指数 · 期权分析
VIX 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $19.46
- 30D ATM IV
- 91.68%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- -53.27
- 期限斜率 90/30
- 0.849
▲ +0.13 pts 较前一交易日
概览
VIX 期权当前计入的 30 天平值隐含波动率为 91.7%,相当于未来一个月约 ±26.3% 的波动。它在本站的历史只有 349 个交易日,不到计算百分位所需的 180 个,所以这个读数还没有和它自己的过去作比较。
它的 25-delta call 比 put 的隐含波动率高 53.27 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 15%。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ⓘ
- 91.68%
- 25-delta 风险逆转ⓘ
- -53.27
- 25-delta 蝶式价差ⓘ
- +6.02
- 期限结构斜率ⓘ
- 0.849
对应 30 天内约 ±26.3% 的波动，平常一天约 ±5.8%。
距平值同样远时，call 比 put的隐含波动率高 53.27 个点。
两翼的隐含波动率比平值高 6.02 个点。
90 天的隐含波动率比 30 天低 15%。
30 天隐含波动率处在什么位置
对比此前 154 个交易日(一年窗口)
这个窗口内的历史不足,无法定位当前读数。
- IV 百分位,1 年
- —
- IV 排名,1 年
- —
- IV 百分位,2 年
- 56%
- IV 排名,2 年
- 34%
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
- $19.46
- 30 天隐含远期价
- $19.75
- 60 天 ATM IV
- 82.85%
- 90 天 ATM IV
- 77.83%
- 180 天 ATM IV
- 64.75%
- 使用的到期日数
- 9
- 总未平仓量
- 13,338,390
- Put / call 未平仓量比
- 0.45
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 349 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 | 91.68% | -53.27 | 0.849 | $19.46 |
| 2026-11-09 | 91.55% | -55.81 | 0.847 | $19.92 |
| 2026-11-06 | 119.97% | -71.06 | 0.710 | $25.64 |
| 2026-11-05 | 126.53% | -79.73 | 0.690 | $28.18 |
| 2026-11-04 | 79.74% | -52.83 | 0.922 | $16.61 |
| 2026-11-03 | 103.78% | -61.51 | 0.769 | $20.83 |
| 2026-11-02 | 106.17% | -64.25 | 0.762 | $21.15 |
| 2026-10-30 | 103.48% | -62.15 | 0.769 | $19.42 |
| 2026-10-29 | 87.63% | -56.80 | 0.876 | $17.20 |
| 2026-10-28 | 90.52% | -54.56 | 0.856 | $16.91 |
| 2026-10-27 | 92.54% | -53.07 | 0.845 | $17.52 |
| 2026-10-26 | 96.18% | -56.04 | 0.825 | $18.39 |
| 2026-10-23 | 111.32% | -64.68 | 0.739 | $19.45 |
| 2026-10-22 | 107.58% | -64.27 | 0.750 | $19.03 |
| 2026-10-21 | 87.36% | -60.41 | 0.856 | $16.68 |
| 2026-10-20 | 89.79% | -62.28 | 0.831 | $17.31 |
| 2026-10-19 | 96.22% | -74.70 | 0.802 | $18.44 |
| 2026-10-16 | 104.01% | -69.92 | 0.764 | $19.99 |
| 2026-10-15 | 82.11% | -53.74 | 0.902 | $16.46 |
| 2026-10-14 | 86.92% | -55.84 | 0.879 | $16.87 |
| 2026-10-13 | 78.53% | -51.80 | 0.947 | $15.27 |
| 2026-10-09 | 79.87% | -52.06 | 0.946 | $14.84 |
| 2026-10-08 | 83.07% | -54.48 | 0.920 | $15.41 |
| 2026-10-07 | 76.10% | -51.43 | 0.979 | $15.08 |
| 2026-10-06 | 75.05% | -50.57 | 0.996 | $15.01 |
| 2026-10-05 | 78.70% | -50.85 | 0.968 | $15.52 |
| 2026-10-02 | 79.91% | -54.79 | 0.970 | $15.31 |
| 2026-10-01 | 84.91% | -59.25 | 0.922 | $16.39 |
| 2026-09-30 | 81.46% | -57.72 | 0.949 | $16.34 |
| 2026-09-29 | 82.96% | -59.67 | 0.934 | $16.04 |
| 2026-09-28 | 83.42% | -61.49 | 0.938 | $16.07 |
| 2026-09-25 | 78.74% | -59.24 | 0.988 | $14.87 |
| 2026-09-24 | 82.24% | -59.24 | 0.950 | $15.67 |
| 2026-09-23 | 80.58% | -57.59 | 0.968 | $15.18 |
| 2026-09-22 | 71.94% | -51.65 | 1.051 | $14.21 |
| 2026-09-21 | 77.43% | -52.12 | 0.994 | $14.87 |
| 2026-09-18 | — | — | — | $14.81 |
| 2026-09-17 | — | — | — | $15.44 |
| 2026-09-16 | — | — | — | $17.71 |
| 2026-09-15 | — | — | — | $17.20 |
| 2026-09-14 | — | — | — | $17.10 |
| 2026-09-11 | — | — | — | $15.84 |
| 2026-09-10 | — | — | — | $17.84 |
| 2026-09-09 | 83.59% | -53.41 | 0.937 | $16.46 |
| 2026-09-08 | 83.65% | -53.91 | 0.909 | $15.72 |
| 2026-09-04 | 76.26% | -51.30 | 0.994 | $14.53 |
| 2026-09-03 | 75.21% | -51.04 | 1.000 | $14.32 |
| 2026-09-02 | 77.89% | -52.47 | 0.977 | $15.20 |
| 2026-09-01 | 83.15% | -54.15 | 0.930 | $16.34 |
| 2026-08-31 | 76.24% | -49.82 | 0.993 | $14.92 |
| 2026-08-28 | 76.13% | -45.02 | 0.964 | $14.43 |
| 2026-08-27 | — | — | — | $14.51 |
| 2026-08-26 | 75.90% | -54.17 | 1.004 | $15.21 |
| 2026-08-25 | 75.47% | -52.77 | 1.011 | $15.45 |
| 2026-08-24 | — | — | — | $15.85 |
| 2026-08-21 | 75.93% | -49.26 | 0.978 | $15.13 |
| 2026-08-20 | 78.90% | -51.73 | 0.966 | $16.01 |
| 2026-08-19 | 75.76% | -47.90 | 1.098 | $14.89 |
| 2026-08-18 | 84.83% | -55.01 | 0.976 | $15.84 |
| 2026-08-17 | 87.18% | -52.51 | 0.909 | $15.19 |
| 2025-10-22 | — | — | — | $18.60 |
| 2025-10-21 | — | — | — | $17.87 |
| 2025-10-20 | — | — | — | $18.23 |
| 2025-10-17 | — | — | — | $20.78 |
| 2025-10-16 | — | — | — | $25.31 |
| 2025-10-15 | — | — | — | $20.64 |
| 2025-10-14 | — | — | — | $20.81 |
| 2025-10-10 | — | — | — | $21.66 |
| 2025-10-09 | — | — | — | $16.43 |
| 2025-10-08 | — | — | — | $16.30 |
| 2025-10-07 | — | — | — | $17.24 |
| 2025-10-06 | — | — | — | $16.37 |
| 2025-10-03 | — | — | — | $16.65 |
| 2025-10-02 | — | — | — | $16.63 |
| 2025-10-01 | 86.45% | -54.61 | 0.911 | $16.29 |
| 2025-09-30 | — | — | — | $16.28 |
| 2025-09-29 | 86.20% | -54.83 | 0.919 | $16.12 |
| 2025-09-26 | — | — | — | $15.29 |
| 2025-09-25 | 92.67% | -59.17 | 0.877 | $16.74 |
| 2025-09-24 | 88.78% | -55.83 | 0.868 | $16.18 |
| 2025-09-23 | 94.02% | -54.27 | 0.845 | $16.64 |
| 2025-09-22 | 91.67% | -56.24 | 0.861 | $16.10 |
| 2025-09-19 | — | — | — | $15.45 |
| 2025-09-18 | — | — | — | $15.70 |
| 2025-09-17 | — | — | — | $15.72 |
| 2025-09-16 | — | — | — | $16.36 |
| 2025-09-15 | — | — | — | $15.69 |
| 2025-09-12 | — | — | — | $14.76 |
| 2025-09-11 | 77.88% | -47.95 | 0.979 | $14.71 |
| 2025-09-10 | — | — | — | $15.35 |
| 2025-09-09 | — | — | — | $15.04 |
| 2025-09-08 | 81.94% | -48.51 | 0.953 | $15.11 |
| 2025-09-05 | — | — | — | $15.18 |
| 2025-09-04 | 86.66% | -52.84 | 0.916 | $15.30 |
| 2025-09-03 | — | — | — | $16.35 |
| 2025-09-02 | — | — | — | $17.17 |
| 2025-08-29 | 92.17% | -57.60 | 0.871 | $15.36 |
| 2025-08-28 | 82.35% | -44.98 | — | $14.43 |
| 2025-08-27 | — | — | — | $14.85 |
| 2025-08-26 | 83.80% | -53.46 | 0.938 | $14.62 |
| 2025-08-25 | 84.55% | -55.66 | 0.923 | $14.79 |
| 2025-08-22 | 80.70% | -56.09 | 0.945 | $14.22 |
| 2025-08-21 | 92.39% | -57.00 | 0.870 | $16.60 |
| 2025-08-20 | — | — | — | $15.69 |
| 2025-08-19 | — | — | — | $15.57 |
| 2025-08-18 | 86.99% | -55.50 | 0.915 | $14.99 |
| 2025-08-15 | — | — | — | $15.09 |
| 2025-08-14 | — | — | — | $14.83 |
| 2025-08-13 | — | — | — | $14.49 |
| 2025-08-12 | — | — | — | $14.73 |
| 2025-08-11 | — | — | — | $16.25 |
| 2025-08-08 | — | — | — | $15.15 |
| 2025-08-07 | — | — | — | $16.57 |
| 2025-08-06 | — | — | — | $16.77 |
| 2025-08-05 | — | — | — | $17.85 |
| 2025-08-04 | 87.76% | -51.76 | 0.904 | $17.52 |
| 2025-08-01 | — | — | — | $20.38 |
| 2025-07-31 | — | — | — | $16.72 |
| 2025-07-30 | — | — | — | $15.48 |
| 2025-07-29 | — | — | — | $15.98 |
图表覆盖存档中的全部交易日,共 349 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 349 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
8d (2026-11-18) · 36d (2026-12-16) · 71d (2027-01-20)
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 | 8d | 36d | 71d |
|---|---|---|---|
| 5Δ 看涨 | 263.28% | 194.19% | 164.50% |
| 10Δ 看涨 | 199.29% | 166.13% | 148.40% |
| 15Δ 看涨 | 169.02% | 148.82% | 134.88% |
| 20Δ 看涨 | 152.32% | 134.33% | 121.78% |
| 25Δ 看涨 | 139.50% | 123.36% | 111.31% |
| 30Δ 看涨 | 130.02% | 115.55% | 102.92% |
| 35Δ 看涨 | 123.39% | 108.10% | 96.16% |
| 40Δ 看涨 | 115.49% | 102.06% | 90.52% |
| 45Δ 看涨 | 110.13% | 96.08% | 85.91% |
| ATM | 105.53% | 90.77% | 80.89% |
| 45Δ 看跌 | 102.02% | 86.11% | 76.41% |
| 40Δ 看跌 | 99.01% | 81.70% | 72.59% |
| 35Δ 看跌 | 95.22% | 77.41% | 68.80% |
| 30Δ 看跌 | 91.95% | 73.51% | 65.15% |
| 25Δ 看跌 | 89.59% | 69.79% | 61.47% |
| 20Δ 看跌 | 87.53% | 66.18% | 57.85% |
| 15Δ 看跌 | 84.92% | 62.35% | 54.60% |
| 10Δ 看跌 | 81.33% | 59.03% | 51.14% |
| 5Δ 看跌 | 80.14% | 55.79% | 47.87% |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-18 | 8 | $20.09 | 105.53% | 89.59% | 139.50% | -49.91 | +9.02 | 38 |
| 2026-12-16 | 36 | $19.66 | 90.77% | 69.79% | 123.36% | -53.57 | +5.80 | 57 |
| 2027-01-20 | 71 | $20.15 | 80.89% | 61.47% | 111.31% | -49.84 | +5.50 | 58 |
| 2027-02-17 | 99 | $20.48 | 76.76% | 57.73% | 101.74% | -44.01 | +2.98 | 60 |
| 2027-03-17 | 127 | $20.63 | 71.10% | 54.89% | 93.57% | -38.68 | +3.14 | 55 |
| 2027-04-21 | 162 | $20.87 | 65.96% | 50.50% | 85.76% | -35.26 | +2.17 | 53 |
| 2027-05-18 | 189 | $20.97 | 64.22% | 49.45% | 81.11% | -31.66 | +1.06 | 44 |
| 2027-06-16 | 218 | $21.00 | 62.26% | 47.93% | 78.16% | -30.22 | +0.79 | 40 |
| 2027-07-21 | 253 | $21.23 | 60.83% | 47.08% | 75.72% | -28.64 | +0.58 | 31 |
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
9 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 |
|---|---|---|---|---|---|
| 2026-11-18 | 8 天 | $20.09 | 105.53% | $20.33 | 38 |
| 2026-12-16 | 36 天 | $19.66 | 90.77% | $20.47 | 57 |
| 2027-01-20 | 71 天 | $20.15 | 80.89% | $21.47 | 58 |
| 2027-02-17 | 99 天 | $20.48 | 76.76% | $22.18 | 60 |
| 2027-03-17 | 127 天 | $20.63 | 71.10% | $22.53 | 55 |
| 2027-04-21 | 162 天 | $20.87 | 65.96% | $22.99 | 53 |
| 2027-05-18 | 189 天 | $20.97 | 64.22% | $23.34 | 44 |
| 2027-06-16 | 218 天 | $21.00 | 62.26% | $23.58 | 40 |
| 2027-07-21 | 253 天 | $21.23 | 60.83% | $24.14 | 31 |
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
- 91.68%
- 60 天
- 82.85%
- 90 天
- 77.83%
- 180 天
- 64.75%
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 349 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。