ETF · 期权分析
XLY 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $121.05
- 30D ATM IV
- 23.18%
- IV 百分位 · 1年
- —
- 25Δ 风险逆转
- +3.97
- 期限斜率 90/30
- 0.974
▼ -0.19 pts 较前一交易日
概览
XLY 期权当前计入的 30 天平值隐含波动率为 23.2%,相当于未来一个月约 ±6.6% 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 3.97 个波动率点。
期限结构倒挂:90 天波动率比 30 天低 3%。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ⓘ
- 23.18%
- 25-delta 风险逆转ⓘ
- +3.97
- 25-delta 蝶式价差ⓘ
- +0.51
- 期限结构斜率ⓘ
- 0.974
对应 30 天内约 ±6.6% 的波动，平常一天约 ±1.5%。
距平值同样远时，put 比 call的隐含波动率高 3.97 个点。
两翼的隐含波动率比平值高 0.51 个点。
90 天的隐含波动率比 30 天低 3%。
30 天隐含波动率处在什么位置
对比此前 38 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
- $121.05
- 30 天隐含远期价
- $121.36
- 60 天 ATM IV
- 22.92%
- 90 天 ATM IV
- 22.57%
- 180 天 ATM IV
- 22.74%
- 使用的到期日数
- 6
- 总未平仓量
- 398,668
- Put / call 未平仓量比
- 2.26
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 | 23.18% | +3.97 | 0.974 | $121.05 |
| 2026-11-09 | 23.37% | +3.05 | 0.983 | $121.01 |
| 2026-11-06 | 24.06% | +3.18 | 0.987 | $117.58 |
| 2026-11-05 | 25.81% | +4.76 | 0.908 | $117.64 |
| 2026-11-04 | 21.74% | +4.31 | 1.006 | $122.33 |
| 2026-11-03 | 22.59% | +3.42 | 0.959 | $117.33 |
| 2026-11-02 | 22.75% | +4.16 | 0.964 | $118.16 |
| 2026-10-30 | 21.48% | +3.71 | 1.011 | $115.38 |
| 2026-10-29 | 20.82% | +2.92 | 1.004 | $116.20 |
| 2026-10-28 | 21.40% | +3.29 | 1.034 | $115.33 |
| 2026-10-27 | 21.34% | +2.48 | 0.988 | $115.45 |
| 2026-10-26 | — | — | — | $114.26 |
| 2026-10-23 | 21.80% | +2.63 | 0.995 | $113.10 |
| 2026-10-22 | 22.38% | +3.42 | 0.992 | $115.01 |
| 2026-10-21 | 21.61% | +2.64 | 0.974 | $115.53 |
| 2026-10-20 | 21.93% | +2.54 | 0.956 | $115.50 |
| 2026-10-19 | 21.99% | +2.99 | 0.969 | $114.46 |
| 2026-10-16 | 22.14% | +2.45 | 0.917 | $112.46 |
| 2026-10-15 | 21.43% | +1.49 | 0.879 | $113.41 |
| 2026-10-14 | 20.66% | +3.66 | 0.984 | $111.50 |
| 2026-10-13 | — | — | — | $112.36 |
| 2026-10-09 | 18.52% | +3.25 | 1.044 | $112.85 |
| 2026-10-08 | — | — | — | $111.71 |
| 2026-10-07 | 19.46% | +0.94 | 1.046 | $111.36 |
| 2026-10-06 | 19.26% | +2.58 | 1.070 | $111.72 |
| 2026-10-05 | 20.07% | +1.59 | 1.065 | $110.42 |
| 2026-10-02 | 20.81% | +2.97 | 1.027 | $110.04 |
| 2026-10-01 | — | — | — | $108.81 |
| 2026-09-30 | 20.21% | +2.23 | 1.033 | $108.84 |
| 2026-09-29 | 19.23% | +3.19 | 1.074 | $109.15 |
| 2026-09-28 | 20.12% | +2.63 | 1.054 | $109.00 |
| 2026-09-25 | 20.03% | +2.45 | 1.048 | $110.56 |
| 2026-09-24 | 19.52% | +3.54 | 1.036 | $110.32 |
| 2026-09-23 | 20.10% | +2.27 | 1.038 | $110.65 |
| 2026-09-22 | 18.59% | +3.51 | 1.081 | $112.33 |
| 2026-09-21 | 18.93% | +1.94 | 1.065 | $112.23 |
| 2026-09-18 | 18.66% | +3.22 | 1.071 | $111.03 |
| 2026-09-17 | 18.70% | +2.25 | 1.058 | $111.39 |
| 2026-09-16 | 20.17% | +2.69 | 1.023 | $110.18 |
| 2026-09-15 | — | — | — | $110.88 |
| 2026-09-14 | — | — | — | $112.85 |
| 2026-09-11 | — | — | — | $112.96 |
| 2026-09-10 | — | — | — | $111.96 |
| 2026-09-09 | — | — | — | $112.46 |
| 2026-09-08 | — | — | — | $113.99 |
| 2026-09-04 | — | — | — | $114.91 |
| 2026-09-03 | — | — | — | $116.46 |
| 2026-09-02 | — | — | — | $114.86 |
| 2026-09-01 | — | — | — | $114.59 |
| 2026-08-31 | — | — | — | $116.59 |
| 2026-08-28 | — | — | — | $117.21 |
| 2026-08-27 | — | — | — | $115.88 |
| 2025-10-22 | — | — | — | $237.30 |
| 2025-10-21 | — | — | — | $239.17 |
| 2025-10-20 | — | — | — | $236.28 |
| 2025-10-17 | — | — | — | $234.42 |
| 2025-10-16 | — | — | — | $232.42 |
| 2025-10-15 | — | — | — | $234.69 |
| 2025-10-14 | — | — | — | $234.35 |
| 2025-10-10 | — | — | — | $228.75 |
| 2025-10-09 | — | — | — | $235.22 |
| 2025-10-08 | — | — | — | $236.40 |
| 2025-10-07 | — | — | — | $235.70 |
| 2025-10-06 | — | — | — | $239.90 |
| 2025-10-03 | — | — | — | $237.86 |
| 2025-10-02 | — | — | — | $239.40 |
| 2025-10-01 | — | — | — | $241.14 |
| 2025-09-30 | — | — | — | $239.64 |
| 2025-09-29 | — | — | — | $240.76 |
| 2025-09-26 | — | — | — | $239.71 |
| 2025-09-25 | — | — | — | $236.22 |
| 2025-09-24 | — | — | — | $239.60 |
| 2025-09-23 | — | — | — | $237.92 |
| 2025-09-22 | — | — | — | $240.18 |
| 2025-09-19 | — | — | — | $241.39 |
| 2025-09-18 | — | — | — | $240.48 |
| 2025-09-17 | — | — | — | $241.57 |
| 2025-09-16 | — | — | — | $242.18 |
| 2025-09-15 | — | — | — | $240.70 |
| 2025-09-12 | — | — | — | $238.63 |
| 2025-09-11 | — | — | — | $237.40 |
| 2025-09-10 | — | — | — | $232.87 |
| 2025-09-09 | — | — | — | $235.69 |
| 2025-09-08 | — | — | — | $236.02 |
| 2025-09-05 | — | — | — | $235.11 |
| 2025-09-04 | — | — | — | $235.16 |
| 2025-09-03 | — | — | — | $230.94 |
| 2025-09-02 | — | — | — | $230.01 |
| 2025-08-29 | — | — | — | $231.74 |
| 2025-08-28 | — | — | — | $234.15 |
| 2025-08-27 | — | — | — | $233.75 |
| 2025-08-26 | — | — | — | $233.70 |
| 2025-08-25 | — | — | — | $232.63 |
| 2025-08-22 | — | — | — | $233.10 |
| 2025-08-21 | — | — | — | $226.23 |
| 2025-08-20 | — | — | — | $227.58 |
| 2025-08-19 | — | — | — | $229.85 |
| 2025-08-18 | — | — | — | $229.96 |
| 2025-08-15 | — | — | — | $229.04 |
| 2025-08-14 | — | — | — | $229.59 |
| 2025-08-13 | — | — | — | $229.85 |
| 2025-08-12 | — | — | — | $226.74 |
| 2025-08-11 | — | — | — | $224.36 |
| 2025-08-08 | — | — | — | $223.78 |
| 2025-08-07 | — | — | — | $223.39 |
| 2025-08-06 | — | — | — | $223.46 |
| 2025-08-05 | — | — | — | $218.91 |
| 2025-08-04 | — | — | — | $218.63 |
| 2025-08-01 | — | — | — | $216.09 |
| 2025-07-31 | — | — | — | $221.43 |
| 2025-07-30 | — | — | — | $223.20 |
| 2025-07-29 | — | — | — | $224.62 |
| 2025-07-28 | — | — | — | $226.18 |
| 2025-07-25 | — | — | — | $224.87 |
| 2025-07-24 | — | — | — | $222.80 |
| 2025-07-23 | — | — | — | $226.55 |
| 2025-07-22 | — | — | — | $225.48 |
| 2025-07-21 | — | — | — | $223.22 |
| 2025-07-18 | — | — | — | $222.17 |
| 2025-07-17 | — | — | — | $220.22 |
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
10d (2026-11-20) · 38d (2026-12-18) · 66d (2027-01-15)
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 | 10d | 38d | 66d |
|---|---|---|---|
| 15Δ 看涨 | — | 21.73% | 21.58% |
| 20Δ 看涨 | — | 21.58% | 21.35% |
| 25Δ 看涨 | 23.65% | 21.49% | 21.40% |
| 30Δ 看涨 | 23.55% | 21.57% | 21.72% |
| 35Δ 看涨 | 23.79% | 21.72% | 21.93% |
| 40Δ 看涨 | 24.15% | 21.92% | 22.16% |
| 45Δ 看涨 | 24.43% | 22.49% | 22.57% |
| ATM | 24.52% | 23.03% | 22.91% |
| 45Δ 看跌 | 24.68% | 23.35% | 23.14% |
| 40Δ 看跌 | 25.02% | 24.41% | 23.64% |
| 35Δ 看跌 | 26.56% | 24.77% | 24.01% |
| 30Δ 看跌 | 26.66% | 24.98% | 23.95% |
| 25Δ 看跌 | 27.19% | 25.51% | 25.18% |
| 20Δ 看跌 | 29.15% | 26.77% | 26.42% |
| 15Δ 看跌 | — | 27.94% | 27.75% |
| 10Δ 看跌 | — | 30.36% | 29.47% |
| 5Δ 看跌 | — | — | 35.92% |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-20 | 10 | $121.13 | 24.52% | 27.19% | 23.65% | +3.54 | +0.90 | 16 |
| 2026-12-18 | 38 | $121.45 | 23.03% | 25.51% | 21.49% | +4.03 | +0.47 | 22 |
| 2027-01-15 | 66 | $121.29 | 22.91% | 25.18% | 21.40% | +3.79 | +0.38 | 16 |
| 2027-03-19 | 129 | $122.30 | 22.29% | 25.06% | 21.77% | +3.29 | +1.13 | 35 |
| 2027-06-17 | 219 | $123.15 | 22.94% | 25.36% | 21.86% | +3.50 | +0.67 | 36 |
| 2027-09-17 | 311 | $124.36 | 24.02% | 25.37% | 21.92% | +3.45 | -0.37 | 14 |
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
6 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 |
|---|---|---|---|---|---|
| 2026-11-20 | 10 天 | $121.13 | 24.52% | $121.22 | 16 |
| 2026-12-18 | 38 天 | $121.45 | 23.03% | $121.79 | 22 |
| 2027-01-15 | 66 天 | $121.29 | 22.91% | $121.87 | 16 |
| 2027-03-19 | 129 天 | $122.30 | 22.29% | $123.38 | 35 |
| 2027-06-17 | 219 天 | $123.15 | 22.94% | $125.11 | 36 |
| 2027-09-17 | 311 天 | $124.36 | 24.02% | $127.46 | 14 |
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
- 23.18%
- 60 天
- 22.92%
- 90 天
- 22.57%
- 180 天
- 22.74%
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。