ETF · 期权分析
VTI 期权分析
数据截至 2026年11月12日(收盘)
- 标的收盘价
- $372.62
- 30D ATM IV
- —
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- —
- 期限斜率 90/30
- —
本交易日无法计算任何指标
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ⓘ
- —
- 25-delta 风险逆转ⓘ
- —
- 25-delta 蝶式价差ⓘ
- —
- 期限结构斜率ⓘ
- —
30 天隐含波动率处在什么位置
对比此前 169 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
- —
- IV 排名,2 年
- —
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
- $372.62
- 30 天隐含远期价
- —
- 60 天 ATM IV
- 14.26%
- 90 天 ATM IV
- 15.00%
- 180 天 ATM IV
- 16.09%
- 使用的到期日数
- 4
- 总未平仓量
- 21,781
- Put / call 未平仓量比
- 0.40
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 333 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 | — | — | — | $372.62 |
| 2026-11-10 | 15.94% | +5.89 | 1.013 | $369.55 |
| 2026-11-09 | 15.68% | +5.35 | 1.025 | $370.90 |
| 2026-11-06 | 19.33% | +8.73 | 0.921 | $361.93 |
| 2026-11-05 | 19.94% | +8.55 | 0.886 | $360.52 |
| 2026-11-04 | 13.99% | +3.55 | — | $376.92 |
| 2026-11-03 | 16.95% | +6.14 | 0.934 | $371.21 |
| 2026-11-02 | 16.99% | +7.14 | — | $370.00 |
| 2026-10-30 | 16.57% | +7.17 | 0.982 | $371.57 |
| 2026-10-29 | 13.82% | +4.98 | 1.041 | $378.24 |
| 2026-10-28 | 14.03% | +5.23 | — | $379.17 |
| 2026-10-27 | 14.65% | +3.71 | 1.001 | $377.92 |
| 2026-10-26 | 14.73% | +5.34 | 1.008 | $375.59 |
| 2026-10-23 | 15.14% | +5.90 | 1.022 | $373.01 |
| 2026-10-22 | 15.27% | +5.77 | 0.972 | $374.90 |
| 2026-10-21 | 13.13% | +4.23 | 1.071 | $379.15 |
| 2026-10-20 | — | — | — | $377.09 |
| 2026-10-19 | — | — | — | $375.54 |
| 2026-10-16 | — | — | — | $374.07 |
| 2026-10-15 | — | — | — | $378.42 |
| 2026-10-14 | — | — | — | $376.88 |
| 2026-10-13 | — | — | — | $381.32 |
| 2026-10-09 | — | — | — | $381.94 |
| 2026-10-08 | — | — | — | $379.56 |
| 2026-10-07 | — | — | — | $381.03 |
| 2026-10-06 | — | — | — | $382.54 |
| 2026-10-05 | 13.24% | +3.20 | 1.069 | $380.60 |
| 2026-10-02 | 13.12% | +3.91 | 1.071 | $377.99 |
| 2026-10-01 | 13.85% | +4.70 | 1.064 | $375.18 |
| 2026-09-30 | 13.51% | +4.09 | 1.055 | $374.24 |
| 2026-09-29 | 13.41% | +4.28 | 1.064 | $375.26 |
| 2026-09-28 | 13.55% | +3.70 | 1.049 | $375.84 |
| 2026-09-25 | 12.75% | +3.37 | 1.113 | $379.77 |
| 2026-09-24 | 13.11% | +3.89 | 1.098 | $378.08 |
| 2026-09-23 | 12.71% | +3.87 | 1.101 | $378.23 |
| 2026-09-22 | 11.83% | +2.77 | 1.158 | $381.27 |
| 2026-09-21 | 12.31% | +2.66 | 1.127 | $381.10 |
| 2026-09-18 | 12.12% | +4.12 | 1.161 | $375.43 |
| 2026-09-17 | 12.45% | +4.47 | 1.133 | $375.34 |
| 2026-09-16 | 14.97% | +5.32 | — | $371.26 |
| 2026-09-15 | — | — | — | $372.84 |
| 2026-09-14 | — | — | — | $374.68 |
| 2026-09-11 | — | — | — | $376.31 |
| 2026-09-10 | — | — | — | $373.24 |
| 2026-09-09 | 13.52% | +6.04 | 1.047 | $375.56 |
| 2026-09-08 | 12.59% | +3.40 | 1.090 | $377.60 |
| 2026-09-04 | — | — | — | $379.73 |
| 2026-09-03 | — | — | — | $380.93 |
| 2026-09-02 | 12.42% | +4.42 | 1.091 | $376.88 |
| 2026-09-01 | — | — | — | $375.17 |
| 2026-08-31 | 12.42% | +3.29 | 1.091 | $378.15 |
| 2026-08-28 | — | — | — | $379.36 |
| 2026-08-27 | 11.77% | +3.64 | 1.175 | $380.63 |
| 2025-10-22 | — | — | — | $328.90 |
| 2025-10-21 | — | — | — | $330.91 |
| 2025-10-20 | 14.24% | +5.35 | — | $330.95 |
| 2025-10-17 | — | — | — | $327.30 |
| 2025-10-16 | — | — | — | $325.77 |
| 2025-10-15 | — | — | — | $328.38 |
| 2025-10-14 | — | — | — | $326.83 |
| 2025-10-10 | — | — | — | $321.80 |
| 2025-10-09 | — | — | — | $330.66 |
| 2025-10-08 | 13.13% | +4.72 | 1.112 | $331.81 |
| 2025-10-07 | 13.95% | +5.14 | 1.093 | $329.62 |
| 2025-10-06 | — | — | — | $331.21 |
| 2025-10-03 | 13.21% | +4.58 | 1.101 | $329.97 |
| 2025-10-02 | 13.10% | +5.47 | 1.112 | $329.79 |
| 2025-10-01 | 13.17% | +4.60 | 1.101 | $329.31 |
| 2025-09-30 | 13.08% | +4.87 | 1.089 | $328.17 |
| 2025-09-29 | 13.25% | +4.42 | 1.070 | $327.10 |
| 2025-09-26 | 12.83% | +4.26 | 1.107 | $327.18 |
| 2025-09-25 | 13.81% | +5.00 | 1.058 | $325.14 |
| 2025-09-24 | 14.38% | +5.61 | 1.049 | $326.89 |
| 2025-09-23 | 13.84% | +4.29 | 1.093 | $328.09 |
| 2025-09-22 | 13.27% | +4.45 | 1.081 | $329.86 |
| 2025-09-19 | 12.60% | +4.44 | 1.125 | $328.44 |
| 2025-09-18 | 13.28% | +3.55 | 1.061 | $327.21 |
| 2025-09-17 | — | — | — | $325.16 |
| 2025-09-16 | — | — | — | $325.45 |
| 2025-09-15 | — | — | — | $325.89 |
| 2025-09-12 | 11.88% | +4.28 | 1.127 | $324.31 |
| 2025-09-11 | 12.17% | +4.44 | 1.069 | $324.78 |
| 2025-09-10 | 13.13% | +5.74 | 1.033 | $321.80 |
| 2025-09-09 | 13.19% | +5.57 | 1.040 | $320.98 |
| 2025-09-08 | 12.61% | +5.09 | 1.095 | $320.57 |
| 2025-09-05 | 12.86% | +5.62 | 1.080 | $319.55 |
| 2025-09-04 | 12.86% | +5.36 | 1.059 | $320.14 |
| 2025-09-03 | 13.43% | +6.33 | 1.035 | $317.33 |
| 2025-09-02 | 13.48% | +7.23 | 1.066 | $315.99 |
| 2025-08-29 | 12.44% | +5.73 | 1.077 | $318.20 |
| 2025-08-28 | 11.83% | +5.15 | 1.119 | $320.10 |
| 2025-08-27 | 12.02% | +3.87 | 1.116 | $318.94 |
| 2025-08-26 | 11.85% | +4.57 | 1.146 | $318.09 |
| 2025-08-25 | 11.99% | +4.26 | 1.137 | $316.65 |
| 2025-08-22 | 11.46% | +4.16 | 1.145 | $318.18 |
| 2025-08-21 | 13.93% | +5.18 | 1.040 | $312.76 |
| 2025-08-20 | 12.83% | +4.93 | 1.105 | $313.84 |
| 2025-08-19 | — | — | — | $314.67 |
| 2025-08-18 | 11.82% | +4.25 | 1.151 | $316.59 |
| 2025-08-15 | — | — | — | $316.47 |
| 2025-08-14 | 11.07% | +4.40 | 1.203 | $317.19 |
| 2025-08-13 | — | — | — | $317.66 |
| 2025-08-12 | 11.99% | +4.15 | 1.162 | $316.13 |
| 2025-08-11 | — | — | — | $312.31 |
| 2025-08-08 | — | — | — | $313.03 |
| 2025-08-07 | — | — | — | $311.07 |
| 2025-08-06 | 13.67% | +5.47 | 1.077 | $311.25 |
| 2025-08-05 | 14.49% | +6.12 | 1.053 | $309.16 |
| 2025-08-04 | 13.39% | +6.56 | 1.099 | $310.53 |
| 2025-08-01 | — | — | — | $305.74 |
| 2025-07-31 | — | — | — | $310.89 |
| 2025-07-30 | — | — | — | $312.25 |
| 2025-07-29 | — | — | — | $312.61 |
| 2025-07-28 | 12.44% | +4.42 | 1.127 | $313.60 |
| 2025-07-25 | 12.65% | +3.96 | 1.076 | $313.69 |
| 2025-07-24 | — | — | — | $312.30 |
| 2025-07-23 | 12.65% | +4.84 | 1.084 | $312.41 |
| 2025-07-22 | — | — | — | $309.80 |
| 2025-07-21 | 14.68% | +5.80 | 1.009 | $309.44 |
| 2025-07-18 | 13.72% | +4.44 | 1.090 | $309.09 |
图表覆盖存档中的全部交易日,共 333 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 333 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
36d (2026-12-18) · 64d (2027-01-15) · 127d (2027-03-19)
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 | 36d | 64d | 127d |
|---|---|---|---|
| 10Δ 看涨 | — | — | 12.16% |
| 15Δ 看涨 | 11.71% | 11.85% | 12.34% |
| 20Δ 看涨 | 11.97% | 12.08% | 12.53% |
| 25Δ 看涨 | 12.31% | 12.47% | 12.86% |
| 30Δ 看涨 | 12.85% | 13.08% | 13.47% |
| 35Δ 看涨 | 13.46% | 13.70% | 13.67% |
| 40Δ 看涨 | 13.76% | 14.32% | 14.18% |
| 45Δ 看涨 | 13.86% | 14.35% | 14.89% |
| ATM | 14.00% | 14.28% | 15.49% |
| 45Δ 看跌 | 14.52% | 14.57% | 15.87% |
| 40Δ 看跌 | 15.43% | 15.17% | 16.59% |
| 35Δ 看跌 | 16.16% | 15.98% | 17.52% |
| 30Δ 看跌 | 16.92% | 17.24% | 18.67% |
| 25Δ 看跌 | 18.04% | 18.35% | 19.68% |
| 20Δ 看跌 | 19.05% | 19.75% | 21.65% |
| 15Δ 看跌 | 20.43% | 21.02% | 23.20% |
| 10Δ 看跌 | 22.65% | 24.47% | 26.42% |
| 5Δ 看跌 | 31.05% | 29.79% | 31.67% |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-12-18 | 36 | $374.70 | 14.00% | 18.04% | 12.31% | +5.73 | +1.18 | 13 |
| 2027-01-15 | 64 | $374.55 | 14.28% | 18.35% | 12.47% | +5.88 | +1.13 | 14 |
| 2027-03-19 | 127 | $377.82 | 15.49% | 19.68% | 12.86% | +6.82 | +0.78 | 24 |
| 2027-06-17 | 217 | $381.33 | 16.33% | 20.81% | 13.23% | +7.58 | +0.69 | 21 |
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
4 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 |
|---|---|---|---|---|---|
| 2026-12-18 | 36 天 | $374.70 | 14.00% | $375.06 | 13 |
| 2027-01-15 | 64 天 | $374.55 | 14.28% | $375.22 | 14 |
| 2027-03-19 | 127 天 | $377.82 | 15.49% | $379.40 | 24 |
| 2027-06-17 | 217 天 | $381.33 | 16.33% | $384.37 | 21 |
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
- —
- 60 天
- 14.26%
- 90 天
- 15.00%
- 180 天
- 16.09%
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 333 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。