ETF · 期权分析
XLV 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $188.88
- 30D ATM IV
- 20.32%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +0.90
- 期限斜率 90/30
- 0.942
▼ -0.81 pts 较前一交易日
概览
XLV 期权当前计入的 30 天平值隐含波动率为 20.3%,相当于未来一个月约 ±5.8% 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 0.90 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ⓘ
- 20.32%
- 25-delta 风险逆转ⓘ
- +0.90
- 25-delta 蝶式价差ⓘ
- -0.21
- 期限结构斜率ⓘ
- 0.942
对应 30 天内约 ±5.8% 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 0.90 个点。
两翼的隐含波动率比平值低 0.21 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 45 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
- $188.88
- 30 天隐含远期价
- $189.03
- 60 天 ATM IV
- 19.34%
- 90 天 ATM IV
- 19.13%
- 180 天 ATM IV
- 19.38%
- 使用的到期日数
- 9
- 总未平仓量
- 400,684
- Put / call 未平仓量比
- 0.69
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 | 20.32% | +0.90 | 0.942 | $188.88 |
| 2026-11-09 | 21.13% | +1.10 | 0.930 | $188.33 |
| 2026-11-06 | 21.99% | +1.72 | 0.960 | $184.80 |
| 2026-11-05 | 22.49% | +1.55 | 0.920 | $184.91 |
| 2026-11-04 | 19.65% | +1.75 | 0.983 | $189.66 |
| 2026-11-03 | 21.16% | +0.87 | 0.915 | $184.02 |
| 2026-11-02 | 21.66% | +1.43 | 0.932 | $184.60 |
| 2026-10-30 | 20.92% | +1.08 | 0.947 | $184.87 |
| 2026-10-29 | 19.33% | +1.50 | 1.006 | $184.04 |
| 2026-10-28 | 19.56% | +0.66 | — | $179.72 |
| 2026-10-27 | 19.29% | +1.54 | 0.979 | $179.18 |
| 2026-10-26 | 19.87% | +1.55 | 0.950 | $179.28 |
| 2026-10-23 | 19.73% | +0.97 | 0.978 | $179.28 |
| 2026-10-22 | 19.43% | +1.54 | 1.010 | $181.30 |
| 2026-10-21 | 19.15% | +1.64 | 0.963 | $178.94 |
| 2026-10-20 | 19.14% | +1.05 | 0.966 | $179.82 |
| 2026-10-19 | 18.42% | +0.97 | 0.988 | $175.65 |
| 2026-10-16 | 18.15% | +1.65 | 0.998 | $176.71 |
| 2026-10-15 | 18.88% | +0.98 | 0.965 | $177.19 |
| 2026-10-14 | 19.14% | +1.60 | 0.951 | $173.96 |
| 2026-10-13 | 18.70% | +0.87 | 0.949 | $169.66 |
| 2026-10-09 | 18.28% | +1.90 | 0.976 | $170.81 |
| 2026-10-08 | 18.42% | +2.53 | 0.978 | $168.16 |
| 2026-10-07 | 17.43% | -0.16 | 0.998 | $168.81 |
| 2026-10-06 | 16.99% | +1.34 | 1.012 | $167.09 |
| 2026-10-05 | 16.40% | +0.69 | 1.066 | $167.37 |
| 2026-10-02 | 17.36% | +0.54 | 0.997 | $166.18 |
| 2026-10-01 | 17.03% | +2.71 | 1.011 | $166.20 |
| 2026-09-30 | 17.35% | +2.43 | 0.979 | $168.42 |
| 2026-09-29 | 17.12% | +1.04 | 1.007 | $170.73 |
| 2026-09-28 | 17.13% | +1.12 | 1.012 | $171.26 |
| 2026-09-25 | 17.02% | +0.56 | 1.017 | $170.70 |
| 2026-09-24 | 16.59% | +1.99 | 1.031 | $169.87 |
| 2026-09-23 | 16.33% | +0.84 | 1.053 | $168.80 |
| 2026-09-22 | 16.22% | +0.88 | 1.054 | $169.89 |
| 2026-09-21 | 15.66% | +1.00 | 1.066 | $169.01 |
| 2026-09-18 | 15.66% | +1.40 | 1.064 | $168.39 |
| 2026-09-17 | 15.84% | +1.13 | 1.062 | $168.81 |
| 2026-09-16 | 16.39% | +1.27 | 1.040 | $167.77 |
| 2026-09-15 | — | — | — | $167.66 |
| 2026-09-14 | — | — | — | $167.75 |
| 2026-09-11 | — | — | — | $165.36 |
| 2026-09-10 | — | — | — | $165.66 |
| 2026-09-09 | — | — | — | $166.58 |
| 2026-09-08 | — | — | — | $167.13 |
| 2026-09-04 | — | — | — | $171.45 |
| 2026-09-03 | — | — | — | $173.26 |
| 2026-09-02 | — | — | — | $172.95 |
| 2026-09-01 | — | — | — | $171.67 |
| 2026-08-31 | — | — | — | $170.54 |
| 2026-08-28 | — | — | — | $171.16 |
| 2026-08-27 | — | — | — | $171.58 |
| 2025-10-22 | — | — | — | $145.96 |
| 2025-10-21 | — | — | — | $145.13 |
| 2025-10-20 | — | — | — | $144.79 |
| 2025-10-17 | — | — | — | $143.27 |
| 2025-10-16 | — | — | — | $142.32 |
| 2025-10-15 | — | — | — | $142.56 |
| 2025-10-14 | — | — | — | $142.34 |
| 2025-10-10 | — | — | — | $142.11 |
| 2025-10-09 | — | — | — | $144.19 |
| 2025-10-08 | — | — | — | $144.51 |
| 2025-10-07 | — | — | — | $144.23 |
| 2025-10-06 | — | — | — | $144.12 |
| 2025-10-03 | — | — | — | $144.82 |
| 2025-10-02 | — | — | — | $143.19 |
| 2025-10-01 | — | — | — | $143.47 |
| 2025-09-30 | — | — | — | $139.17 |
| 2025-09-29 | — | — | — | $135.90 |
| 2025-09-26 | — | — | — | $135.50 |
| 2025-09-25 | — | — | — | $134.13 |
| 2025-09-24 | — | — | — | $136.39 |
| 2025-09-23 | — | — | — | $136.94 |
| 2025-09-22 | — | — | — | $136.63 |
| 2025-09-19 | — | — | — | $137.29 |
| 2025-09-18 | — | — | — | $137.47 |
| 2025-09-17 | — | — | — | $137.20 |
| 2025-09-16 | 15.24% | +2.55 | 0.910 | $136.93 |
| 2025-09-15 | — | — | — | $136.93 |
| 2025-09-12 | — | — | — | $138.11 |
| 2025-09-11 | — | — | — | $139.72 |
| 2025-09-10 | — | — | — | $137.33 |
| 2025-09-09 | — | — | — | $138.59 |
| 2025-09-08 | — | — | — | $137.85 |
| 2025-09-05 | — | — | — | $137.90 |
| 2025-09-04 | — | — | — | $137.43 |
| 2025-09-03 | — | — | — | $136.91 |
| 2025-09-02 | — | — | — | $137.56 |
| 2025-08-29 | — | — | — | $137.43 |
| 2025-08-28 | — | — | — | $136.43 |
| 2025-08-27 | — | — | — | $136.97 |
| 2025-08-26 | — | — | — | $137.05 |
| 2025-08-25 | — | — | — | $136.20 |
| 2025-08-22 | — | — | — | $138.17 |
| 2025-08-21 | — | — | — | $137.04 |
| 2025-08-20 | — | — | — | $137.50 |
| 2025-08-19 | — | — | — | $136.76 |
| 2025-08-18 | — | — | — | $135.89 |
| 2025-08-15 | 12.95% | +1.93 | 1.145 | $136.21 |
| 2025-08-14 | — | — | — | $133.96 |
| 2025-08-13 | — | — | — | $133.29 |
| 2025-08-12 | — | — | — | $131.19 |
| 2025-08-11 | — | — | — | $130.29 |
| 2025-08-08 | — | — | — | $130.16 |
| 2025-08-07 | — | — | — | $129.01 |
| 2025-08-06 | 17.32% | +1.14 | 1.106 | $130.51 |
| 2025-08-05 | — | — | — | $132.50 |
| 2025-08-04 | — | — | — | $133.01 |
| 2025-08-01 | — | — | — | $131.13 |
| 2025-07-31 | — | — | — | $130.43 |
| 2025-07-30 | — | — | — | $134.19 |
| 2025-07-29 | — | — | — | $134.43 |
| 2025-07-28 | — | — | — | $135.29 |
| 2025-07-25 | — | — | — | $136.48 |
| 2025-07-24 | — | — | — | $135.76 |
| 2025-07-23 | — | — | — | $136.27 |
| 2025-07-22 | — | — | — | $133.53 |
| 2025-07-21 | — | — | — | $131.09 |
| 2025-07-18 | — | — | — | $131.84 |
| 2025-07-17 | — | — | — | $132.72 |
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 | 22.37% | — | — |
| 10Δ 看涨 | 22.18% | 21.74% | — |
| 15Δ 看涨 | 22.15% | 21.03% | — |
| 20Δ 看涨 | 22.42% | 20.82% | — |
| 25Δ 看涨 | 22.64% | 21.11% | 19.23% |
| 30Δ 看涨 | 22.26% | 21.00% | 19.02% |
| 35Δ 看涨 | 22.35% | 20.72% | 19.48% |
| 40Δ 看涨 | 22.53% | 20.80% | 19.46% |
| 45Δ 看涨 | 22.77% | 21.33% | 19.60% |
| ATM | 22.94% | 21.55% | 20.31% |
| 45Δ 看跌 | 22.91% | 21.71% | 21.12% |
| 40Δ 看跌 | 22.88% | 21.92% | 21.03% |
| 35Δ 看跌 | 23.04% | 22.14% | 20.32% |
| 30Δ 看跌 | 23.49% | 22.34% | 21.56% |
| 25Δ 看跌 | 24.56% | 22.95% | 21.82% |
| 20Δ 看跌 | 25.08% | 23.19% | 22.41% |
| 15Δ 看跌 | 25.63% | 23.80% | — |
| 10Δ 看跌 | 26.68% | 24.05% | — |
| 5Δ 看跌 | 29.12% | 24.94% | — |
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 | $188.97 | 22.94% | 24.56% | 22.64% | +1.92 | +0.66 | 14 |
| 2026-11-20 | 10 | $189.00 | 21.55% | 22.95% | 21.11% | +1.84 | +0.48 | 21 |
| 2026-11-27 | 17 | $189.13 | 20.31% | 21.82% | 19.23% | +2.59 | +0.21 | 14 |
| 2026-12-04 | 24 | $189.07 | 20.17% | 21.22% | 19.57% | +1.65 | +0.23 | 17 |
| 2026-12-11 | 31 | $189.03 | 20.34% | 20.47% | 19.67% | +0.81 | -0.27 | 20 |
| 2026-12-18 | 38 | $189.30 | 20.44% | 20.91% | 19.43% | +1.48 | -0.26 | 10 |
| 2027-01-15 | 66 | $189.55 | 19.16% | 19.80% | 18.70% | +1.10 | +0.09 | 10 |
| 2027-03-19 | 129 | $190.81 | 19.12% | 20.21% | 18.63% | +1.58 | +0.31 | 18 |
| 2027-06-17 | 219 | $192.28 | 19.50% | 20.38% | 19.03% | +1.35 | +0.21 | 32 |
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
9 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 | $188.97 | 22.94% | $189.02 | 14 |
| 2026-11-20 | 10 天 | $189.00 | 21.55% | $189.12 | 21 |
| 2026-11-27 | 17 天 | $189.13 | 20.31% | $189.31 | 14 |
| 2026-12-04 | 24 天 | $189.07 | 20.17% | $189.33 | 17 |
| 2026-12-11 | 31 天 | $189.03 | 20.34% | $189.36 | 20 |
| 2026-12-18 | 38 天 | $189.30 | 20.44% | $189.71 | 10 |
| 2027-01-15 | 66 天 | $189.55 | 19.16% | $190.18 | 10 |
| 2027-03-19 | 129 天 | $190.81 | 19.12% | $192.05 | 18 |
| 2027-06-17 | 219 天 | $192.28 | 19.50% | $194.49 | 32 |
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
- 20.32%
- 60 天
- 19.34%
- 90 天
- 19.13%
- 180 天
- 19.38%
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。