ETF · 期权分析
XLK 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $168.91
- 30D ATM IV
- 32.06%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +9.04
- 期限斜率 90/30
- 0.939
▲ +0.66 pts 较前一交易日
概览
XLK 期权当前计入的 30 天平值隐含波动率为 32.1%,相当于未来一个月约 ±9.2% 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 9.04 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 6%。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ⓘ
- 32.06%
- 25-delta 风险逆转ⓘ
- +9.04
- 25-delta 蝶式价差ⓘ
- +1.15
- 期限结构斜率ⓘ
- 0.939
对应 30 天内约 ±9.2% 的波动，平常一天约 ±2.0%。
距平值同样远时，put 比 call的隐含波动率高 9.04 个点。
两翼的隐含波动率比平值高 1.15 个点。
90 天的隐含波动率比 30 天低 6%。
30 天隐含波动率处在什么位置
对比此前 95 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
- $168.91
- 30 天隐含远期价
- $168.92
- 60 天 ATM IV
- 30.55%
- 90 天 ATM IV
- 30.10%
- 180 天 ATM IV
- 29.30%
- 使用的到期日数
- 12
- 总未平仓量
- 508,550
- Put / call 未平仓量比
- 1.65
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 | 32.06% | +9.04 | 0.939 | $168.91 |
| 2026-11-09 | 31.40% | +9.98 | 0.961 | $170.88 |
| 2026-11-06 | 34.80% | +8.28 | 0.922 | $164.74 |
| 2026-11-05 | 38.97% | +7.08 | 0.830 | $162.38 |
| 2026-11-04 | 26.33% | +6.69 | 1.038 | $176.50 |
| 2026-11-03 | 32.10% | +7.43 | 0.950 | $176.51 |
| 2026-11-02 | 32.13% | +4.82 | 0.924 | $174.22 |
| 2026-10-30 | 33.90% | +6.89 | 0.922 | $179.51 |
| 2026-10-29 | 25.66% | +5.96 | 1.031 | $188.74 |
| 2026-10-28 | 25.37% | +6.88 | 1.036 | $191.00 |
| 2026-10-27 | 26.93% | +6.75 | 1.012 | $189.49 |
| 2026-10-26 | 27.90% | +6.58 | 0.973 | $186.32 |
| 2026-10-23 | 29.69% | +6.85 | 0.961 | $183.23 |
| 2026-10-22 | 30.48% | +6.60 | 0.950 | $182.34 |
| 2026-10-21 | 26.36% | +6.44 | 0.981 | $188.54 |
| 2026-10-20 | 26.15% | +6.05 | 1.024 | $185.44 |
| 2026-10-19 | 25.93% | +7.66 | 1.015 | $185.96 |
| 2026-10-16 | 28.03% | +6.57 | 0.946 | $183.47 |
| 2026-10-15 | 25.04% | +6.35 | 1.005 | $189.19 |
| 2026-10-14 | 27.47% | +6.42 | 0.964 | $190.43 |
| 2026-10-13 | 23.87% | +5.11 | 1.055 | $196.28 |
| 2026-10-09 | 23.89% | +4.83 | 1.026 | $198.78 |
| 2026-10-08 | 24.16% | +3.66 | 1.031 | $197.78 |
| 2026-10-07 | 23.66% | +3.58 | 1.069 | $201.39 |
| 2026-10-06 | 24.26% | +3.11 | 1.050 | $202.00 |
| 2026-10-05 | 24.90% | +5.01 | 1.047 | $200.93 |
| 2026-10-02 | 24.35% | +5.18 | 1.043 | $199.81 |
| 2026-10-01 | 25.25% | +6.88 | 1.006 | $197.81 |
| 2026-09-30 | 24.45% | +4.21 | 1.067 | $195.75 |
| 2026-09-29 | 24.40% | +3.05 | 1.058 | $194.50 |
| 2026-09-28 | 24.83% | +4.25 | 1.013 | $194.53 |
| 2026-09-25 | 23.43% | +4.35 | 1.090 | $196.27 |
| 2026-09-24 | 24.40% | +4.68 | 1.023 | $194.71 |
| 2026-09-23 | 23.68% | +3.99 | 1.074 | $195.34 |
| 2026-09-22 | 23.42% | +3.30 | 1.048 | $196.27 |
| 2026-09-21 | 22.72% | +4.57 | 1.075 | $194.85 |
| 2026-09-18 | 21.61% | +4.08 | 1.112 | $189.60 |
| 2026-09-17 | 21.39% | +4.35 | 1.150 | $188.06 |
| 2026-09-16 | 22.12% | +8.23 | 1.154 | $183.93 |
| 2026-09-15 | 23.57% | +6.64 | 1.148 | $183.74 |
| 2026-09-14 | 24.82% | +4.15 | 1.082 | $184.28 |
| 2026-09-11 | 22.40% | +5.46 | 1.161 | $187.67 |
| 2026-09-10 | 25.53% | +2.32 | 1.038 | $185.22 |
| 2026-09-09 | 21.98% | +5.91 | 1.158 | $187.87 |
| 2026-09-08 | 24.83% | +4.21 | 1.057 | $187.87 |
| 2026-09-04 | 22.30% | +4.69 | 1.133 | $187.28 |
| 2026-09-03 | 22.63% | +5.76 | 1.111 | $185.97 |
| 2026-09-02 | 23.59% | +7.70 | 1.081 | $183.60 |
| 2026-09-01 | — | — | — | $183.64 |
| 2026-08-31 | 24.00% | +4.22 | 1.045 | $186.50 |
| 2026-08-28 | 23.22% | +4.81 | 1.080 | $185.69 |
| 2026-08-27 | 24.26% | +4.63 | 1.097 | $188.61 |
| 2025-10-22 | — | — | — | $285.49 |
| 2025-10-21 | — | — | — | $288.34 |
| 2025-10-20 | — | — | — | $288.19 |
| 2025-10-17 | — | — | — | $285.01 |
| 2025-10-16 | — | — | — | $284.51 |
| 2025-10-15 | — | — | — | $284.30 |
| 2025-10-14 | — | — | — | $281.51 |
| 2025-10-10 | — | — | — | $278.39 |
| 2025-10-09 | — | — | — | $290.20 |
| 2025-10-08 | 21.04% | +5.13 | 1.056 | $290.69 |
| 2025-10-07 | — | — | — | $285.68 |
| 2025-10-06 | — | — | — | $287.60 |
| 2025-10-03 | — | — | — | $284.72 |
| 2025-10-02 | — | — | — | $286.16 |
| 2025-10-01 | — | — | — | $284.62 |
| 2025-09-30 | — | — | — | $281.86 |
| 2025-09-29 | — | — | — | $280.33 |
| 2025-09-26 | — | — | — | $278.84 |
| 2025-09-25 | — | — | — | $278.00 |
| 2025-09-24 | — | — | — | $278.49 |
| 2025-09-23 | — | — | — | $280.22 |
| 2025-09-22 | — | — | — | $282.66 |
| 2025-09-19 | — | — | — | $278.92 |
| 2025-09-18 | — | — | — | $276.12 |
| 2025-09-17 | — | — | — | $271.43 |
| 2025-09-16 | 18.76% | +3.54 | 1.080 | $272.37 |
| 2025-09-15 | 18.68% | +5.39 | 1.080 | $273.32 |
| 2025-09-12 | 19.01% | +4.11 | 1.041 | $270.88 |
| 2025-09-11 | — | — | — | $271.06 |
| 2025-09-10 | — | — | — | $270.15 |
| 2025-09-09 | — | — | — | $265.34 |
| 2025-09-08 | — | — | — | $264.83 |
| 2025-09-05 | — | — | — | $262.86 |
| 2025-09-04 | 18.30% | +7.35 | 1.081 | $262.64 |
| 2025-09-03 | — | — | — | $261.35 |
| 2025-09-02 | — | — | — | $259.80 |
| 2025-08-29 | — | — | — | $262.45 |
| 2025-08-28 | 17.69% | +3.14 | 1.044 | $266.54 |
| 2025-08-27 | — | — | — | $264.45 |
| 2025-08-26 | — | — | — | $263.03 |
| 2025-08-25 | — | — | — | $261.83 |
| 2025-08-22 | — | — | — | $262.42 |
| 2025-08-21 | — | — | — | $258.91 |
| 2025-08-20 | — | — | — | $259.85 |
| 2025-08-19 | — | — | — | $261.62 |
| 2025-08-18 | — | — | — | $266.27 |
| 2025-08-15 | — | — | — | $265.70 |
| 2025-08-14 | — | — | — | $267.73 |
| 2025-08-13 | — | — | — | $268.31 |
| 2025-08-12 | — | — | — | $268.21 |
| 2025-08-11 | — | — | — | $264.12 |
| 2025-08-08 | — | — | — | $265.92 |
| 2025-08-07 | — | — | — | $263.29 |
| 2025-08-06 | — | — | — | $263.05 |
| 2025-08-05 | — | — | — | $260.12 |
| 2025-08-04 | — | — | — | $262.29 |
| 2025-08-01 | — | — | — | $257.07 |
| 2025-07-31 | — | — | — | $262.74 |
| 2025-07-30 | — | — | — | $264.68 |
| 2025-07-29 | — | — | — | $264.09 |
| 2025-07-28 | — | — | — | $264.08 |
| 2025-07-25 | — | — | — | $261.99 |
| 2025-07-24 | 18.11% | +4.19 | 1.071 | $261.39 |
| 2025-07-23 | — | — | — | $260.29 |
| 2025-07-22 | — | — | — | $258.81 |
| 2025-07-21 | — | — | — | $261.23 |
| 2025-07-18 | 19.25% | +2.33 | 1.033 | $260.89 |
| 2025-07-17 | — | — | — | $261.06 |
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 | 32.60% | 29.81% | 28.86% |
| 10Δ 看涨 | 32.61% | 31.08% | 28.86% |
| 15Δ 看涨 | 32.41% | 31.75% | 28.86% |
| 20Δ 看涨 | 33.15% | 31.88% | 29.26% |
| 25Δ 看涨 | 33.54% | 32.67% | 29.71% |
| 30Δ 看涨 | 33.58% | 33.09% | 30.71% |
| 35Δ 看涨 | 34.07% | 33.44% | 31.17% |
| 40Δ 看涨 | 35.07% | 34.40% | 31.79% |
| 45Δ 看涨 | 35.98% | 35.16% | 32.06% |
| ATM | 36.95% | 35.55% | 32.48% |
| 45Δ 看跌 | 37.89% | 38.04% | 34.83% |
| 40Δ 看跌 | 38.75% | 38.76% | 34.04% |
| 35Δ 看跌 | 39.95% | 37.97% | 34.85% |
| 30Δ 看跌 | 40.20% | 38.22% | 37.95% |
| 25Δ 看跌 | 42.14% | 39.63% | 37.76% |
| 20Δ 看跌 | 43.61% | 41.71% | 40.12% |
| 15Δ 看跌 | 46.32% | 42.58% | 42.58% |
| 10Δ 看跌 | 46.73% | 46.79% | 43.54% |
| 5Δ 看跌 | 48.06% | — | — |
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 | $168.67 | 36.95% | 42.14% | 33.54% | +8.60 | +0.89 | 20 |
| 2026-11-20 | 10 | $168.77 | 35.55% | 39.63% | 32.67% | +6.95 | +0.60 | 38 |
| 2026-11-27 | 17 | $168.67 | 32.48% | 37.76% | 29.71% | +8.05 | +1.25 | 31 |
| 2026-12-04 | 24 | $168.60 | 31.55% | 37.16% | 29.00% | +8.16 | +1.53 | 23 |
| 2026-12-11 | 31 | $168.97 | 32.12% | 37.81% | 28.65% | +9.16 | +1.11 | 27 |
| 2026-12-18 | 38 | $169.25 | 31.22% | 36.24% | 28.18% | +8.05 | +0.99 | 34 |
| 2026-12-24 | 44 | $169.10 | 31.91% | 37.45% | 28.88% | +8.57 | +1.25 | 29 |
| 2027-01-15 | 66 | $169.60 | 30.20% | 34.98% | 26.94% | +8.04 | +0.76 | 33 |
| 2027-03-19 | 129 | $170.79 | 30.02% | 33.39% | 27.54% | +5.85 | +0.44 | 43 |
| 2027-04-16 | 157 | $170.71 | 29.59% | 32.61% | 27.29% | +5.32 | +0.36 | 18 |
| 2027-06-17 | 219 | $172.73 | 28.95% | 33.36% | 27.21% | +6.15 | +1.34 | 51 |
| 2027-09-17 | 311 | $173.83 | 29.50% | 32.70% | 27.63% | +5.07 | +0.66 | 28 |
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
12 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 | $168.67 | 36.95% | $168.77 | 20 |
| 2026-11-20 | 10 天 | $168.77 | 35.55% | $169.07 | 38 |
| 2026-11-27 | 17 天 | $168.67 | 32.48% | $169.09 | 31 |
| 2026-12-04 | 24 天 | $168.60 | 31.55% | $169.15 | 23 |
| 2026-12-11 | 31 天 | $168.97 | 32.12% | $169.71 | 27 |
| 2026-12-18 | 38 天 | $169.25 | 31.22% | $170.11 | 34 |
| 2026-12-24 | 44 天 | $169.10 | 31.91% | $170.14 | 29 |
| 2027-01-15 | 66 天 | $169.60 | 30.20% | $171.00 | 33 |
| 2027-03-19 | 129 天 | $170.79 | 30.02% | $173.53 | 43 |
| 2027-04-16 | 157 天 | $170.71 | 29.59% | $173.96 | 18 |
| 2027-06-17 | 219 天 | $172.73 | 28.95% | $177.13 | 51 |
| 2027-09-17 | 311 天 | $173.83 | 29.50% | $180.40 | 28 |
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
- 32.06%
- 60 天
- 30.55%
- 90 天
- 30.10%
- 180 天
- 29.30%
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。