ETF · 期权分析
VXX 期权分析
数据截至 2026年11月12日(收盘)
- 标的收盘价
- $18.31
- 30D ATM IV
- 76.33%
- IV 百分位 · 1年
- 第 71
- 25Δ 风险逆转
- -30.32
- 期限斜率 90/30
- 1.079
▼ -10.35 pts 较前一交易日
本交易日部分指标不可用
概览
VXX 期权当前计入的 30 天平值隐含波动率为 76.3%,相当于未来一个月约 ±21.9% 的波动。这高于它过去一年 221 个交易日中 71% 的读数。
它的 25-delta call 比 put 的隐含波动率高 30.32 个波动率点,大致处在它自己过去一年区间的中部。
较长期限的期权波动率更高:90 天波动率比 30 天高 8%。
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ⓘ
- 76.33%
- 25-delta 风险逆转ⓘ
- -30.32
- 25-delta 蝶式价差ⓘ
- +3.25
- 期限结构斜率ⓘ
- 1.079
对应 30 天内约 ±21.9% 的波动，平常一天约 ±4.8%。
高于过去一年中 71% 的读数。
距平值同样远时，call 比 put的隐含波动率高 30.32 个点。
高于过去一年中 76% 的读数。
两翼的隐含波动率比平值高 3.25 个点。
90 天的隐含波动率比 30 天高 8%。
30 天隐含波动率处在什么位置
对比此前 221 个交易日(一年窗口)
- IV 百分位,1 年
- 71%
- IV 排名,1 年
- 21%
- IV 百分位,2 年
- 69%
- IV 排名,2 年
- 21%
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
- $18.31
- 30 天隐含远期价
- $18.27
- 60 天 ATM IV
- 79.76%
- 90 天 ATM IV
- 82.35%
- 180 天 ATM IV
- —
- 使用的到期日数
- 8
- 总未平仓量
- 318,505
- Put / call 未平仓量比
- 0.80
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 | 76.33% | -30.32 | 1.079 | $18.31 |
| 2026-11-10 | 86.68% | -35.81 | — | $18.93 |
| 2026-11-09 | 80.79% | -36.22 | — | $19.02 |
| 2026-11-06 | 106.19% | -37.60 | — | $21.95 |
| 2026-11-05 | 119.53% | -39.37 | — | $22.20 |
| 2026-11-04 | 68.56% | -36.68 | 1.146 | $17.06 |
| 2026-11-03 | 85.96% | -38.13 | — | $18.88 |
| 2026-11-02 | 85.53% | -30.24 | — | $19.26 |
| 2026-10-30 | 101.76% | -45.41 | — | $19.21 |
| 2026-10-29 | 70.15% | -31.85 | — | $17.41 |
| 2026-10-28 | 73.32% | -32.33 | — | $17.79 |
| 2026-10-27 | 73.31% | -37.22 | — | $18.12 |
| 2026-10-26 | 76.07% | -33.75 | — | $18.31 |
| 2026-10-23 | 83.76% | -32.46 | — | $18.72 |
| 2026-10-22 | 81.13% | -31.09 | — | $18.48 |
| 2026-10-21 | 73.17% | -37.12 | — | $17.39 |
| 2026-10-20 | 73.65% | -34.17 | — | $17.57 |
| 2026-10-19 | 77.20% | -33.10 | 0.986 | $17.79 |
| 2026-10-16 | 97.99% | -45.01 | 0.892 | $18.38 |
| 2026-10-15 | 58.30% | -26.24 | 1.177 | $17.08 |
| 2026-10-14 | 59.60% | -25.40 | 1.086 | $17.20 |
| 2026-10-13 | — | — | — | $16.68 |
| 2026-10-09 | 54.04% | -21.64 | 1.277 | $16.99 |
| 2026-10-08 | 54.91% | -23.81 | 1.253 | $17.24 |
| 2026-10-07 | 56.31% | -23.55 | 1.214 | $16.90 |
| 2026-10-06 | 52.08% | -21.31 | 1.271 | $16.75 |
| 2026-10-05 | 55.76% | -22.82 | 1.250 | $17.20 |
| 2026-10-02 | 53.89% | -23.86 | 1.309 | $17.40 |
| 2026-10-01 | 56.63% | -26.25 | — | $17.79 |
| 2026-09-30 | 53.06% | -23.06 | 1.306 | $17.61 |
| 2026-09-29 | 57.27% | -28.62 | 1.174 | $17.45 |
| 2026-09-28 | 56.75% | -20.04 | 1.197 | $17.46 |
| 2026-09-25 | 55.85% | -18.36 | 1.235 | $17.30 |
| 2026-09-24 | 54.13% | -21.36 | — | $17.57 |
| 2026-09-23 | — | — | — | $17.49 |
| 2026-09-22 | 55.54% | -26.28 | 1.223 | $17.15 |
| 2026-09-21 | 57.79% | -28.31 | 1.225 | $17.69 |
| 2026-09-18 | 55.65% | -23.46 | 1.287 | $17.76 |
| 2026-09-17 | 55.54% | -20.48 | 1.368 | $17.73 |
| 2026-09-16 | — | — | — | $18.43 |
| 2026-09-15 | — | — | — | $18.26 |
| 2026-09-14 | — | — | — | $18.23 |
| 2026-09-11 | 63.23% | -22.18 | 1.118 | $18.07 |
| 2026-09-10 | 64.84% | -21.30 | 1.167 | $18.88 |
| 2026-09-09 | 60.27% | -25.04 | — | $18.30 |
| 2026-09-08 | — | — | — | $17.99 |
| 2026-09-04 | 55.61% | -21.37 | 1.262 | $17.72 |
| 2026-09-03 | 62.37% | -25.72 | 1.156 | $17.62 |
| 2026-09-02 | 55.57% | -24.29 | 1.277 | $18.02 |
| 2026-09-01 | — | — | — | $18.55 |
| 2026-08-31 | — | — | — | $18.00 |
| 2026-08-28 | 58.83% | -18.30 | — | $18.36 |
| 2026-08-27 | 52.08% | -19.67 | 1.322 | $18.10 |
| 2025-10-22 | 88.21% | -52.06 | — | $34.25 |
| 2025-10-21 | — | — | — | $33.72 |
| 2025-10-20 | 76.39% | -47.94 | — | $33.99 |
| 2025-10-17 | 91.33% | -61.73 | 1.111 | $36.95 |
| 2025-10-16 | 112.86% | -65.92 | — | $39.97 |
| 2025-10-15 | 96.07% | -54.28 | 1.026 | $36.58 |
| 2025-10-14 | 95.69% | -53.32 | 0.988 | $36.15 |
| 2025-10-10 | 98.34% | -51.52 | 0.955 | $37.47 |
| 2025-10-09 | 70.05% | -38.13 | 1.450 | $33.23 |
| 2025-10-08 | 70.85% | -39.15 | 1.502 | $33.24 |
| 2025-10-07 | 70.44% | -41.16 | — | $33.77 |
| 2025-10-06 | 68.41% | -40.47 | 1.298 | $33.05 |
| 2025-10-03 | 71.48% | -41.71 | — | $33.25 |
| 2025-10-02 | 72.68% | -43.04 | 1.298 | $33.44 |
| 2025-10-01 | 69.90% | -37.45 | 1.156 | $32.97 |
| 2025-09-30 | 90.36% | -33.51 | 1.095 | $33.16 |
| 2025-09-29 | 73.29% | -44.14 | 1.238 | $33.27 |
| 2025-09-26 | 66.93% | -40.37 | — | $32.84 |
| 2025-09-25 | 75.72% | -42.58 | — | $34.30 |
| 2025-09-24 | 72.63% | -42.36 | — | $33.86 |
| 2025-09-23 | 74.41% | -41.25 | — | $34.20 |
| 2025-09-22 | 66.13% | -44.42 | — | $33.80 |
| 2025-09-19 | 74.89% | -46.48 | — | $33.18 |
| 2025-09-18 | 78.80% | -52.02 | 1.285 | $33.17 |
| 2025-09-17 | 77.55% | -50.38 | 1.306 | $33.32 |
| 2025-09-16 | 76.81% | -49.47 | — | $34.53 |
| 2025-09-15 | 75.81% | -43.12 | — | $33.91 |
| 2025-09-12 | — | — | — | $33.68 |
| 2025-09-11 | 66.34% | -36.32 | 1.199 | $33.68 |
| 2025-09-10 | 69.03% | -40.96 | — | $34.44 |
| 2025-09-09 | 68.38% | -32.53 | — | $34.64 |
| 2025-09-08 | 75.50% | -38.98 | — | $34.81 |
| 2025-09-05 | 80.45% | -37.23 | 1.070 | $35.47 |
| 2025-09-04 | 85.03% | -39.06 | — | $35.38 |
| 2025-09-03 | 75.82% | -45.94 | 1.194 | $36.46 |
| 2025-09-02 | 72.04% | -39.61 | 1.273 | $37.39 |
| 2025-08-29 | 71.95% | -40.48 | — | $36.27 |
| 2025-08-28 | 68.25% | -41.39 | — | $35.45 |
| 2025-08-27 | 66.77% | -40.56 | 1.376 | $36.01 |
| 2025-08-26 | 71.20% | -40.42 | — | $35.86 |
| 2025-08-25 | 67.01% | -35.95 | — | $36.14 |
| 2025-08-22 | 67.26% | -37.50 | 1.241 | $35.98 |
| 2025-08-21 | 72.40% | -43.10 | 1.316 | $39.27 |
| 2025-08-20 | 75.82% | -48.38 | 1.176 | $38.67 |
| 2025-08-19 | 77.43% | -48.21 | — | $38.82 |
| 2025-08-18 | 72.80% | -36.20 | 1.189 | $38.10 |
| 2025-08-15 | 71.09% | -39.62 | — | $39.04 |
| 2025-08-14 | 72.84% | -35.04 | — | $39.18 |
| 2025-08-13 | 68.36% | -37.26 | 1.188 | $39.02 |
| 2025-08-12 | 62.77% | -40.54 | 1.259 | $39.30 |
| 2025-08-11 | 70.19% | -37.22 | 1.201 | $41.00 |
| 2025-08-08 | 62.19% | -36.69 | 1.283 | $40.81 |
| 2025-08-07 | 66.82% | -41.24 | — | $42.21 |
| 2025-08-06 | 66.79% | -39.30 | — | $41.93 |
| 2025-08-05 | — | — | — | $43.25 |
| 2025-08-04 | 63.10% | -34.10 | — | $42.92 |
| 2025-08-01 | 80.43% | -42.20 | — | $45.91 |
| 2025-07-31 | — | — | — | $42.46 |
| 2025-07-30 | — | — | — | $42.39 |
| 2025-07-29 | 65.00% | -37.99 | — | $42.10 |
| 2025-07-28 | 64.04% | -32.75 | — | $41.15 |
| 2025-07-25 | 61.12% | -33.27 | 1.211 | $42.33 |
| 2025-07-24 | 61.18% | -30.20 | 1.147 | $42.68 |
| 2025-07-23 | 67.56% | -41.61 | 1.064 | $42.81 |
| 2025-07-22 | — | — | — | $44.65 |
| 2025-07-21 | 63.99% | -33.36 | — | $44.86 |
| 2025-07-18 | 62.94% | -33.33 | — | $45.01 |
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
1d (2026-11-13) · 8d (2026-11-20) · 15d (2026-11-27)
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 | 8d | 15d |
|---|---|---|---|
| 5Δ 看涨 | 164.77% | 158.18% | — |
| 10Δ 看涨 | 148.08% | 131.33% | 117.46% |
| 15Δ 看涨 | 128.74% | 113.90% | 99.94% |
| 20Δ 看涨 | 121.40% | 102.53% | 91.75% |
| 25Δ 看涨 | 116.32% | 96.21% | 84.93% |
| 30Δ 看涨 | 111.56% | 88.87% | 78.58% |
| 35Δ 看涨 | 106.32% | 83.79% | 77.21% |
| 40Δ 看涨 | 101.68% | 81.60% | 75.68% |
| 45Δ 看涨 | 98.24% | 79.54% | 72.66% |
| ATM | 95.43% | 77.03% | 69.31% |
| 45Δ 看跌 | 92.82% | 73.04% | 67.28% |
| 40Δ 看跌 | 90.72% | 70.04% | 65.60% |
| 35Δ 看跌 | 89.38% | 68.12% | 64.06% |
| 30Δ 看跌 | 88.95% | 66.44% | 62.25% |
| 25Δ 看跌 | 88.67% | 64.87% | 60.18% |
| 20Δ 看跌 | 88.46% | 63.27% | 57.58% |
| 15Δ 看跌 | 88.35% | 61.47% | 55.25% |
| 10Δ 看跌 | 89.98% | 59.21% | 52.87% |
| 5Δ 看跌 | — | 55.80% | 50.93% |
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 | $18.35 | 95.43% | 88.67% | 116.32% | -27.64 | +7.07 | 14 |
| 2026-11-20 | 8 | $18.31 | 77.03% | 64.87% | 96.21% | -31.34 | +3.51 | 24 |
| 2026-11-27 | 15 | $18.29 | 69.31% | 60.18% | 84.93% | -24.75 | +3.24 | 16 |
| 2026-12-04 | 22 | $18.24 | 75.56% | 61.18% | 94.80% | -33.62 | +2.43 | 15 |
| 2026-12-18 | 36 | $18.29 | 76.68% | 65.85% | 94.72% | -28.86 | +3.60 | 17 |
| 2026-12-24 | 42 | $18.32 | 76.21% | 68.20% | 100.73% | -32.52 | +8.25 | 18 |
| 2027-01-15 | 64 | $18.30 | 80.26% | 68.02% | 99.51% | -31.49 | +3.50 | 15 |
| 2027-03-19 | 127 | $18.42 | 83.82% | 71.23% | 102.53% | -31.30 | +3.06 | 11 |
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
8 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 | $18.35 | 95.43% | $18.38 | 14 |
| 2026-11-20 | 8 天 | $18.31 | 77.03% | $18.43 | 24 |
| 2026-11-27 | 15 天 | $18.29 | 69.31% | $18.47 | 16 |
| 2026-12-04 | 22 天 | $18.24 | 75.56% | $18.56 | 15 |
| 2026-12-18 | 36 天 | $18.29 | 76.68% | $18.82 | 17 |
| 2026-12-24 | 42 天 | $18.32 | 76.21% | $18.94 | 18 |
| 2027-01-15 | 64 天 | $18.30 | 80.26% | $19.37 | 15 |
| 2027-03-19 | 127 天 | $18.42 | 83.82% | $20.82 | 11 |
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
- 76.33%
- 60 天
- 79.76%
- 90 天
- 82.35%
- 180 天
- —
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。