ETF · 期权分析
XBI 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $155.06
- 30D ATM IV
- 33.33%
- IV 百分位 · 1年
- 第 86
- 25Δ 风险逆转
- +3.77
- 期限斜率 90/30
- 0.997
▼ -0.80 pts 较前一交易日
概览
XBI 期权当前计入的 30 天平值隐含波动率为 33.3%,相当于未来一个月约 ±9.6% 的波动。这高于它过去一年 243 个交易日中 86% 的读数。
它的 25-delta put 比 call 的隐含波动率高 3.77 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ⓘ
- 33.33%
- 25-delta 风险逆转ⓘ
- +3.77
- 25-delta 蝶式价差ⓘ
- +1.09
- 期限结构斜率ⓘ
- 0.997
对应 30 天内约 ±9.6% 的波动，平常一天约 ±2.1%。
高于过去一年中 86% 的读数。
距平值同样远时，put 比 call的隐含波动率高 3.77 个点。
高于过去一年中 73% 的读数。
两翼的隐含波动率比平值高 1.09 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 55% 的读数。
30 天隐含波动率处在什么位置
对比此前 243 个交易日(一年窗口)
- IV 百分位,1 年
- 86%
- IV 排名,1 年
- 33%
- IV 百分位,2 年
- 89%
- IV 排名,2 年
- 33%
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
- $155.06
- 30 天隐含远期价
- $155.10
- 60 天 ATM IV
- 33.58%
- 90 天 ATM IV
- 33.24%
- 180 天 ATM IV
- 33.42%
- 使用的到期日数
- 9
- 总未平仓量
- 336,570
- Put / call 未平仓量比
- 0.67
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 332 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 | 33.33% | +3.77 | 0.997 | $155.06 |
| 2026-11-09 | 34.13% | +3.19 | 0.991 | $156.90 |
| 2026-11-06 | 35.69% | +3.77 | 0.953 | $152.21 |
| 2026-11-05 | 39.05% | +1.88 | 0.886 | $148.40 |
| 2026-11-04 | 32.46% | +1.48 | 1.014 | $159.10 |
| 2026-11-03 | 36.59% | +3.59 | 0.920 | $154.97 |
| 2026-11-02 | 36.61% | +2.77 | 0.880 | $152.05 |
| 2026-10-30 | 35.54% | +3.74 | 0.917 | $155.98 |
| 2026-10-29 | 31.47% | +1.05 | 1.030 | $157.79 |
| 2026-10-28 | 33.21% | +0.66 | — | $157.51 |
| 2026-10-27 | 32.63% | +2.40 | 0.998 | $154.84 |
| 2026-10-26 | 33.56% | +1.92 | 0.963 | $150.47 |
| 2026-10-23 | 33.06% | +1.85 | 0.970 | $149.54 |
| 2026-10-22 | 31.17% | +3.07 | 1.024 | $151.64 |
| 2026-10-21 | 33.18% | +1.84 | 0.951 | $152.78 |
| 2026-10-20 | 33.26% | +0.89 | — | $153.24 |
| 2026-10-19 | 33.33% | +1.96 | 0.963 | $147.86 |
| 2026-10-16 | 33.53% | +3.00 | 0.947 | $144.32 |
| 2026-10-15 | 34.32% | +0.22 | 0.899 | $149.78 |
| 2026-10-14 | 32.63% | +1.98 | 0.968 | $146.77 |
| 2026-10-13 | 32.14% | +1.27 | 0.927 | $146.80 |
| 2026-10-09 | 31.30% | +2.32 | 1.010 | $153.77 |
| 2026-10-08 | 33.32% | +3.69 | 1.006 | $149.29 |
| 2026-10-07 | 32.62% | +1.50 | 0.951 | $150.23 |
| 2026-10-06 | 34.29% | +1.58 | 0.940 | $150.90 |
| 2026-10-05 | 32.59% | -0.28 | 0.965 | $156.19 |
| 2026-10-02 | 32.69% | +2.93 | 0.920 | $154.43 |
| 2026-10-01 | 29.99% | +1.20 | 1.034 | $154.51 |
| 2026-09-30 | 30.87% | +2.42 | 1.021 | $157.68 |
| 2026-09-29 | 30.10% | +2.89 | 1.061 | $156.81 |
| 2026-09-28 | 32.40% | +1.43 | 0.981 | $156.61 |
| 2026-09-25 | 31.36% | +2.70 | 1.007 | $155.03 |
| 2026-09-24 | 32.55% | +2.54 | 0.976 | $156.05 |
| 2026-09-23 | 31.03% | +2.90 | 1.016 | $155.20 |
| 2026-09-22 | 30.38% | +2.56 | 0.996 | $161.87 |
| 2026-09-21 | 30.08% | +2.26 | 1.009 | $158.23 |
| 2026-09-18 | 29.26% | +2.00 | 1.021 | $156.72 |
| 2026-09-17 | 30.31% | +2.83 | 0.998 | $158.25 |
| 2026-09-16 | 28.92% | +5.86 | 1.052 | $154.18 |
| 2026-09-15 | 30.89% | +2.35 | 0.976 | $154.03 |
| 2026-09-14 | 29.95% | +2.07 | 1.010 | $157.60 |
| 2026-09-11 | 28.07% | +0.06 | 1.034 | $156.20 |
| 2026-09-10 | — | — | — | $156.82 |
| 2026-09-09 | 29.77% | -0.32 | 1.017 | $159.38 |
| 2026-09-08 | 29.38% | +1.48 | 1.004 | $161.93 |
| 2026-09-04 | 29.46% | +0.70 | 1.046 | $163.81 |
| 2026-09-03 | 31.11% | +3.19 | 0.991 | $164.38 |
| 2026-09-02 | — | — | — | $165.37 |
| 2026-09-01 | 30.21% | +1.01 | 1.044 | $163.40 |
| 2026-08-31 | — | — | — | $162.50 |
| 2026-08-28 | 29.13% | +1.41 | 1.074 | $162.38 |
| 2026-08-27 | 31.48% | +2.00 | 0.990 | $168.23 |
| 2025-10-22 | 29.09% | +1.05 | 0.991 | $107.32 |
| 2025-10-21 | 29.27% | +3.63 | 1.020 | $109.56 |
| 2025-10-20 | 28.59% | +2.46 | 1.089 | $110.17 |
| 2025-10-17 | — | — | — | $107.80 |
| 2025-10-16 | — | — | — | $107.91 |
| 2025-10-15 | 31.04% | +2.96 | 1.006 | $108.37 |
| 2025-10-14 | 30.31% | +4.36 | 0.941 | $105.12 |
| 2025-10-10 | 29.16% | +0.40 | 1.025 | $104.99 |
| 2025-10-09 | 28.68% | +2.03 | 0.993 | $106.52 |
| 2025-10-08 | 28.80% | +1.85 | 1.030 | $105.44 |
| 2025-10-07 | 28.15% | +1.84 | 0.991 | $103.68 |
| 2025-10-06 | 27.84% | +1.81 | 0.996 | $103.64 |
| 2025-10-03 | 27.16% | +2.34 | 1.013 | $103.60 |
| 2025-10-02 | 27.85% | +1.98 | 0.976 | $102.59 |
| 2025-10-01 | 27.66% | +2.66 | 1.036 | $101.39 |
| 2025-09-30 | 27.96% | +1.11 | 0.953 | $100.20 |
| 2025-09-29 | 26.44% | +2.85 | 1.015 | $99.40 |
| 2025-09-26 | 26.48% | +4.08 | 1.044 | $97.95 |
| 2025-09-25 | 27.49% | +1.06 | 1.009 | $95.86 |
| 2025-09-24 | 27.10% | +2.20 | 1.068 | $97.44 |
| 2025-09-23 | 26.97% | +1.69 | 1.000 | $96.77 |
| 2025-09-22 | 27.79% | -0.37 | 1.037 | $97.30 |
| 2025-09-19 | 26.60% | +1.95 | 1.013 | $95.60 |
| 2025-09-18 | 26.08% | +1.44 | 0.997 | $96.68 |
| 2025-09-17 | 28.08% | +0.75 | 0.959 | $93.77 |
| 2025-09-16 | 28.19% | +1.53 | 0.985 | $93.74 |
| 2025-09-15 | 26.29% | +2.52 | 1.004 | $93.43 |
| 2025-09-12 | 24.53% | +1.66 | 1.050 | $94.12 |
| 2025-09-11 | 27.00% | +0.34 | 1.001 | $95.70 |
| 2025-09-10 | 25.64% | +3.07 | 1.075 | $93.90 |
| 2025-09-09 | 26.23% | +3.51 | 0.982 | $94.98 |
| 2025-09-08 | 26.30% | +4.29 | 0.963 | $94.43 |
| 2025-09-05 | 27.24% | +2.45 | 1.017 | $95.47 |
| 2025-09-04 | 25.64% | +3.65 | 1.021 | $93.47 |
| 2025-09-03 | 26.72% | +2.80 | 0.988 | $93.65 |
| 2025-09-02 | 27.67% | +4.15 | 0.997 | $92.88 |
| 2025-08-29 | 26.09% | +3.57 | 0.964 | $89.85 |
| 2025-08-28 | 24.44% | +3.95 | 1.030 | $90.29 |
| 2025-08-27 | 24.01% | +3.29 | 1.028 | $90.29 |
| 2025-08-26 | 24.54% | +6.12 | 0.961 | $89.90 |
| 2025-08-25 | 25.84% | +3.51 | 0.993 | $88.79 |
| 2025-08-22 | 23.05% | +3.83 | 1.077 | $90.92 |
| 2025-08-21 | 23.88% | +3.82 | 1.053 | $89.92 |
| 2025-08-20 | 24.87% | +2.76 | 0.999 | $89.22 |
| 2025-08-19 | 24.62% | +2.91 | 1.033 | $88.80 |
| 2025-08-18 | 24.52% | +3.80 | 1.043 | $90.21 |
| 2025-08-15 | 24.23% | +2.62 | 1.047 | $90.68 |
| 2025-08-14 | 24.42% | +2.42 | 1.045 | $89.57 |
| 2025-08-13 | 25.38% | +2.01 | 1.026 | $89.52 |
| 2025-08-12 | 25.15% | +2.69 | 1.007 | $86.92 |
| 2025-08-11 | 26.70% | +3.23 | 0.993 | $85.16 |
| 2025-08-08 | 27.30% | +2.03 | 0.901 | $85.43 |
| 2025-08-07 | 26.34% | +2.77 | 1.007 | $85.32 |
| 2025-08-06 | 26.05% | +2.74 | 0.988 | $86.13 |
| 2025-08-05 | 26.02% | -0.37 | 1.007 | $86.85 |
| 2025-08-04 | 24.98% | +4.38 | 1.065 | $86.82 |
| 2025-08-01 | 27.22% | +3.26 | 0.955 | $85.93 |
| 2025-07-31 | 25.37% | +1.91 | 1.016 | $85.66 |
| 2025-07-30 | 25.25% | +2.34 | 1.004 | $86.24 |
| 2025-07-29 | 26.74% | +2.10 | 0.964 | $85.84 |
| 2025-07-28 | — | — | — | $86.57 |
| 2025-07-25 | 25.87% | +2.35 | 0.969 | $87.61 |
| 2025-07-24 | 24.60% | +1.34 | 1.042 | $87.49 |
| 2025-07-23 | 27.54% | +3.49 | 0.951 | $88.22 |
| 2025-07-22 | 28.17% | +2.78 | 0.958 | $86.73 |
| 2025-07-21 | 27.42% | +4.28 | 0.999 | $85.87 |
| 2025-07-18 | 29.15% | +1.95 | 0.932 | $86.27 |
| 2025-07-17 | 27.28% | +2.89 | 0.967 | $88.12 |
图表覆盖存档中的全部交易日,共 332 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 332 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
3d (2026-11-13) · 10d (2026-11-20) · 17d (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 | 3d | 10d | 17d |
|---|---|---|---|
| 5Δ 看涨 | — | 36.04% | — |
| 10Δ 看涨 | — | 35.70% | — |
| 15Δ 看涨 | — | 35.64% | 32.91% |
| 20Δ 看涨 | 38.60% | 35.88% | 32.42% |
| 25Δ 看涨 | 38.79% | 35.94% | 32.40% |
| 30Δ 看涨 | 39.11% | 35.60% | 33.67% |
| 35Δ 看涨 | 37.85% | 34.84% | 32.96% |
| 40Δ 看涨 | 40.13% | 36.28% | 34.32% |
| 45Δ 看涨 | 40.83% | 35.70% | 34.54% |
| ATM | 40.46% | 35.55% | 34.16% |
| 45Δ 看跌 | 40.52% | 35.99% | 33.76% |
| 40Δ 看跌 | 41.36% | 37.08% | 34.94% |
| 35Δ 看跌 | 41.81% | 36.40% | 34.37% |
| 30Δ 看跌 | 43.50% | 37.29% | 36.36% |
| 25Δ 看跌 | 43.97% | 39.18% | 36.91% |
| 20Δ 看跌 | 44.24% | 38.99% | 36.10% |
| 15Δ 看跌 | 44.84% | 40.30% | — |
| 10Δ 看跌 | 46.56% | — | — |
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 | 3 | $155.26 | 40.46% | 43.97% | 38.79% | +5.19 | +0.92 | 14 |
| 2026-11-20 | 10 | $155.10 | 35.55% | 39.18% | 35.94% | +3.25 | +2.01 | 24 |
| 2026-11-27 | 17 | $155.00 | 34.16% | 36.91% | 32.40% | +4.51 | +0.49 | 25 |
| 2026-12-04 | 24 | $154.95 | 33.45% | 35.60% | 32.83% | +2.77 | +0.76 | 20 |
| 2026-12-11 | 31 | $155.13 | 33.32% | 36.40% | 32.51% | +3.90 | +1.14 | 17 |
| 2026-12-18 | 38 | $155.33 | 32.90% | 34.81% | 32.53% | +2.28 | +0.77 | 42 |
| 2027-01-15 | 66 | $155.55 | 33.68% | 34.78% | 34.26% | +0.52 | +0.84 | 30 |
| 2027-03-19 | 129 | $156.23 | 32.88% | 33.31% | 32.98% | +0.32 | +0.27 | 49 |
| 2027-06-17 | 219 | $157.92 | 33.67% | 33.79% | 33.00% | +0.79 | -0.27 | 48 |
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 |
|---|---|---|---|---|---|
| 2026-11-13 | 3 天 | $155.26 | 40.46% | $155.36 | 14 |
| 2026-11-20 | 10 天 | $155.10 | 35.55% | $155.37 | 24 |
| 2026-11-27 | 17 天 | $155.00 | 34.16% | $155.42 | 25 |
| 2026-12-04 | 24 天 | $154.95 | 33.45% | $155.52 | 20 |
| 2026-12-11 | 31 天 | $155.13 | 33.32% | $155.86 | 17 |
| 2026-12-18 | 38 天 | $155.33 | 32.90% | $156.20 | 42 |
| 2027-01-15 | 66 天 | $155.55 | 33.68% | $157.16 | 30 |
| 2027-03-19 | 129 天 | $156.23 | 32.88% | $159.24 | 49 |
| 2027-06-17 | 219 天 | $157.92 | 33.67% | $163.38 | 48 |
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
- 33.33%
- 60 天
- 33.58%
- 90 天
- 33.24%
- 180 天
- 33.42%
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 332 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。