ETF · 期权分析
XLF 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $58.29
- 30D ATM IV
- 15.45%
- IV 百分位 · 1年
- 第 25
- 25Δ 风险逆转
- +2.03
- 期限斜率 90/30
- 1.073
▼ -0.78 pts 较前一交易日
概览
XLF 期权当前计入的 30 天平值隐含波动率为 15.4%,相当于未来一个月约 ±4.4% 的波动。这高于它过去一年 194 个交易日中 25% 的读数。
它的 25-delta put 比 call 的隐含波动率高 2.03 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 7%。
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ⓘ
- 15.45%
- 25-delta 风险逆转ⓘ
- +2.03
- 25-delta 蝶式价差ⓘ
- +0.68
- 期限结构斜率ⓘ
- 1.073
对应 30 天内约 ±4.4% 的波动，平常一天约 ±1.0%。
高于过去一年中 25% 的读数。
距平值同样远时，put 比 call的隐含波动率高 2.03 个点。
高于过去一年中 15% 的读数。
两翼的隐含波动率比平值高 0.68 个点。
90 天的隐含波动率比 30 天高 7%。
高于过去一年中 79% 的读数。
30 天隐含波动率处在什么位置
对比此前 194 个交易日(一年窗口)
- IV 百分位,1 年
- 25%
- IV 排名,1 年
- 20%
- IV 百分位,2 年
- 28%
- IV 排名,2 年
- 19%
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
- $58.29
- 30 天隐含远期价
- $58.46
- 60 天 ATM IV
- 15.93%
- 90 天 ATM IV
- 16.58%
- 180 天 ATM IV
- 17.27%
- 使用的到期日数
- 17
- 总未平仓量
- 4,359,393
- Put / call 未平仓量比
- 1.64
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 547 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 | 15.45% | +2.03 | 1.073 | $58.29 |
| 2026-11-09 | 16.23% | +2.51 | 1.067 | $57.99 |
| 2026-11-06 | 19.04% | +3.39 | 0.962 | $57.16 |
| 2026-11-05 | 20.35% | +3.89 | 0.931 | $57.50 |
| 2026-11-04 | 15.68% | +2.18 | 1.021 | $59.20 |
| 2026-11-03 | 18.08% | +2.70 | 0.969 | $57.19 |
| 2026-11-02 | 17.36% | +2.43 | 0.976 | $57.56 |
| 2026-10-30 | 17.47% | +2.73 | 0.987 | $56.51 |
| 2026-10-29 | 15.55% | +1.17 | 1.033 | $56.94 |
| 2026-10-28 | 16.06% | +2.07 | 1.012 | $56.13 |
| 2026-10-27 | 15.84% | +2.82 | 1.024 | $55.88 |
| 2026-10-26 | 16.05% | +2.61 | 1.024 | $56.02 |
| 2026-10-23 | 17.09% | +2.68 | 0.977 | $55.90 |
| 2026-10-22 | 16.01% | +2.91 | 1.017 | $56.65 |
| 2026-10-21 | 15.86% | +2.09 | 1.016 | $56.04 |
| 2026-10-20 | 15.90% | +2.31 | 1.018 | $55.72 |
| 2026-10-19 | 15.70% | +2.43 | 1.030 | $55.06 |
| 2026-10-16 | 16.38% | +2.62 | 1.010 | $55.52 |
| 2026-10-15 | 16.25% | +1.03 | 0.986 | $55.27 |
| 2026-10-14 | 17.26% | +3.14 | 0.974 | $54.52 |
| 2026-10-13 | 16.97% | +1.46 | 0.985 | $54.82 |
| 2026-10-09 | 16.93% | +1.86 | 0.987 | $54.73 |
| 2026-10-08 | 16.93% | +2.57 | 0.986 | $54.23 |
| 2026-10-07 | 17.07% | +1.79 | 0.986 | $53.75 |
| 2026-10-06 | 16.80% | +1.61 | 0.988 | $54.01 |
| 2026-10-05 | 16.15% | +2.45 | 1.052 | $53.88 |
| 2026-10-02 | 16.72% | +2.58 | 1.020 | $53.49 |
| 2026-10-01 | 17.43% | +2.46 | 0.995 | $53.46 |
| 2026-09-30 | 16.34% | +1.54 | 0.997 | $53.40 |
| 2026-09-29 | 17.00% | +2.03 | 0.987 | $54.01 |
| 2026-09-28 | 17.35% | +1.74 | 0.962 | $54.19 |
| 2026-09-25 | 15.42% | +2.50 | 1.060 | $54.84 |
| 2026-09-24 | 16.02% | +2.00 | 1.039 | $54.53 |
| 2026-09-23 | 16.47% | +1.12 | 1.021 | $54.54 |
| 2026-09-22 | 15.48% | +1.80 | 1.035 | $54.80 |
| 2026-09-21 | 15.06% | +1.84 | 1.047 | $55.90 |
| 2026-09-18 | 14.68% | +2.35 | 1.069 | $55.86 |
| 2026-09-17 | 15.45% | +2.31 | 1.085 | $55.88 |
| 2026-09-16 | 17.03% | +3.25 | 1.020 | $55.93 |
| 2026-09-15 | 15.17% | +2.70 | 1.085 | $56.85 |
| 2026-09-14 | — | — | — | $57.03 |
| 2026-09-11 | — | — | — | $57.25 |
| 2026-09-10 | 16.40% | +3.30 | 1.087 | $56.87 |
| 2026-09-09 | 14.98% | +2.79 | 1.142 | $57.06 |
| 2026-09-08 | 16.12% | +0.47 | 1.024 | $57.30 |
| 2026-09-04 | — | — | — | $58.10 |
| 2026-09-03 | 15.52% | +2.69 | 1.049 | $58.56 |
| 2026-09-02 | 14.86% | +0.81 | 1.041 | $57.66 |
| 2026-09-01 | 15.57% | +2.13 | 1.016 | $57.20 |
| 2026-08-31 | 14.69% | +0.86 | 1.039 | $57.71 |
| 2026-08-28 | 13.79% | +1.35 | 1.146 | $58.10 |
| 2026-08-27 | 14.77% | +1.88 | 1.043 | $57.88 |
| 2026-08-21 | — | — | — | $57.48 |
| 2026-08-20 | 14.52% | +1.70 | 1.103 | $56.95 |
| 2026-08-19 | 12.72% | +1.09 | 1.245 | $57.48 |
| 2026-08-18 | — | — | — | $57.84 |
| 2026-08-17 | — | — | — | $57.58 |
| 2026-08-14 | 12.07% | +1.73 | 1.319 | $58.16 |
| 2026-08-13 | — | — | — | $58.26 |
| 2026-08-12 | — | — | — | $57.92 |
| 2026-08-11 | — | — | — | $57.80 |
| 2026-08-10 | — | — | — | $57.81 |
| 2026-08-07 | — | — | — | $57.60 |
| 2026-08-06 | — | — | — | $57.81 |
| 2026-08-05 | — | — | — | $58.00 |
| 2026-08-04 | — | — | — | $57.88 |
| 2026-08-03 | — | — | — | $57.38 |
| 2026-07-31 | — | — | — | $56.94 |
| 2026-07-30 | 14.14% | +2.25 | 1.133 | $57.00 |
| 2026-07-29 | — | — | — | $56.68 |
| 2026-07-28 | 15.99% | +3.85 | 1.000 | $57.60 |
| 2026-07-27 | 15.18% | +2.81 | 1.088 | $56.88 |
| 2026-07-24 | 15.25% | +3.67 | 1.101 | $56.31 |
| 2026-07-23 | 16.43% | +2.63 | 1.003 | $55.83 |
| 2026-07-22 | — | — | — | $56.05 |
| 2026-07-21 | 15.88% | +2.61 | 1.046 | $56.11 |
| 2026-07-20 | — | — | — | $56.04 |
| 2026-07-17 | — | — | — | $56.26 |
| 2026-07-16 | — | — | — | $56.75 |
| 2026-07-15 | — | — | — | $56.56 |
| 2026-07-14 | — | — | — | $56.18 |
| 2026-07-13 | 18.27% | +3.67 | 0.971 | $56.07 |
| 2026-07-10 | — | — | — | $55.71 |
| 2026-07-09 | — | — | — | $55.54 |
| 2026-07-08 | — | — | — | $54.97 |
| 2026-07-07 | — | — | — | $56.05 |
| 2026-07-06 | 15.68% | +1.33 | 1.045 | $56.14 |
| 2026-07-02 | 16.06% | +1.87 | 0.965 | $55.62 |
| 2026-07-01 | 15.57% | +3.39 | 1.043 | $54.78 |
| 2026-06-30 | 15.18% | +2.78 | 0.987 | $53.61 |
| 2026-06-29 | 14.64% | +3.49 | 1.099 | $53.72 |
| 2026-06-26 | — | — | — | $53.57 |
| 2026-06-25 | 15.78% | +2.49 | 1.027 | $53.45 |
| 2026-06-24 | — | — | — | $53.72 |
| 2026-06-23 | 15.50% | +3.37 | 1.058 | $53.88 |
| 2026-06-22 | 15.70% | +2.41 | 1.071 | $53.70 |
| 2026-06-18 | 15.79% | +2.77 | 1.000 | $53.57 |
| 2026-06-17 | 16.09% | +2.05 | 1.052 | $54.05 |
| 2026-06-16 | 15.73% | +2.27 | 1.064 | $54.35 |
| 2026-06-15 | 16.09% | +2.43 | 1.051 | $53.56 |
| 2026-06-12 | 15.81% | +2.21 | 1.104 | $53.34 |
| 2026-06-11 | 17.27% | +3.23 | 1.047 | $52.62 |
| 2026-06-10 | 17.63% | +3.60 | 1.041 | $52.23 |
| 2026-06-09 | 16.96% | +2.26 | 1.052 | $52.46 |
| 2026-06-08 | 17.31% | +3.34 | 1.060 | $51.97 |
| 2026-06-05 | 18.26% | +4.74 | 1.006 | $52.30 |
| 2026-06-04 | 16.51% | +2.57 | 1.083 | $52.19 |
| 2026-06-03 | — | — | — | $50.87 |
| 2026-06-02 | 17.32% | +2.06 | 1.036 | $51.46 |
| 2026-06-01 | 17.30% | +2.58 | 1.059 | $51.43 |
| 2026-05-29 | 17.23% | +1.29 | 0.982 | $51.58 |
| 2026-05-28 | 16.84% | +1.97 | 1.005 | $51.27 |
| 2026-05-27 | 17.03% | +4.09 | 1.034 | $51.42 |
| 2026-05-26 | 16.65% | +3.42 | 1.072 | $51.85 |
| 2026-05-22 | 16.39% | +2.92 | 1.058 | $51.94 |
| 2026-05-21 | 16.75% | +2.07 | 1.042 | $51.73 |
| 2026-05-20 | 17.36% | +2.63 | 1.036 | $51.66 |
| 2026-05-19 | 16.98% | +3.01 | 1.044 | $51.10 |
| 2026-05-18 | 16.93% | +2.91 | 1.055 | $51.74 |
| 2026-05-15 | 16.45% | +2.91 | 1.090 | $51.10 |
图表覆盖存档中的全部交易日,共 547 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 547 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 | 16.64% | — | — |
| 10Δ 看涨 | 15.96% | 13.87% | — |
| 15Δ 看涨 | 16.10% | 13.83% | — |
| 20Δ 看涨 | 16.19% | 13.82% | 15.00% |
| 25Δ 看涨 | 16.16% | 13.82% | 14.60% |
| 30Δ 看涨 | 16.09% | 13.83% | 14.50% |
| 35Δ 看涨 | 16.02% | 13.88% | 14.59% |
| 40Δ 看涨 | 15.99% | 13.94% | 14.79% |
| 45Δ 看涨 | 16.07% | 14.03% | 15.02% |
| ATM | 16.32% | 14.20% | 15.29% |
| 45Δ 看跌 | 16.67% | 14.44% | 15.62% |
| 40Δ 看跌 | 17.07% | 14.70% | 15.95% |
| 35Δ 看跌 | 17.43% | 14.96% | 16.22% |
| 30Δ 看跌 | 17.79% | 15.25% | 16.50% |
| 25Δ 看跌 | 18.21% | 15.62% | 16.99% |
| 20Δ 看跌 | 18.70% | 16.28% | 17.84% |
| 15Δ 看跌 | 19.31% | 17.12% | 18.69% |
| 10Δ 看跌 | 20.29% | 17.51% | 19.29% |
| 5Δ 看跌 | 22.61% | 19.17% | 20.96% |
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 | $58.29 | 16.32% | 18.21% | 16.16% | +2.05 | +0.87 | 11 |
| 2026-11-16 | 6 | $58.30 | 14.20% | 15.62% | 13.82% | +1.81 | +0.52 | 13 |
| 2026-11-18 | 8 | $58.32 | 15.29% | 16.99% | 14.60% | +2.39 | +0.51 | 10 |
| 2026-11-20 | 10 | $58.34 | 15.87% | 17.56% | 15.24% | +2.32 | +0.52 | 26 |
| 2026-11-23 | 13 | $58.37 | 14.88% | 16.92% | 14.51% | +2.41 | +0.83 | 10 |
| 2026-11-27 | 17 | $58.38 | 14.84% | 16.69% | 14.21% | +2.48 | +0.61 | 25 |
| 2026-12-04 | 24 | $58.42 | 15.43% | 17.32% | 14.83% | +2.48 | +0.64 | 28 |
| 2026-12-11 | 31 | $58.46 | 15.45% | 17.12% | 15.15% | +1.97 | +0.68 | 32 |
| 2026-12-18 | 38 | $58.50 | 15.90% | 17.71% | 15.01% | +2.70 | +0.46 | 23 |
| 2026-12-31 | 51 | $58.44 | 15.87% | 17.95% | 14.79% | +3.16 | +0.50 | 10 |
| 2027-01-15 | 66 | $58.50 | 15.96% | 17.87% | 14.95% | +2.93 | +0.45 | 32 |
| 2027-03-19 | 129 | $58.89 | 17.08% | 19.10% | 15.94% | +3.16 | +0.43 | 26 |
| 2027-03-31 | 141 | $58.82 | 16.99% | 19.29% | 16.00% | +3.30 | +0.66 | 21 |
| 2027-06-17 | 219 | $59.33 | 17.46% | 19.55% | 16.28% | +3.26 | +0.46 | 31 |
| 2027-06-30 | 232 | $59.31 | 17.24% | 19.56% | 16.48% | +3.09 | +0.78 | 27 |
| 2027-09-17 | 311 | $59.71 | 18.28% | 20.54% | 17.07% | +3.48 | +0.52 | 35 |
| 2027-09-30 | 324 | $59.62 | 18.46% | 20.99% | 17.10% | +3.89 | +0.59 | 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 | $58.29 | 16.32% | $58.30 | 11 |
| 2026-11-16 | 6 天 | $58.30 | 14.20% | $58.31 | 13 |
| 2026-11-18 | 8 天 | $58.32 | 15.29% | $58.34 | 10 |
| 2026-11-20 | 10 天 | $58.34 | 15.87% | $58.36 | 26 |
| 2026-11-23 | 13 天 | $58.37 | 14.88% | $58.39 | 10 |
| 2026-11-27 | 17 天 | $58.38 | 14.84% | $58.41 | 25 |
| 2026-12-04 | 24 天 | $58.42 | 15.43% | $58.47 | 28 |
| 2026-12-11 | 31 天 | $58.46 | 15.45% | $58.52 | 32 |
| 2026-12-18 | 38 天 | $58.50 | 15.90% | $58.57 | 23 |
| 2026-12-31 | 51 天 | $58.44 | 15.87% | $58.55 | 10 |
| 2027-01-15 | 66 天 | $58.50 | 15.96% | $58.63 | 32 |
| 2027-03-19 | 129 天 | $58.89 | 17.08% | $59.19 | 26 |
| 2027-03-31 | 141 天 | $58.82 | 16.99% | $59.15 | 21 |
| 2027-06-17 | 219 天 | $59.33 | 17.46% | $59.87 | 31 |
| 2027-06-30 | 232 天 | $59.31 | 17.24% | $59.88 | 27 |
| 2027-09-17 | 311 天 | $59.71 | 18.28% | $60.57 | 35 |
| 2027-09-30 | 324 天 | $59.62 | 18.46% | $60.53 | 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
- 15.45%
- 60 天
- 15.93%
- 90 天
- 16.58%
- 180 天
- 17.27%
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 547 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。