ETF · 期权分析
XLE 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $62.21
- 30D ATM IV
- 27.27%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +1.34
- 期限斜率 90/30
- 0.964
▼ -0.99 pts 较前一交易日
本交易日部分指标不可用
概览
XLE 期权当前计入的 30 天平值隐含波动率为 27.3%,相当于未来一个月约 ±7.8% 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 1.34 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 4%。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ⓘ
- 27.27%
- 25-delta 风险逆转ⓘ
- +1.34
- 25-delta 蝶式价差ⓘ
- +0.01
- 期限结构斜率ⓘ
- 0.964
对应 30 天内约 ±7.8% 的波动，平常一天约 ±1.7%。
距平值同样远时，put 比 call的隐含波动率高 1.34 个点。
两翼的隐含波动率与平值大致相同。
90 天的隐含波动率比 30 天低 4%。
30 天隐含波动率处在什么位置
对比此前 142 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
- $62.21
- 30 天隐含远期价
- $62.38
- 60 天 ATM IV
- 26.71%
- 90 天 ATM IV
- 26.29%
- 180 天 ATM IV
- 25.65%
- 使用的到期日数
- 17
- 总未平仓量
- 2,732,051
- Put / call 未平仓量比
- 1.17
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 | 27.27% | +1.34 | 0.964 | $62.21 |
| 2026-11-09 | 28.26% | +2.61 | 0.949 | $61.94 |
| 2026-11-06 | 28.63% | +1.98 | 0.953 | $61.62 |
| 2026-11-05 | 28.89% | +4.82 | 0.954 | $61.63 |
| 2026-11-04 | 29.74% | +0.62 | 0.908 | $63.52 |
| 2026-11-03 | 29.53% | +2.18 | 0.939 | $66.68 |
| 2026-11-02 | 30.99% | +2.71 | 0.915 | $67.25 |
| 2026-10-30 | 28.50% | +1.11 | 0.971 | $70.02 |
| 2026-10-29 | 27.03% | -1.35 | 0.980 | $68.71 |
| 2026-10-28 | 27.96% | -1.31 | 0.966 | $68.45 |
| 2026-10-27 | 27.59% | +0.93 | 0.968 | $68.21 |
| 2026-10-26 | 28.69% | -0.18 | 0.955 | $69.64 |
| 2026-10-23 | 29.20% | +0.40 | 0.946 | $69.33 |
| 2026-10-22 | 28.62% | +0.73 | 0.937 | $67.57 |
| 2026-10-21 | 27.56% | +1.08 | 0.943 | $68.16 |
| 2026-10-20 | 26.99% | +0.95 | 0.969 | $67.97 |
| 2026-10-19 | 26.62% | +0.80 | 0.971 | $67.80 |
| 2026-10-16 | 26.82% | +0.25 | 0.975 | $68.24 |
| 2026-10-15 | 26.30% | +1.61 | 0.978 | $66.56 |
| 2026-10-14 | 27.22% | +0.24 | 0.949 | $67.63 |
| 2026-10-13 | 26.25% | -0.17 | 0.983 | $67.20 |
| 2026-10-09 | 25.03% | +0.02 | 1.021 | $65.08 |
| 2026-10-08 | 25.98% | +1.15 | 0.990 | $65.24 |
| 2026-10-07 | 25.22% | +0.17 | 1.026 | $63.36 |
| 2026-10-06 | 25.76% | +0.09 | 1.002 | $63.75 |
| 2026-10-05 | 26.13% | -0.27 | 0.996 | $63.45 |
| 2026-10-02 | 25.97% | +0.42 | 1.012 | $62.82 |
| 2026-10-01 | 26.05% | +0.77 | 0.992 | $62.70 |
| 2026-09-30 | 25.94% | +2.19 | 1.002 | $61.50 |
| 2026-09-29 | 26.26% | +1.21 | 1.010 | $61.54 |
| 2026-09-28 | 27.51% | +0.42 | 0.972 | $62.10 |
| 2026-09-25 | 26.17% | +0.64 | 1.019 | $62.04 |
| 2026-09-24 | 26.33% | -0.83 | 1.036 | $62.60 |
| 2026-09-23 | 26.28% | +0.47 | 1.019 | $62.37 |
| 2026-09-22 | 26.10% | +0.61 | 1.037 | $61.78 |
| 2026-09-21 | 26.68% | +0.28 | 1.019 | $62.46 |
| 2026-09-18 | 26.75% | +0.94 | 1.034 | $64.31 |
| 2026-09-17 | 26.14% | +0.29 | 1.036 | $64.48 |
| 2026-09-16 | 27.62% | +1.16 | 1.000 | $64.03 |
| 2026-09-15 | 27.48% | +0.28 | 0.996 | $65.93 |
| 2026-09-14 | 26.83% | -0.41 | 0.995 | $64.53 |
| 2026-09-11 | 26.24% | +0.24 | 1.012 | $65.14 |
| 2026-09-10 | — | — | — | $64.93 |
| 2026-09-09 | 27.68% | +1.15 | 0.979 | $65.31 |
| 2026-09-08 | — | — | — | $64.77 |
| 2026-09-04 | 24.15% | -0.89 | 1.040 | $64.06 |
| 2026-09-03 | 25.18% | -1.63 | 1.025 | $64.62 |
| 2026-09-02 | 24.93% | +0.59 | 1.041 | $65.10 |
| 2026-09-01 | 26.88% | -0.49 | 0.991 | $64.77 |
| 2026-08-31 | — | — | — | $63.96 |
| 2026-08-28 | — | — | — | $62.68 |
| 2026-08-27 | 24.27% | +0.27 | 1.034 | $62.29 |
| 2025-10-22 | 22.36% | +3.51 | 1.016 | $87.80 |
| 2025-10-21 | 21.16% | +4.19 | 1.009 | $86.69 |
| 2025-10-20 | 20.58% | +4.95 | 1.015 | $86.89 |
| 2025-10-17 | — | — | — | $85.98 |
| 2025-10-16 | — | — | — | $85.28 |
| 2025-10-15 | 22.68% | +3.88 | 0.994 | $86.32 |
| 2025-10-14 | 23.21% | +4.13 | 0.980 | $86.37 |
| 2025-10-10 | — | — | — | $85.22 |
| 2025-10-09 | 22.05% | +2.33 | 0.989 | $87.76 |
| 2025-10-08 | 20.18% | +3.00 | 1.062 | $88.97 |
| 2025-10-07 | 21.20% | +4.10 | 1.045 | $89.49 |
| 2025-10-06 | — | — | — | $89.35 |
| 2025-10-03 | 20.71% | +3.38 | 1.117 | $88.91 |
| 2025-10-02 | 20.77% | +3.97 | 0.998 | $88.44 |
| 2025-10-01 | 20.75% | +2.83 | 1.149 | $89.34 |
| 2025-09-30 | — | — | — | $89.34 |
| 2025-09-29 | 20.24% | +3.15 | 1.029 | $90.30 |
| 2025-09-26 | 19.68% | +1.99 | 1.072 | $91.99 |
| 2025-09-25 | 20.86% | +3.13 | 0.976 | $91.15 |
| 2025-09-24 | 20.98% | +2.05 | 1.012 | $90.34 |
| 2025-09-23 | 21.86% | +1.76 | 0.951 | $89.18 |
| 2025-09-22 | 19.84% | +2.63 | 0.989 | $87.67 |
| 2025-09-19 | — | — | — | $88.52 |
| 2025-09-18 | — | — | — | $89.71 |
| 2025-09-17 | — | — | — | $89.99 |
| 2025-09-16 | 21.22% | +2.42 | 0.986 | $89.78 |
| 2025-09-15 | 19.67% | +3.88 | 1.003 | $88.30 |
| 2025-09-12 | 19.19% | +2.08 | 0.988 | $88.60 |
| 2025-09-11 | 18.88% | +3.84 | 1.009 | $89.13 |
| 2025-09-10 | 19.47% | +2.44 | 0.953 | $89.11 |
| 2025-09-09 | 19.90% | +2.66 | 0.999 | $87.58 |
| 2025-09-08 | — | — | — | $87.16 |
| 2025-09-05 | — | — | — | $87.36 |
| 2025-09-04 | — | — | — | $89.08 |
| 2025-09-03 | 22.08% | +3.46 | 0.904 | $88.49 |
| 2025-09-02 | 20.34% | +4.80 | 0.985 | $90.52 |
| 2025-08-29 | — | — | — | $90.39 |
| 2025-08-28 | 19.16% | +2.90 | 1.052 | $89.90 |
| 2025-08-27 | — | — | — | $89.22 |
| 2025-08-26 | 19.70% | +0.53 | 0.996 | $88.23 |
| 2025-08-25 | 18.51% | +2.56 | 1.040 | $88.37 |
| 2025-08-22 | 17.98% | +2.72 | 1.096 | $88.14 |
| 2025-08-21 | 18.70% | +1.57 | 1.054 | $86.38 |
| 2025-08-20 | 17.89% | +4.20 | 1.110 | $85.79 |
| 2025-08-19 | — | — | — | $85.08 |
| 2025-08-18 | 19.55% | +2.56 | 1.021 | $85.05 |
| 2025-08-15 | 21.20% | +3.30 | 1.001 | $85.56 |
| 2025-08-14 | — | — | — | $85.56 |
| 2025-08-13 | — | — | — | $85.64 |
| 2025-08-12 | 19.93% | +3.33 | 1.105 | $84.66 |
| 2025-08-11 | 21.33% | +2.19 | 1.048 | $84.25 |
| 2025-08-08 | 20.81% | +1.76 | 1.048 | $84.93 |
| 2025-08-07 | 20.02% | +5.25 | 1.114 | $84.39 |
| 2025-08-06 | 21.85% | +3.73 | 1.018 | $84.72 |
| 2025-08-05 | 21.67% | +3.51 | 1.015 | $85.51 |
| 2025-08-04 | 21.49% | +3.73 | 1.040 | $85.40 |
| 2025-08-01 | 21.33% | +2.55 | 1.009 | $85.59 |
| 2025-07-31 | — | — | — | $87.21 |
| 2025-07-30 | — | — | — | $87.68 |
| 2025-07-29 | 21.00% | +2.97 | 1.031 | $88.95 |
| 2025-07-28 | 19.94% | +3.38 | 0.973 | $88.09 |
| 2025-07-25 | 20.16% | +2.80 | 1.016 | $87.10 |
| 2025-07-24 | 19.82% | +2.25 | 1.091 | $87.43 |
| 2025-07-23 | 21.32% | +3.26 | 0.982 | $86.81 |
| 2025-07-22 | 20.75% | +3.47 | 1.039 | $85.47 |
| 2025-07-21 | 21.29% | +3.83 | 1.093 | $85.07 |
| 2025-07-18 | 22.14% | +4.32 | 0.942 | $85.96 |
| 2025-07-17 | — | — | — | $86.66 |
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) · 6d (2026-11-16) · 8d (2026-11-18)
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 | 6d | 8d |
|---|---|---|---|
| 5Δ 看涨 | 31.50% | — | — |
| 10Δ 看涨 | 30.55% | 24.83% | — |
| 15Δ 看涨 | 30.39% | 24.73% | 27.81% |
| 20Δ 看涨 | 30.20% | 24.72% | 27.72% |
| 25Δ 看涨 | 30.20% | 24.72% | 27.71% |
| 30Δ 看涨 | 30.35% | 24.73% | 27.76% |
| 35Δ 看涨 | 30.56% | 24.75% | 27.88% |
| 40Δ 看涨 | 30.86% | 24.90% | 28.03% |
| 45Δ 看涨 | 31.18% | 25.19% | 28.29% |
| ATM | 31.57% | 25.52% | 28.65% |
| 45Δ 看跌 | 31.86% | 25.80% | 28.99% |
| 40Δ 看跌 | 32.01% | 26.04% | 29.30% |
| 35Δ 看跌 | 32.17% | 26.29% | 29.62% |
| 30Δ 看跌 | 32.44% | 26.54% | 30.01% |
| 25Δ 看跌 | 32.81% | 26.80% | 30.47% |
| 20Δ 看跌 | 33.35% | 27.07% | 31.12% |
| 15Δ 看跌 | 33.92% | 27.43% | 32.28% |
| 10Δ 看跌 | 34.73% | 27.99% | — |
| 5Δ 看跌 | 36.13% | — | — |
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 | $62.17 | 31.57% | 32.81% | 30.20% | +2.61 | -0.07 | 17 |
| 2026-11-16 | 6 | $62.17 | 25.52% | 26.80% | 24.72% | +2.08 | +0.24 | 7 |
| 2026-11-18 | 8 | $62.23 | 28.65% | 30.47% | 27.71% | +2.76 | +0.44 | 7 |
| 2026-11-20 | 10 | $62.25 | 27.81% | 29.51% | 27.46% | +2.05 | +0.67 | 29 |
| 2026-11-23 | 13 | $62.22 | 27.60% | 27.99% | 27.10% | +0.89 | -0.05 | 7 |
| 2026-11-27 | 17 | $62.26 | 26.69% | 27.22% | 26.12% | +1.10 | -0.02 | 27 |
| 2026-12-04 | 24 | $62.27 | 27.17% | 27.13% | 26.70% | +0.43 | -0.26 | 30 |
| 2026-12-11 | 31 | $62.40 | 27.28% | 28.05% | 26.59% | +1.46 | +0.04 | 26 |
| 2026-12-18 | 38 | $62.42 | 26.70% | 27.76% | 26.36% | +1.40 | +0.36 | 21 |
| 2026-12-24 | 44 | $62.30 | 27.39% | 29.23% | 26.09% | +3.15 | +0.27 | 22 |
| 2027-01-15 | 66 | $62.27 | 26.54% | 27.15% | 26.05% | +1.09 | +0.06 | 12 |
| 2027-03-19 | 129 | $62.80 | 26.07% | 27.87% | 25.87% | +2.00 | +0.80 | 31 |
| 2027-03-31 | 141 | $62.51 | 24.52% | 29.21% | 25.57% | +3.64 | +2.87 | 43 |
| 2027-06-17 | 219 | $63.12 | 26.35% | 27.29% | 26.18% | +1.11 | +0.38 | 41 |
| 2027-06-30 | 232 | $62.59 | 27.57% | 26.67% | 26.74% | -0.08 | -0.86 | 33 |
| 2027-09-17 | 311 | $63.10 | 27.24% | 26.14% | 26.32% | -0.17 | -1.01 | 42 |
| 2027-09-30 | 324 | $63.05 | 27.39% | 27.44% | 26.70% | +0.74 | -0.32 | 22 |
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
17 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 | $62.17 | 31.57% | $62.19 | 17 |
| 2026-11-16 | 6 天 | $62.17 | 25.52% | $62.20 | 7 |
| 2026-11-18 | 8 天 | $62.23 | 28.65% | $62.29 | 7 |
| 2026-11-20 | 10 天 | $62.25 | 27.81% | $62.31 | 29 |
| 2026-11-23 | 13 天 | $62.22 | 27.60% | $62.30 | 7 |
| 2026-11-27 | 17 天 | $62.26 | 26.69% | $62.37 | 27 |
| 2026-12-04 | 24 天 | $62.27 | 27.17% | $62.43 | 30 |
| 2026-12-11 | 31 天 | $62.40 | 27.28% | $62.60 | 26 |
| 2026-12-18 | 38 天 | $62.42 | 26.70% | $62.65 | 21 |
| 2026-12-24 | 44 天 | $62.30 | 27.39% | $62.58 | 22 |
| 2027-01-15 | 66 天 | $62.27 | 26.54% | $62.67 | 12 |
| 2027-03-19 | 129 天 | $62.80 | 26.07% | $63.56 | 31 |
| 2027-03-31 | 141 天 | $62.51 | 24.52% | $63.24 | 43 |
| 2027-06-17 | 219 天 | $63.12 | 26.35% | $64.44 | 41 |
| 2027-06-30 | 232 天 | $62.59 | 27.57% | $64.12 | 33 |
| 2027-09-17 | 311 天 | $63.10 | 27.24% | $65.13 | 42 |
| 2027-09-30 | 324 天 | $63.05 | 27.39% | $65.19 | 22 |
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
- 27.27%
- 60 天
- 26.71%
- 90 天
- 26.29%
- 180 天
- 25.65%
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。