指数 · 期权分析
XSP 期权分析
数据截至 2026年11月10日(收盘)
- 标的收盘价
- $752.09
- 30D ATM IV
- 15.34%
- IV 百分位 · 1年
- 第 71
- 25Δ 风险逆转
- +5.80
- 期限斜率 90/30
- 1.000
▲ +0.10 pts 较前一交易日
概览
XSP 期权当前计入的 30 天平值隐含波动率为 15.3%,相当于未来一个月约 ±4.4% 的波动。这高于它过去一年 242 个交易日中 71% 的读数。
它的 25-delta put 比 call 的隐含波动率高 5.80 个波动率点,大致处在它自己过去一年区间的中部。
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ⓘ
- 15.34%
- 25-delta 风险逆转ⓘ
- +5.80
- 25-delta 蝶式价差ⓘ
- +0.76
- 期限结构斜率ⓘ
- 1.000
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 71% 的读数。
距平值同样远时，put 比 call的隐含波动率高 5.80 个点。
高于过去一年中 74% 的读数。
两翼的隐含波动率比平值高 0.76 个点。
90 天与 30 天期权的隐含波动率大致相同。
高于过去一年中 27% 的读数。
30 天隐含波动率处在什么位置
对比此前 242 个交易日(一年窗口)
10.9%41.8%
- IV 百分位,1 年
- 71%
- IV 排名,1 年
- 14%
- IV 百分位,2 年
- 74%
- 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
- $752.09
- 30 天隐含远期价
- $753.18
- 60 天 ATM IV
- 15.16%
- 90 天 ATM IV
- 15.34%
- 180 天 ATM IV
- 15.99%
- 使用的到期日数
- 42
- 总未平仓量
- 901,111
- Put / call 未平仓量比
- 2.59
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 339 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 | 15.34% | +5.80 | 1.000 | $752.09 |
| 2026-11-09 | 15.24% | +5.69 | 1.010 | $754.99 |
| 2026-11-06 | 18.53% | +8.50 | 0.946 | $737.69 |
| 2026-11-05 | 20.32% | +9.49 | 0.893 | $735.37 |
| 2026-11-04 | 13.10% | +4.42 | 1.054 | $768.86 |
| 2026-11-03 | 16.11% | +6.04 | 0.968 | $756.89 |
| 2026-11-02 | 16.44% | +6.56 | 0.964 | $754.14 |
| 2026-10-30 | 15.57% | +6.41 | 0.997 | $758.01 |
| 2026-10-29 | 12.71% | +4.65 | 1.093 | $772.04 |
| 2026-10-28 | 13.07% | +4.39 | 1.073 | $774.40 |
| 2026-10-27 | 13.55% | +4.61 | 1.052 | $772.26 |
| 2026-10-26 | 14.12% | +5.14 | 1.021 | $767.68 |
| 2026-10-23 | 14.92% | +5.94 | 1.001 | $762.37 |
| 2026-10-22 | 15.05% | +5.79 | 0.984 | $766.34 |
| 2026-10-21 | 13.08% | +4.05 | 1.042 | $775.72 |
| 2026-10-20 | 13.20% | +4.59 | 1.038 | $771.26 |
| 2026-10-19 | 13.37% | +5.26 | 1.036 | $769.07 |
| 2026-10-16 | 14.22% | +6.44 | 1.011 | $765.94 |
| 2026-10-15 | 12.45% | +4.23 | 1.072 | $774.41 |
| 2026-10-14 | 13.17% | +4.93 | 1.039 | $771.89 |
| 2026-10-13 | 12.07% | +3.72 | 1.094 | $780.55 |
| 2026-10-09 | 11.74% | +3.28 | 1.122 | $781.15 |
| 2026-10-08 | 12.47% | +3.84 | 1.079 | $776.54 |
| 2026-10-07 | 12.37% | +3.22 | 1.074 | $780.18 |
| 2026-10-06 | 12.22% | +2.82 | 1.087 | $781.89 |
| 2026-10-05 | 12.48% | +3.21 | 1.081 | $777.40 |
| 2026-10-02 | 12.20% | +3.49 | 1.108 | $772.27 |
| 2026-10-01 | 13.20% | +4.05 | 1.049 | $766.65 |
| 2026-09-30 | 13.18% | +3.88 | 1.041 | $765.15 |
| 2026-09-29 | 13.10% | +3.86 | 1.051 | $767.08 |
| 2026-09-28 | 12.68% | +3.76 | 1.079 | $768.37 |
| 2026-09-25 | 11.49% | +3.22 | 1.159 | $774.34 |
| 2026-09-24 | 12.20% | +3.60 | 1.123 | $770.41 |
| 2026-09-23 | 12.08% | +3.72 | 1.129 | $770.60 |
| 2026-09-22 | 11.33% | +2.71 | 1.179 | $776.46 |
| 2026-09-21 | 11.66% | +2.93 | 1.166 | $776.47 |
| 2026-09-18 | 11.58% | +3.92 | 1.173 | $765.05 |
| 2026-09-17 | 12.16% | +4.15 | 1.130 | $763.78 |
| 2026-09-16 | 14.08% | +5.49 | 1.040 | $755.18 |
| 2026-09-15 | 13.37% | +5.16 | 1.066 | $758.57 |
| 2026-09-14 | 13.03% | +5.05 | 1.081 | $762.00 |
| 2026-09-11 | 11.29% | +5.01 | 1.214 | $765.70 |
| 2026-09-10 | 14.00% | +5.46 | 1.048 | $759.17 |
| 2026-09-09 | 13.03% | +4.60 | 1.079 | $763.64 |
| 2026-09-08 | 12.42% | +4.20 | 1.105 | $767.35 |
| 2026-09-04 | 11.40% | +3.57 | 1.160 | $771.86 |
| 2026-09-03 | 11.37% | +3.27 | 1.147 | $774.77 |
| 2026-09-02 | 12.21% | +4.29 | 1.093 | $766.66 |
| 2026-09-01 | 12.77% | +5.03 | 1.068 | $763.15 |
| 2026-08-31 | 11.64% | +3.81 | 1.127 | $768.61 |
| 2026-08-28 | 11.18% | +3.40 | 1.187 | $771.18 |
| 2025-10-22 | 14.51% | +6.33 | 1.013 | $669.94 |
| 2025-10-21 | 13.77% | +5.65 | 1.045 | $673.54 |
| 2025-10-20 | 14.01% | +5.61 | 1.028 | $673.51 |
| 2025-10-17 | 15.73% | +7.10 | 0.998 | $666.40 |
| 2025-10-16 | 19.24% | +9.32 | 0.918 | $662.91 |
| 2025-10-15 | 16.09% | +7.04 | 0.986 | $667.11 |
| 2025-10-14 | 16.02% | +7.04 | 0.991 | $664.43 |
| 2025-10-10 | — | — | — | $655.25 |
| 2025-10-09 | 12.86% | +4.73 | 1.104 | $673.51 |
| 2025-10-08 | — | — | — | $675.37 |
| 2025-10-07 | 13.38% | +5.18 | 1.073 | $671.46 |
| 2025-10-06 | 12.66% | +4.51 | 1.103 | $674.03 |
| 2025-10-03 | 12.68% | +4.96 | 1.094 | $671.58 |
| 2025-10-02 | 12.94% | +4.94 | 1.074 | $671.54 |
| 2025-10-01 | 12.71% | +4.72 | 1.084 | $671.12 |
| 2025-09-30 | 12.72% | +4.87 | 1.086 | $668.85 |
| 2025-09-29 | 12.45% | +4.52 | 1.109 | $666.12 |
| 2025-09-26 | 11.90% | +4.24 | 1.145 | $664.37 |
| 2025-09-25 | 13.12% | +4.75 | 1.090 | $660.47 |
| 2025-09-24 | 12.90% | +4.46 | 1.100 | $663.80 |
| 2025-09-23 | 13.02% | +4.53 | 1.098 | $665.69 |
| 2025-09-22 | 12.37% | +4.28 | 1.124 | $669.38 |
| 2025-09-19 | 11.86% | +4.13 | 1.143 | $666.44 |
| 2025-09-18 | 11.94% | +4.13 | 1.130 | $663.20 |
| 2025-09-17 | 12.21% | +4.32 | 1.100 | $660.04 |
| 2025-09-16 | 12.57% | +4.41 | 1.088 | $660.68 |
| 2025-09-15 | 11.95% | +4.12 | 1.117 | $661.53 |
| 2025-09-12 | 11.06% | +3.90 | 1.176 | $658.43 |
| 2025-09-11 | 11.30% | +3.97 | 1.153 | $658.75 |
| 2025-09-10 | 11.66% | +4.67 | 1.128 | $653.20 |
| 2025-09-09 | 11.43% | +4.75 | 1.140 | $651.26 |
| 2025-09-08 | 11.48% | +4.77 | 1.139 | $649.52 |
| 2025-09-05 | 11.49% | +4.91 | 1.143 | $648.15 |
| 2025-09-04 | 11.52% | +4.84 | 1.130 | $650.21 |
| 2025-09-03 | 12.58% | +5.61 | 1.068 | $644.83 |
| 2025-09-02 | 12.78% | +5.85 | 1.069 | $641.55 |
| 2025-08-29 | 11.57% | +4.84 | 1.147 | $646.03 |
| 2025-08-28 | 10.91% | +4.05 | 1.169 | $650.19 |
| 2025-08-27 | 11.29% | +4.32 | 1.149 | $648.14 |
| 2025-08-26 | 11.06% | +4.23 | 1.161 | $646.59 |
| 2025-08-25 | 11.34% | +4.25 | 1.157 | $643.93 |
| 2025-08-22 | 10.95% | +3.97 | 1.168 | $646.69 |
| 2025-08-21 | 13.24% | +5.36 | 1.063 | $637.02 |
| 2025-08-20 | 12.47% | +4.91 | 1.097 | $639.58 |
| 2025-08-19 | 12.00% | +4.82 | 1.121 | $641.14 |
| 2025-08-18 | 11.46% | +4.22 | 1.147 | $644.92 |
| 2025-08-15 | 11.28% | +4.13 | 1.175 | $644.98 |
| 2025-08-14 | 11.08% | +3.94 | 1.172 | $646.85 |
| 2025-08-13 | 11.16% | +3.81 | 1.162 | $646.66 |
| 2025-08-12 | 11.33% | +3.88 | 1.146 | $644.58 |
| 2025-08-11 | 12.45% | +4.65 | 1.101 | $637.35 |
| 2025-08-08 | 11.48% | +4.22 | 1.142 | $638.94 |
| 2025-08-07 | 12.82% | +4.88 | 1.081 | $634.00 |
| 2025-08-06 | 13.01% | +5.15 | 1.072 | $634.51 |
| 2025-08-05 | 13.88% | +5.73 | 1.044 | $629.92 |
| 2025-08-04 | 12.90% | +5.45 | 1.078 | $632.99 |
| 2025-08-01 | 15.68% | +6.87 | 0.980 | $623.80 |
| 2025-07-31 | — | — | — | $633.94 |
| 2025-07-30 | — | — | — | $636.29 |
| 2025-07-29 | 12.35% | +4.83 | 1.090 | $637.09 |
| 2025-07-28 | 11.47% | +4.00 | 1.138 | $638.98 |
| 2025-07-25 | 11.48% | +3.74 | 1.138 | $638.86 |
| 2025-07-24 | 11.93% | +3.79 | 1.117 | $636.34 |
| 2025-07-23 | 12.17% | +3.86 | 1.106 | $635.89 |
| 2025-07-22 | 12.84% | +4.35 | 1.099 | $630.96 |
| 2025-07-21 | 12.95% | +4.31 | 1.093 | $630.56 |
| 2025-07-18 | 12.82% | +4.21 | 1.109 | $629.68 |
| 2025-07-17 | 13.06% | +4.23 | 1.086 | $629.74 |
| 2025-07-16 | 13.92% | +4.58 | 1.054 | $626.37 |
图表覆盖存档中的全部交易日,共 339 个。表格列出最近的 120 个。
25-delta 风险逆转
最近 339 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
1d (2026-11-11) · 2d (2026-11-12) · 3d (2026-11-13)
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 | 1d | 2d | 3d |
|---|---|---|---|
| 5Δ 看涨 | 13.71% | 13.87% | 13.81% |
| 10Δ 看涨 | 13.89% | 14.15% | 14.17% |
| 15Δ 看涨 | 14.13% | 14.51% | 14.51% |
| 20Δ 看涨 | 14.47% | 14.83% | 14.88% |
| 25Δ 看涨 | 14.79% | 15.14% | 15.22% |
| 30Δ 看涨 | 15.10% | 15.46% | 15.56% |
| 35Δ 看涨 | 15.40% | 15.80% | 15.90% |
| 40Δ 看涨 | 15.69% | 16.07% | 16.23% |
| 45Δ 看涨 | 15.99% | 16.39% | 16.55% |
| ATM | 16.30% | 16.74% | 16.89% |
| 45Δ 看跌 | 16.59% | 17.09% | 17.28% |
| 40Δ 看跌 | 16.85% | 17.42% | 17.63% |
| 35Δ 看跌 | 17.16% | 17.79% | 18.03% |
| 30Δ 看跌 | 17.43% | 18.15% | 18.46% |
| 25Δ 看跌 | 17.76% | 18.55% | 18.97% |
| 20Δ 看跌 | 18.04% | 18.99% | 19.54% |
| 15Δ 看跌 | 18.42% | 19.58% | 20.24% |
| 10Δ 看跌 | 18.86% | 20.41% | 21.24% |
| 5Δ 看跌 | 19.58% | 21.81% | 23.27% |
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 |
|---|---|---|---|---|---|---|---|---|
| 2026-11-11 | 1 | $751.56 | 16.30% | 17.76% | 14.79% | +2.97 | -0.03 | 51 |
| 2026-11-12 | 2 | $751.60 | 16.74% | 18.55% | 15.14% | +3.41 | +0.11 | 103 |
| 2026-11-13 | 3 | $751.75 | 16.89% | 18.97% | 15.22% | +3.74 | +0.20 | 151 |
| 2026-11-16 | 6 | $751.72 | 14.13% | 16.04% | 12.71% | +3.33 | +0.24 | 121 |
| 2026-11-17 | 7 | $751.79 | 14.57% | 16.71% | 12.99% | +3.72 | +0.28 | 114 |
| 2026-11-18 | 8 | $751.86 | 15.53% | 17.94% | 13.78% | +4.16 | +0.33 | 123 |
| 2026-11-19 | 9 | $751.85 | 15.81% | 18.37% | 13.97% | +4.40 | +0.36 | 124 |
| 2026-11-20 | 10 | $752.06 | 16.02% | 18.81% | 14.04% | +4.77 | +0.41 | 238 |
| 2026-11-23 | 13 | $752.14 | 14.96% | 17.72% | 13.04% | +4.69 | +0.42 | 139 |
| 2026-11-24 | 14 | $752.20 | 15.10% | 18.00% | 13.09% | +4.92 | +0.45 | 113 |
| 2026-11-25 | 15 | $752.39 | 15.22% | 18.24% | 13.16% | +5.07 | +0.48 | 115 |
| 2026-11-27 | 17 | $752.67 | 14.76% | 17.75% | 12.73% | +5.03 | +0.48 | 181 |
| 2026-11-30 | 20 | $752.71 | 14.39% | 17.42% | 12.34% | +5.08 | +0.49 | 210 |
| 2026-12-01 | 21 | $752.71 | 14.53% | 17.67% | 12.52% | +5.15 | +0.57 | 95 |
| 2026-12-02 | 22 | $752.78 | 14.65% | 17.91% | 12.61% | +5.30 | +0.61 | 79 |
| 2026-12-03 | 23 | $752.73 | 14.79% | 18.12% | 12.73% | +5.39 | +0.64 | 81 |
| 2026-12-04 | 24 | $752.90 | 15.03% | 18.44% | 12.93% | +5.51 | +0.66 | 158 |
| 2026-12-07 | 27 | $752.92 | 14.69% | 18.06% | 12.64% | +5.41 | +0.66 | 79 |
| 2026-12-08 | 28 | $752.99 | 14.82% | 18.22% | 12.76% | +5.46 | +0.67 | 29 |
| 2026-12-09 | 29 | $753.10 | 15.07% | 18.61% | 12.97% | +5.64 | +0.73 | 28 |
| 2026-12-10 | 30 | $753.18 | 15.34% | 19.00% | 13.20% | +5.80 | +0.76 | 41 |
| 2026-12-11 | 31 | $753.39 | 15.41% | 19.13% | 13.26% | +5.87 | +0.78 | 131 |
| 2026-12-14 | 34 | $753.41 | 15.12% | 18.80% | 13.00% | +5.80 | +0.78 | 33 |
| 2026-12-17 | 37 | $753.58 | 15.37% | 19.16% | 13.20% | +5.96 | +0.81 | 53 |
| 2026-12-18 | 38 | $753.85 | 15.45% | 19.36% | 13.26% | +6.09 | +0.86 | 192 |
| 2026-12-31 | 51 | $755.00 | 15.16% | 19.11% | 12.92% | +6.19 | +0.85 | 222 |
| 2027-01-08 | 59 | $755.90 | 15.15% | 19.10% | 12.93% | +6.17 | +0.87 | 71 |
| 2027-01-15 | 66 | $756.53 | 15.24% | 19.26% | 13.02% | +6.24 | +0.90 | 98 |
| 2027-01-29 | 80 | $757.64 | 15.30% | 19.42% | 13.08% | +6.33 | +0.95 | 174 |
| 2027-02-19 | 101 | $759.20 | 15.37% | 19.60% | 13.11% | +6.49 | +0.98 | 157 |
| 2027-02-26 | 108 | $759.74 | 15.44% | 19.68% | 13.17% | +6.50 | +0.98 | 129 |
| 2027-03-19 | 129 | $761.14 | 15.66% | 20.02% | 13.33% | +6.69 | +1.02 | 165 |
| 2027-03-31 | 141 | $762.04 | 15.63% | 20.01% | 13.30% | +6.71 | +1.03 | 108 |
| 2027-04-16 | 157 | $763.70 | 15.79% | 20.23% | 13.41% | +6.82 | +1.03 | 136 |
| 2027-04-30 | 171 | $765.20 | 15.91% | 20.40% | 13.50% | +6.90 | +1.04 | 63 |
| 2027-05-21 | 192 | $766.72 | 16.08% | 20.60% | 13.61% | +6.99 | +1.02 | 119 |
| 2027-06-17 | 219 | $768.99 | 16.20% | 20.71% | 13.69% | +7.02 | +1.00 | 217 |
| 2027-07-16 | 248 | $771.73 | 16.32% | 20.84% | 13.75% | +7.09 | +0.97 | 104 |
| 2027-08-20 | 283 | $774.97 | 16.48% | 21.01% | 13.94% | +7.07 | +0.99 | 95 |
| 2027-09-17 | 311 | $777.20 | 16.58% | 21.09% | 14.01% | +7.08 | +0.97 | 115 |
| 2027-10-15 | 339 | $779.91 | 16.68% | 21.17% | 14.12% | +7.05 | +0.97 | 103 |
| 2027-11-19 | 374 | $782.99 | 16.78% | 21.25% | 14.24% | +7.00 | +0.96 | 75 |
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
42 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 |
|---|---|---|---|---|---|
| 2026-11-11 | 1 天 | $751.56 | 16.30% | $751.59 | 51 |
| 2026-11-12 | 2 天 | $751.60 | 16.74% | $751.66 | 103 |
| 2026-11-13 | 3 天 | $751.75 | 16.89% | $751.84 | 151 |
| 2026-11-16 | 6 天 | $751.72 | 14.13% | $751.85 | 121 |
| 2026-11-17 | 7 天 | $751.79 | 14.57% | $751.95 | 114 |
| 2026-11-18 | 8 天 | $751.86 | 15.53% | $752.06 | 123 |
| 2026-11-19 | 9 天 | $751.85 | 15.81% | $752.08 | 124 |
| 2026-11-20 | 10 天 | $752.06 | 16.02% | $752.32 | 238 |
| 2026-11-23 | 13 天 | $752.14 | 14.96% | $752.44 | 139 |
| 2026-11-24 | 14 天 | $752.20 | 15.10% | $752.53 | 113 |
| 2026-11-25 | 15 天 | $752.39 | 15.22% | $752.74 | 115 |
| 2026-11-27 | 17 天 | $752.67 | 14.76% | $753.05 | 181 |
| 2026-11-30 | 20 天 | $752.71 | 14.39% | $753.14 | 210 |
| 2026-12-01 | 21 天 | $752.71 | 14.53% | $753.17 | 95 |
| 2026-12-02 | 22 天 | $752.78 | 14.65% | $753.27 | 79 |
| 2026-12-03 | 23 天 | $752.73 | 14.79% | $753.25 | 81 |
| 2026-12-04 | 24 天 | $752.90 | 15.03% | $753.46 | 158 |
| 2026-12-07 | 27 天 | $752.92 | 14.69% | $753.52 | 79 |
| 2026-12-08 | 28 天 | $752.99 | 14.82% | $753.62 | 29 |
| 2026-12-09 | 29 天 | $753.10 | 15.07% | $753.78 | 28 |
| 2026-12-10 | 30 天 | $753.18 | 15.34% | $753.91 | 41 |
| 2026-12-11 | 31 天 | $753.39 | 15.41% | $754.15 | 131 |
| 2026-12-14 | 34 天 | $753.41 | 15.12% | $754.22 | 33 |
| 2026-12-17 | 37 天 | $753.58 | 15.37% | $754.49 | 53 |
| 2026-12-18 | 38 天 | $753.85 | 15.45% | $754.79 | 192 |
| 2026-12-31 | 51 天 | $755.00 | 15.16% | $756.21 | 222 |
| 2027-01-08 | 59 天 | $755.90 | 15.15% | $757.31 | 71 |
| 2027-01-15 | 66 天 | $756.53 | 15.24% | $758.12 | 98 |
| 2027-01-29 | 80 天 | $757.64 | 15.30% | $759.59 | 174 |
| 2027-02-19 | 101 天 | $759.20 | 15.37% | $761.68 | 157 |
| 2027-02-26 | 108 天 | $759.74 | 15.44% | $762.43 | 129 |
| 2027-03-19 | 129 天 | $761.14 | 15.66% | $764.44 | 165 |
| 2027-03-31 | 141 天 | $762.04 | 15.63% | $765.64 | 108 |
| 2027-04-16 | 157 天 | $763.70 | 15.79% | $767.80 | 136 |
| 2027-04-30 | 171 天 | $765.20 | 15.91% | $769.75 | 63 |
| 2027-05-21 | 192 天 | $766.72 | 16.08% | $771.96 | 119 |
| 2027-06-17 | 219 天 | $768.99 | 16.20% | $775.07 | 217 |
| 2027-07-16 | 248 天 | $771.73 | 16.32% | $778.74 | 104 |
| 2027-08-20 | 283 天 | $774.97 | 16.48% | $783.17 | 95 |
| 2027-09-17 | 311 天 | $777.20 | 16.58% | $786.35 | 115 |
| 2027-10-15 | 339 天 | $779.91 | 16.68% | $790.04 | 103 |
| 2027-11-19 | 374 天 | $782.99 | 16.78% | $794.37 | 75 |
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
- 15.34%
- 60 天
- 15.16%
- 90 天
- 15.34%
- 180 天
- 15.99%
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 339 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。