ETF · 期权分析
XLI 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $168.73
- 30D ATM IV
- 21.10%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +3.85
- 期限斜率 90/30
- 0.954
▼ -0.04 pts 较前一交易日
概览
XLI 期权当前计入的 30 天平值隐含波动率为 21.1%,相当于未来一个月约 ±6.0% 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 3.85 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 5%。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ⓘ
- 21.10%
- 25-delta 风险逆转ⓘ
- +3.85
- 25-delta 蝶式价差ⓘ
- +1.09
- 期限结构斜率ⓘ
- 0.954
对应 30 天内约 ±6.0% 的波动，平常一天约 ±1.3%。
距平值同样远时，put 比 call的隐含波动率高 3.85 个点。
两翼的隐含波动率比平值高 1.09 个点。
90 天的隐含波动率比 30 天低 5%。
30 天隐含波动率处在什么位置
对比此前 47 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
- $168.73
- 30 天隐含远期价
- $168.70
- 60 天 ATM IV
- 20.19%
- 90 天 ATM IV
- 20.13%
- 180 天 ATM IV
- 20.43%
- 使用的到期日数
- 10
- 总未平仓量
- 432,571
- Put / call 未平仓量比
- 2.21
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 | 21.10% | +3.85 | 0.954 | $168.73 |
| 2026-11-09 | 21.14% | +3.75 | 0.972 | $168.89 |
| 2026-11-06 | 23.24% | +2.32 | 0.923 | $162.67 |
| 2026-11-05 | 25.09% | +3.29 | 0.916 | $162.47 |
| 2026-11-04 | 20.65% | +2.12 | 0.981 | $169.46 |
| 2026-11-03 | 21.70% | +2.34 | 0.983 | $171.32 |
| 2026-11-02 | 20.73% | +1.52 | 1.022 | $169.71 |
| 2026-10-30 | 22.10% | +4.24 | 0.987 | $167.40 |
| 2026-10-29 | 18.23% | +2.46 | 1.076 | $170.13 |
| 2026-10-28 | 21.29% | +2.99 | — | $168.49 |
| 2026-10-27 | 19.54% | +3.04 | 1.063 | $167.92 |
| 2026-10-26 | — | — | — | $166.96 |
| 2026-10-23 | 21.84% | +2.56 | 0.972 | $164.62 |
| 2026-10-22 | 21.36% | +4.61 | 0.962 | $166.73 |
| 2026-10-21 | 19.47% | +1.51 | 1.011 | $168.31 |
| 2026-10-20 | 19.68% | +3.74 | 1.022 | $166.80 |
| 2026-10-19 | 19.32% | +3.18 | 1.023 | $166.68 |
| 2026-10-16 | 20.97% | +3.61 | 0.962 | $167.76 |
| 2026-10-15 | 19.98% | +3.11 | 1.004 | $167.89 |
| 2026-10-14 | 19.29% | +3.37 | 1.001 | $167.04 |
| 2026-10-13 | 19.25% | +2.41 | 1.017 | $168.67 |
| 2026-10-09 | 18.39% | +1.91 | 1.073 | $169.25 |
| 2026-10-08 | 18.78% | +1.24 | 1.062 | $168.40 |
| 2026-10-07 | 19.09% | +1.00 | 1.036 | $167.84 |
| 2026-10-06 | 18.06% | +1.31 | 1.056 | $171.58 |
| 2026-10-05 | 19.84% | +1.28 | 0.990 | $170.10 |
| 2026-10-02 | 19.90% | +2.19 | 1.021 | $169.95 |
| 2026-10-01 | 19.52% | +3.46 | 1.069 | $168.64 |
| 2026-09-30 | 19.29% | +2.07 | 1.023 | $166.98 |
| 2026-09-29 | 19.71% | +2.49 | 0.998 | $169.13 |
| 2026-09-28 | 19.38% | +1.34 | 1.018 | $168.78 |
| 2026-09-25 | 18.79% | +2.19 | 1.046 | $170.43 |
| 2026-09-24 | 17.57% | +2.07 | 1.114 | $168.83 |
| 2026-09-23 | 17.08% | +1.64 | 1.146 | $170.10 |
| 2026-09-22 | 16.95% | +2.47 | 1.155 | $170.27 |
| 2026-09-21 | 17.70% | +2.14 | 1.098 | $169.98 |
| 2026-09-18 | 18.02% | +3.00 | 1.070 | $169.75 |
| 2026-09-17 | 18.72% | +2.08 | 1.036 | $169.01 |
| 2026-09-16 | 19.57% | +2.59 | 1.011 | $168.71 |
| 2026-09-15 | — | — | — | $168.85 |
| 2026-09-14 | — | — | — | $169.93 |
| 2026-09-11 | — | — | — | $172.37 |
| 2026-09-10 | — | — | — | $170.55 |
| 2026-09-09 | — | — | — | $171.79 |
| 2026-09-08 | — | — | — | $174.42 |
| 2026-09-04 | — | — | — | $175.27 |
| 2026-09-03 | — | — | — | $174.56 |
| 2026-09-02 | — | — | — | $172.78 |
| 2026-09-01 | — | — | — | $172.73 |
| 2026-08-31 | — | — | — | $175.13 |
| 2026-08-28 | — | — | — | $177.14 |
| 2026-08-27 | — | — | — | $178.80 |
| 2025-10-22 | — | — | — | $152.87 |
| 2025-10-21 | — | — | — | $154.88 |
| 2025-10-20 | — | — | — | $153.52 |
| 2025-10-17 | — | — | — | $151.73 |
| 2025-10-16 | — | — | — | $151.60 |
| 2025-10-15 | — | — | — | $152.60 |
| 2025-10-14 | — | — | — | $153.24 |
| 2025-10-10 | — | — | — | $149.90 |
| 2025-10-09 | — | — | — | $153.29 |
| 2025-10-08 | — | — | — | $155.59 |
| 2025-10-07 | — | — | — | $154.25 |
| 2025-10-06 | — | — | — | $155.13 |
| 2025-10-03 | — | — | — | $154.41 |
| 2025-10-02 | — | — | — | $154.20 |
| 2025-10-01 | — | — | — | $153.80 |
| 2025-09-30 | — | — | — | $154.23 |
| 2025-09-29 | — | — | — | $153.05 |
| 2025-09-26 | — | — | — | $152.58 |
| 2025-09-25 | — | — | — | $151.22 |
| 2025-09-24 | — | — | — | $152.25 |
| 2025-09-23 | — | — | — | $153.04 |
| 2025-09-22 | — | — | — | $153.00 |
| 2025-09-19 | — | — | — | $153.12 |
| 2025-09-18 | — | — | — | $152.75 |
| 2025-09-17 | — | — | — | $151.14 |
| 2025-09-16 | — | — | — | $151.83 |
| 2025-09-15 | — | — | — | $152.28 |
| 2025-09-12 | — | — | — | $151.58 |
| 2025-09-11 | — | — | — | $152.80 |
| 2025-09-10 | — | — | — | $151.36 |
| 2025-09-09 | — | — | — | $150.25 |
| 2025-09-08 | — | — | — | $151.27 |
| 2025-09-05 | — | — | — | $150.93 |
| 2025-09-04 | — | — | — | $151.49 |
| 2025-09-03 | — | — | — | $149.80 |
| 2025-09-02 | — | — | — | $150.56 |
| 2025-08-29 | — | — | — | $152.01 |
| 2025-08-28 | — | — | — | $153.42 |
| 2025-08-27 | — | — | — | $153.15 |
| 2025-08-26 | — | — | — | $153.17 |
| 2025-08-25 | — | — | — | $151.61 |
| 2025-08-22 | — | — | — | $153.14 |
| 2025-08-21 | — | — | — | $150.68 |
| 2025-08-20 | — | — | — | $151.22 |
| 2025-08-19 | — | — | — | $151.36 |
| 2025-08-18 | — | — | — | $151.03 |
| 2025-08-15 | — | — | — | $150.44 |
| 2025-08-14 | — | — | — | $151.13 |
| 2025-08-13 | — | — | — | $152.48 |
| 2025-08-12 | — | — | — | $151.90 |
| 2025-08-11 | — | — | — | $150.34 |
| 2025-08-08 | — | — | — | $150.83 |
| 2025-08-07 | — | — | — | $150.71 |
| 2025-08-06 | — | — | — | $150.93 |
| 2025-08-05 | — | — | — | $150.81 |
| 2025-08-04 | — | — | — | $151.12 |
| 2025-08-01 | — | — | — | $149.74 |
| 2025-07-31 | — | — | — | $152.01 |
| 2025-07-30 | — | — | — | $152.00 |
| 2025-07-29 | — | — | — | $152.75 |
| 2025-07-28 | — | — | — | $154.51 |
| 2025-07-25 | — | — | — | $154.99 |
| 2025-07-24 | — | — | — | $153.47 |
| 2025-07-23 | — | — | — | $153.73 |
| 2025-07-22 | — | — | — | $151.02 |
| 2025-07-21 | — | — | — | $150.66 |
| 2025-07-18 | — | — | — | $151.46 |
| 2025-07-17 | — | — | — | $151.80 |
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 | 24.19% | — | — |
| 10Δ 看涨 | 23.01% | 21.48% | 19.87% |
| 15Δ 看涨 | 22.68% | 20.61% | 20.05% |
| 20Δ 看涨 | 22.94% | 20.76% | 19.79% |
| 25Δ 看涨 | 23.09% | 20.63% | 19.79% |
| 30Δ 看涨 | 23.25% | 20.56% | 19.99% |
| 35Δ 看涨 | 23.45% | 20.75% | 20.20% |
| 40Δ 看涨 | 23.76% | 21.05% | 20.46% |
| 45Δ 看涨 | 24.15% | 21.32% | 20.66% |
| ATM | 24.67% | 21.78% | 21.37% |
| 45Δ 看跌 | 25.10% | 22.99% | 21.79% |
| 40Δ 看跌 | 24.70% | 22.42% | 21.81% |
| 35Δ 看跌 | 24.91% | 22.49% | 21.99% |
| 30Δ 看跌 | 25.51% | 22.80% | 21.87% |
| 25Δ 看跌 | 25.97% | 23.53% | 22.49% |
| 20Δ 看跌 | 26.03% | 25.28% | 23.14% |
| 15Δ 看跌 | 27.41% | 24.69% | 25.14% |
| 10Δ 看跌 | 28.93% | 26.07% | — |
| 5Δ 看跌 | 33.10% | 29.55% | — |
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 | $168.52 | 24.67% | 25.97% | 23.09% | +2.88 | -0.14 | 17 |
| 2026-11-20 | 10 | $168.68 | 21.78% | 23.53% | 20.63% | +2.90 | +0.30 | 23 |
| 2026-11-27 | 17 | $168.62 | 21.37% | 22.49% | 19.79% | +2.69 | -0.23 | 23 |
| 2026-12-04 | 24 | $168.67 | 21.26% | 23.10% | 20.09% | +3.01 | +0.33 | 24 |
| 2026-12-11 | 31 | $168.70 | 21.08% | 24.24% | 20.29% | +3.95 | +1.19 | 22 |
| 2026-12-18 | 38 | $168.92 | 20.65% | 23.19% | 19.74% | +3.45 | +0.82 | 36 |
| 2027-01-15 | 66 | $169.07 | 20.11% | 21.93% | 19.13% | +2.80 | +0.41 | 33 |
| 2027-03-19 | 129 | $170.18 | 20.14% | 22.95% | 19.16% | +3.79 | +0.92 | 68 |
| 2027-06-17 | 219 | $171.49 | 20.56% | 22.31% | 19.41% | +2.90 | +0.30 | 67 |
| 2027-09-17 | 311 | $172.92 | 20.78% | 23.47% | 19.58% | +3.89 | +0.74 | 20 |
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
10 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 | $168.52 | 24.67% | $168.57 | 17 |
| 2026-11-20 | 10 天 | $168.68 | 21.78% | $168.79 | 23 |
| 2026-11-27 | 17 天 | $168.62 | 21.37% | $168.80 | 23 |
| 2026-12-04 | 24 天 | $168.67 | 21.26% | $168.93 | 24 |
| 2026-12-11 | 31 天 | $168.70 | 21.08% | $169.02 | 22 |
| 2026-12-18 | 38 天 | $168.92 | 20.65% | $169.30 | 36 |
| 2027-01-15 | 66 天 | $169.07 | 20.11% | $169.69 | 33 |
| 2027-03-19 | 129 天 | $170.18 | 20.14% | $171.40 | 68 |
| 2027-06-17 | 219 天 | $171.49 | 20.56% | $173.68 | 67 |
| 2027-09-17 | 311 天 | $172.92 | 20.78% | $176.13 | 20 |
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
- 21.10%
- 60 天
- 20.19%
- 90 天
- 20.13%
- 180 天
- 20.43%
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。