ETF · 期权分析
XLC 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $107.76
- 30D ATM IV
- 22.31%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +5.23
- 期限斜率 90/30
- 0.974
▲ +0.72 pts 较前一交易日
概览
XLC 期权当前计入的 30 天平值隐含波动率为 22.3%,相当于未来一个月约 ±6.4% 的波动。它在本站的历史只有 332 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 put 比 call 的隐含波动率高 5.23 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 3%。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ⓘ
- 22.31%
- 25-delta 风险逆转ⓘ
- +5.23
- 25-delta 蝶式价差ⓘ
- +0.52
- 期限结构斜率ⓘ
- 0.974
对应 30 天内约 ±6.4% 的波动，平常一天约 ±1.4%。
距平值同样远时，put 比 call的隐含波动率高 5.23 个点。
两翼的隐含波动率比平值高 0.52 个点。
90 天的隐含波动率比 30 天低 3%。
30 天隐含波动率处在什么位置
对比此前 34 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
- $107.76
- 30 天隐含远期价
- $108.05
- 60 天 ATM IV
- 21.62%
- 90 天 ATM IV
- 21.74%
- 180 天 ATM IV
- 22.37%
- 使用的到期日数
- 5
- 总未平仓量
- 60,346
- Put / call 未平仓量比
- 0.96
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 | 22.31% | +5.23 | 0.974 | $107.76 |
| 2026-11-09 | 21.58% | +4.58 | 0.987 | $107.36 |
| 2026-11-06 | 25.63% | +5.71 | 0.924 | $104.79 |
| 2026-11-05 | — | — | — | $104.34 |
| 2026-11-04 | — | — | — | $104.96 |
| 2026-11-03 | 23.41% | +4.77 | 0.934 | $101.44 |
| 2026-11-02 | 23.64% | +4.64 | 0.938 | $100.26 |
| 2026-10-30 | 22.95% | +5.20 | 0.924 | $99.90 |
| 2026-10-29 | 19.03% | +4.16 | 1.034 | $101.21 |
| 2026-10-28 | — | — | — | $103.14 |
| 2026-10-27 | 19.94% | +4.72 | 0.978 | $103.58 |
| 2026-10-26 | 20.73% | +4.40 | 0.972 | $103.85 |
| 2026-10-23 | 22.37% | +3.45 | 0.911 | $105.51 |
| 2026-10-22 | 22.37% | +5.30 | 0.956 | $107.42 |
| 2026-10-21 | 20.80% | +4.34 | 0.948 | $108.97 |
| 2026-10-20 | 20.87% | +5.01 | 0.950 | $110.19 |
| 2026-10-19 | 20.95% | +4.86 | 0.947 | $110.09 |
| 2026-10-16 | — | — | — | $110.32 |
| 2026-10-15 | 19.40% | +4.16 | 0.992 | $112.44 |
| 2026-10-14 | 18.86% | +4.64 | 0.960 | $110.82 |
| 2026-10-13 | 17.01% | +2.73 | 1.017 | $112.28 |
| 2026-10-09 | 17.29% | +3.38 | 1.037 | $110.38 |
| 2026-10-08 | 18.04% | +4.04 | — | $112.07 |
| 2026-10-07 | 17.57% | +3.82 | 0.985 | $111.26 |
| 2026-10-06 | 17.45% | +3.68 | 1.037 | $111.65 |
| 2026-10-05 | 18.66% | +4.33 | 1.012 | $111.61 |
| 2026-10-02 | — | — | — | $110.32 |
| 2026-10-01 | — | — | — | $109.94 |
| 2026-09-30 | 18.86% | +2.50 | 0.990 | $110.97 |
| 2026-09-29 | 18.34% | +2.91 | 1.002 | $111.47 |
| 2026-09-28 | 18.23% | +2.98 | 1.001 | $111.18 |
| 2026-09-25 | 17.82% | +3.75 | 1.047 | $112.96 |
| 2026-09-24 | 17.88% | +3.37 | 1.020 | $113.99 |
| 2026-09-23 | 16.89% | +2.27 | 1.043 | $112.56 |
| 2026-09-22 | 14.86% | +4.71 | 1.184 | $113.53 |
| 2026-09-21 | 16.58% | +3.51 | — | $114.75 |
| 2026-09-18 | 14.50% | +3.46 | 1.132 | $110.81 |
| 2026-09-17 | 16.71% | +4.00 | 1.065 | $112.35 |
| 2026-09-16 | — | — | — | $113.00 |
| 2026-09-15 | — | — | — | $114.03 |
| 2026-09-14 | — | — | — | $115.07 |
| 2026-09-11 | — | — | — | $112.60 |
| 2026-09-10 | — | — | — | $111.50 |
| 2026-09-09 | — | — | — | $110.83 |
| 2026-09-08 | — | — | — | $111.52 |
| 2026-09-04 | — | — | — | $112.03 |
| 2026-09-03 | — | — | — | $113.38 |
| 2026-09-02 | — | — | — | $112.42 |
| 2026-09-01 | — | — | — | $110.88 |
| 2026-08-31 | — | — | — | $111.46 |
| 2026-08-28 | — | — | — | $112.99 |
| 2026-08-27 | — | — | — | $111.41 |
| 2025-10-22 | — | — | — | $115.64 |
| 2025-10-21 | — | — | — | $116.65 |
| 2025-10-20 | — | — | — | $116.24 |
| 2025-10-17 | — | — | — | $114.94 |
| 2025-10-16 | — | — | — | $114.17 |
| 2025-10-15 | — | — | — | $115.40 |
| 2025-10-14 | — | — | — | $114.59 |
| 2025-10-10 | — | — | — | $112.80 |
| 2025-10-09 | — | — | — | $114.92 |
| 2025-10-08 | — | — | — | $115.58 |
| 2025-10-07 | — | — | — | $116.06 |
| 2025-10-06 | — | — | — | $116.51 |
| 2025-10-03 | — | — | — | $116.39 |
| 2025-10-02 | — | — | — | $116.45 |
| 2025-10-01 | — | — | — | $116.71 |
| 2025-09-30 | — | — | — | $118.37 |
| 2025-09-29 | — | — | — | $118.55 |
| 2025-09-26 | — | — | — | $118.17 |
| 2025-09-25 | — | — | — | $117.03 |
| 2025-09-24 | — | — | — | $117.43 |
| 2025-09-23 | — | — | — | $118.41 |
| 2025-09-22 | — | — | — | $118.58 |
| 2025-09-19 | — | — | — | $119.41 |
| 2025-09-18 | — | — | — | $118.92 |
| 2025-09-17 | — | — | — | $118.83 |
| 2025-09-16 | — | — | — | $118.52 |
| 2025-09-15 | — | — | — | $119.00 |
| 2025-09-12 | — | — | — | $117.35 |
| 2025-09-11 | — | — | — | $116.38 |
| 2025-09-10 | — | — | — | $114.62 |
| 2025-09-09 | — | — | — | $115.47 |
| 2025-09-08 | — | — | — | $114.82 |
| 2025-09-05 | — | — | — | $114.69 |
| 2025-09-04 | — | — | — | $114.08 |
| 2025-09-03 | — | — | — | $113.06 |
| 2025-09-02 | — | — | — | $111.20 |
| 2025-08-29 | — | — | — | $111.39 |
| 2025-08-28 | — | — | — | $111.61 |
| 2025-08-27 | — | — | — | $111.19 |
| 2025-08-26 | — | — | — | $111.00 |
| 2025-08-25 | — | — | — | $111.49 |
| 2025-08-22 | — | — | — | $111.31 |
| 2025-08-21 | — | — | — | $109.73 |
| 2025-08-20 | — | — | — | $109.85 |
| 2025-08-19 | — | — | — | $110.18 |
| 2025-08-18 | — | — | — | $110.80 |
| 2025-08-15 | — | — | — | $111.48 |
| 2025-08-14 | — | — | — | $111.20 |
| 2025-08-13 | — | — | — | $111.11 |
| 2025-08-12 | — | — | — | $110.25 |
| 2025-08-11 | — | — | — | $108.18 |
| 2025-08-08 | — | — | — | $107.63 |
| 2025-08-07 | — | — | — | $107.27 |
| 2025-08-06 | — | — | — | $107.73 |
| 2025-08-05 | — | — | — | $107.32 |
| 2025-08-04 | — | — | — | $108.16 |
| 2025-08-01 | — | — | — | $106.12 |
| 2025-07-31 | — | — | — | $107.41 |
| 2025-07-30 | — | — | — | $106.45 |
| 2025-07-29 | — | — | — | $106.12 |
| 2025-07-28 | — | — | — | $107.04 |
| 2025-07-25 | — | — | — | $107.62 |
| 2025-07-24 | — | — | — | $108.63 |
| 2025-07-23 | — | — | — | $108.45 |
| 2025-07-22 | — | — | — | $107.86 |
| 2025-07-21 | — | — | — | $107.61 |
| 2025-07-18 | — | — | — | $106.19 |
| 2025-07-17 | — | — | — | $106.68 |
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
10d (2026-11-20) · 38d (2026-12-18) · 66d (2027-01-15)
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 | 10d | 38d | 66d |
|---|---|---|---|
| 15Δ 看涨 | 20.00% | — | 18.83% |
| 20Δ 看涨 | 20.69% | — | 19.05% |
| 25Δ 看涨 | 20.49% | 20.18% | 19.30% |
| 30Δ 看涨 | 21.11% | 20.30% | 19.73% |
| 35Δ 看涨 | 20.64% | 20.45% | 20.28% |
| 40Δ 看涨 | 22.19% | 21.04% | 20.83% |
| 45Δ 看涨 | 22.54% | 21.52% | 21.26% |
| ATM | 23.65% | 22.16% | 21.54% |
| 45Δ 看跌 | 25.16% | 22.21% | 21.77% |
| 40Δ 看跌 | 25.11% | 22.98% | 22.04% |
| 35Δ 看跌 | 26.13% | 23.41% | 22.46% |
| 30Δ 看跌 | 27.11% | 24.62% | 23.43% |
| 25Δ 看跌 | 27.80% | 25.18% | 24.93% |
| 20Δ 看跌 | 28.64% | 26.14% | 26.18% |
| 15Δ 看跌 | — | 28.38% | 26.92% |
| 10Δ 看跌 | — | 30.29% | — |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-20 | 10 | $108.00 | 23.65% | 27.80% | 20.49% | +7.31 | +0.49 | 14 |
| 2026-12-18 | 38 | $108.08 | 22.16% | 25.18% | 20.18% | +5.00 | +0.52 | 15 |
| 2027-01-15 | 66 | $108.11 | 21.54% | 24.93% | 19.30% | +5.63 | +0.58 | 10 |
| 2027-03-19 | 129 | $108.49 | 21.90% | 25.24% | 20.06% | +5.18 | +0.74 | 24 |
| 2027-06-17 | 219 | $109.21 | 22.57% | 24.71% | 20.79% | +3.92 | +0.17 | 25 |
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
5 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 |
|---|---|---|---|---|---|
| 2026-11-20 | 10 天 | $108.00 | 23.65% | $108.08 | 14 |
| 2026-12-18 | 38 天 | $108.08 | 22.16% | $108.35 | 15 |
| 2027-01-15 | 66 天 | $108.11 | 21.54% | $108.57 | 10 |
| 2027-03-19 | 129 天 | $108.49 | 21.90% | $109.42 | 24 |
| 2027-06-17 | 219 天 | $109.21 | 22.57% | $110.89 | 25 |
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
- 22.31%
- 60 天
- 21.62%
- 90 天
- 21.74%
- 180 天
- 22.37%
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。