21 | 14.14% | +1.03 | 1.061 | $86.00 |
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) · 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 | — | 12.48% | 13.43% |
| 10Δ 看涨 | 15.97% | 11.57% | 11.92% |
| 15Δ 看涨 | 15.51% | 10.92% | 11.46% |
| 20Δ 看涨 | 15.08% | 10.39% | 11.21% |
| 25Δ 看涨 | 14.64% | 10.20% | 11.03% |
| 30Δ 看涨 | 14.29% | 10.10% | 10.98% |
| 35Δ 看涨 | 14.07% | 10.03% | 10.98% |
| 40Δ 看涨 | 13.98% | 9.99% | 10.99% |
| 45Δ 看涨 | 14.00% | 9.98% | 11.00% |
| ATM | 14.05% | 10.00% | 11.05% |
| 45Δ 看跌 | 14.14% | 10.02% | 11.17% |
| 40Δ 看跌 | 14.26% | 10.05% | 11.31% |
| 35Δ 看跌 | 14.40% | 10.09% | 11.42% |
| 30Δ 看跌 | 14.57% | 10.16% | 11.51% |
| 25Δ 看跌 | 14.78% | 10.32% | 11.62% |
| 20Δ 看跌 | 15.14% | 10.58% | 11.86% |
| 15Δ 看跌 | 15.74% | 10.90% | 12.39% |
| 10Δ 看跌 | 16.70% | 11.41% | 12.75% |
| 5Δ 看跌 | 18.93% | 12.21% | 13.54% |
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 | $79.86 | 14.05% | 14.78% | 14.64% | +0.15 | +0.66 | 6 |
| 2026-11-16 | 4 | $79.86 | 10.00% | 10.32% | 10.20% | +0.12 | +0.27 | 10 |
| 2026-11-18 | 6 | $79.87 | 11.05% | 11.62% | 11.03% | +0.59 | +0.27 | 16 |
| 2026-11-20 | 8 | $79.91 | 11.84% | 12.58% | 11.67% | +0.91 | +0.29 | 24 |
| 2026-11-23 | 11 | $79.91 | 10.90% | 11.42% | 10.83% | +0.60 | +0.22 | 21 |
| 2026-11-25 | 13 | $79.94 | 11.40% | 12.03% | 11.32% | +0.71 | +0.27 | 25 |
| 2026-11-27 | 15 | $79.96 | 11.08% | 11.65% | 10.99% | +0.66 | +0.25 | 29 |
| 2026-11-30 | 18 | $79.96 | 10.78% | 11.28% | 10.75% | +0.53 | +0.23 | 18 |
| 2026-12-04 | 22 | $79.75 | 12.13% | 12.58% | 11.69% | +0.89 | +0.01 | 36 |
| 2026-12-11 | 29 | $79.77 | 12.38% | 12.89% | 12.25% | +0.64 | +0.19 | 36 |
| 2026-12-18 | 36 | $79.64 | 12.96% | 13.30% | 12.76% | +0.54 | +0.07 | 33 |
| 2026-12-24 | 42 | $79.65 | 12.59% | 13.01% | 12.27% | +0.74 | +0.05 | 35 |
| 2026-12-31 | 49 | $79.65 | 12.20% | 12.67% | 12.14% | +0.53 | +0.20 | 39 |
| 2027-01-15 | 64 | $79.76 | 12.38% | 12.74% | 12.41% | +0.34 | +0.19 | 51 |
| 2027-02-19 | 99 | $79.82 | 12.58% | 13.04% | 12.69% | +0.35 | +0.29 | 48 |
| 2027-03-19 | 127 | $79.82 | 12.78% | 13.29% | 12.90% | +0.38 | +0.32 | 39 |
| 2027-03-31 | 139 | $79.89 | 12.75% | 13.12% | 12.89% | +0.23 | +0.26 | 38 |
| 2027-04-16 | 155 | $79.85 | 12.80% | 13.27% | 12.91% | +0.36 | +0.29 | 47 |
| 2027-05-21 | 190 | $79.90 | 13.03% | 13.50% | 13.19% | +0.32 | +0.31 | 38 |
| 2027-06-17 | 217 | $79.92 | 13.07% | 13.73% | 13.15% | +0.57 | +0.37 | 42 |
| 2027-06-30 | 230 | $79.97 | 13.12% | 13.50% | 13.23% | +0.26 | +0.25 | 27 |
| 2027-07-16 | 246 | $79.97 | 13.08% | 13.79% | 13.31% | +0.48 | +0.47 | 27 |
| 2027-08-20 | 281 | $80.00 | 13.28% | 13.69% | 13.23% | +0.46 | +0.18 | 32 |
| 2027-09-17 | 309 | $80.00 | 13.41% | 13.85% | 13.35% | +0.50 | +0.19 | 30 |
| 2027-09-30 | 322 | $80.05 | 13.37% | 13.89% | 13.37% | +0.52 | +0.26 | 29 |
| 2027-10-15 | 337 | $80.08 | 13.30% | 13.96% | 13.63% | +0.33 | +0.49 | 26 |
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
26 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 | $79.86 | 14.05% | $79.86 | 6 |
| 2026-11-16 | 4 天 | $79.86 | 10.00% | $79.87 | 10 |
| 2026-11-18 | 6 天 | $79.87 | 11.05% | $79.88 | 16 |
| 2026-11-20 | 8 天 | $79.91 | 11.84% | $79.93 | 24 |
| 2026-11-23 | 11 天 | $79.91 | 10.90% | $79.93 | 21 |
| 2026-11-25 | 13 天 | $79.94 | 11.40% | $79.96 | 25 |
| 2026-11-27 | 15 天 | $79.96 | 11.08% | $79.98 | 29 |
| 2026-11-30 | 18 天 | $79.96 | 10.78% | $79.99 | 18 |
| 2026-12-04 | 22 天 | $79.75 | 12.13% | $79.79 | 36 |
| 2026-12-11 | 29 天 | $79.77 | 12.38% | $79.82 | 36 |
| 2026-12-18 | 36 天 | $79.64 | 12.96% | $79.71 | 33 |
| 2026-12-24 | 42 天 | $79.65 | 12.59% | $79.72 | 35 |
| 2026-12-31 | 49 天 | $79.65 | 12.20% | $79.73 | 39 |
| 2027-01-15 | 64 天 | $79.76 | 12.38% | $79.87 | 51 |
| 2027-02-19 | 99 天 | $79.82 | 12.58% | $79.99 | 48 |
| 2027-03-19 | 127 天 | $79.82 | 12.78% | $80.05 | 39 |
| 2027-03-31 | 139 天 | $79.89 | 12.75% | $80.14 | 38 |
| 2027-04-16 | 155 天 | $79.85 | 12.80% | $80.13 | 47 |
| 2027-05-21 | 190 天 | $79.90 | 13.03% | $80.25 | 38 |
| 2027-06-17 | 217 天 | $79.92 | 13.07% | $80.33 | 42 |
| 2027-06-30 | 230 天 | $79.97 | 13.12% | $80.41 | 27 |
| 2027-07-16 | 246 天 | $79.97 | 13.08% | $80.44 | 27 |
| 2027-08-20 | 281 天 | $80.00 | 13.28% | $80.55 | 32 |
| 2027-09-17 | 309 天 | $80.00 | 13.41% | $80.61 | 30 |
| 2027-09-30 | 322 天 | $80.05 | 13.37% | $80.69 | 29 |
| 2027-10-15 | 337 天 | $80.08 | 13.30% | $80.74 | 26 |
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
- 12.48%
- 60 天
- 12.34%
- 90 天
- 12.54%
- 180 天
- 12.98%
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。