SVXY цепочка опционов ProShares - Short VIX Short-Term Futures ETF
Каждая строка — один страйк. Левая половина — call, правая — put. Bid/ask — текущие котировки покупателей и продавцов; объём — количество контрактов, заключённых в эту сессию; открытый интерес — действующие контракты. Выделенная строка ближайшая к текущей цене акции.
Данная экспирация закладывает в цену движение примерно ±17.3% (52.35–74.31) · ATM IV 34.3% · P/C открытого интереса 0.47
| CALLS | Strike | PUTS | ||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Бид | Спросить | Объём | OIThe number of option contracts currently outstanding at a strike or expiration. High open interest shows where positions are concentrated. | IV | ΔModel sensitivity of an option's price to a $1 move in the stock; also used as a rough moneyness scale (a 25-delta option is well out of the money). | Γ | Θ | Бид | Спросить | Объём | OI | IV | Δ | Γ | Θ | |
| 26.50 | 31.40 | 66.3% | 0.94 | 0.0042 | -0.005 | 35 | 0 | 1.90 | 4 | 71.6% | -0.05 | 0.0040 | -0.009 | |||
| 21.60 | 26.50 | 4 | 54.6% | 0.92 | 0.0062 | -0.008 | 40 | 0 | 4.90 | 2 | 79.5% | -0.08 | 0.0060 | -0.011 | ||
| 17.10 | 22.00 | 49.6% | 0.88 | 0.0092 | -0.010 | 45 | 0 | 3.60 | 2 | 57.6% | -0.11 | 0.0091 | -0.013 | |||
| 16.10 | 21.00 | 47.1% | 0.87 | 0.0099 | -0.011 | 46 | 0 | 4.90 | 2 | 62.0% | -0.12 | 0.0098 | -0.013 | |||
| 15.50 | 20.40 | 49.4% | 0.86 | 0.0107 | -0.011 | 47 | 0 | 4.90 | 1 | 59.3% | -0.13 | 0.0106 | -0.014 | |||
| 14.50 | 19.40 | 46.8% | 0.85 | 0.0115 | -0.012 | 48 | 0 | 4.90 | 1 | 56.6% | -0.14 | 0.0115 | -0.014 | |||
| 13.60 | 18.50 | 45.4% | 0.84 | 0.0124 | -0.012 | 49 | 0 | 4.90 | 2 | 53.9% | -0.15 | 0.0124 | -0.015 | |||
| 13.00 | 17.90 | 46.9% | 0.82 | 0.0133 | -0.013 | 50 | 0.9500 | 2.25 | 1 | 43.0% | -0.17 | 0.0133 | -0.015 | |||
| 12.00 | 16.90 | 44.2% | 0.81 | 0.0143 | -0.013 | 51 | 0.1000 | 4.90 | 49.2% | -0.18 | 0.0143 | -0.015 | ||||
| 11.10 | 16.00 | 42.5% | 0.80 | 0.0153 | -0.014 | 52 | 0.2000 | 4.90 | 47.0% | -0.19 | 0.0154 | -0.016 | ||||
| 10.50 | 15.40 | 43.4% | 0.78 | 0.0164 | -0.015 | 53 | 0.1000 | 4.90 | 44.0% | -0.21 | 0.0165 | -0.016 | ||||
| 10.00 | 13.70 | 39.9% | 0.76 | 0.0175 | -0.015 | 54 | 1.15 | 4.70 | 44.9% | -0.23 | 0.0177 | -0.017 | ||||
| 10.10 | 12.90 | 42.4% | 0.75 | 0.0187 | -0.015 | 55 | 1.35 | 4.90 | 1 | 9 | 43.8% | -0.24 | 0.0189 | -0.017 | ||
| 9.30 | 11.50 | 2 | 30 | 38.9% | 0.73 | 0.0199 | -0.016 | 56 | 1.55 | 4.40 | 40.0% | -0.26 | 0.0201 | -0.017 | ||
| 7.80 | 11.50 | 38.0% | 0.71 | 0.0211 | -0.016 | 57 | 1.80 | 4.70 | 39.4% | -0.28 | 0.0214 | -0.017 | ||||
| 6.50 | 11.30 | 20 | 37.0% | 0.69 | 0.0223 | -0.017 | 58 | 1.15 | 6.00 | 9 | 38.9% | -0.31 | 0.0227 | -0.018 | ||
| 6.00 | 10.80 | 37.5% | 0.66 | 0.0236 | -0.017 | 59 | 1.15 | 6.00 | 36.1% | -0.33 | 0.0240 | -0.018 | ||||
| 5.00 | 9.80 | 23 | 34.6% | 0.64 | 0.0248 | -0.017 | 60 | 1.65 | 6.50 | 107 | 36.6% | -0.35 | 0.0253 | -0.018 | ||
| 4.50 | 9.30 | 2 | 34.8% | 0.61 | 0.0259 | -0.017 | 61 | 2.05 | 6.90 | 36.2% | -0.38 | 0.0265 | -0.018 | |||
| 5.10 | 8.00 | 68 | 35.8% | 0.59 | 0.0270 | -0.017 | 62 | 2.15 | 6.90 | 10 | 33.5% | -0.41 | 0.0276 | -0.018 | ||
| 3.50 | 8.30 | 34.7% | 0.56 | 0.0280 | -0.017 | 63 | 2.65 | 7.50 | 33.8% | -0.44 | 0.0287 | -0.018 | ||||
| 3.90 | 6.90 | 61 | 34.4% | 0.53 | 0.0288 | -0.017 | 64 | 3.10 | 7.90 | 33.1% | -0.47 | 0.0297 | -0.017 | |||
| 2.15 | 7.00 | 41 | 32.0% | 0.50 | 0.0295 | -0.017 | 65 | 3.50 | 8.30 | 32.1% | -0.50 | 0.0305 | -0.017 | |||
| 1.65 | 6.50 | 37 | 31.3% | 0.47 | 0.0300 | -0.016 | 66 | 4.10 | 8.80 | 31.8% | -0.53 | 0.0311 | -0.017 | |||
| 1.15 | 6.00 | 4 | 30.5% | 0.44 | 0.0303 | -0.016 | 67 | 4.50 | 9.30 | 30.8% | -0.56 | 0.0315 | -0.016 | |||
| 0.6500 | 5.50 | 4 | 29.5% | 0.41 | 0.0303 | -0.016 | 68 | 5.00 | 9.80 | 29.8% | -0.59 | 0.0317 | -0.016 | |||
| 0.5000 | 4.90 | 29.1% | 0.38 | 0.0301 | -0.015 | 69 | 5.50 | 10.30 | 1 | 28.6% | -0.62 | 0.0317 | -0.015 | |||
| 1.15 | 4.70 | 30 | 32.5% | 0.35 | 0.0297 | -0.015 | 70 | 7.00 | 10.10 | 28.1% | -0.66 | 0.0314 | -0.014 | |||
| 0.0500 | 3.40 | 32.2% | 0.22 | 0.0247 | -0.011 | 75 | 10.90 | 13.90 | 1 | 1 | 27.0% | -0.80 | 0.0274 | -0.011 | ||
| 0.0500 | 2.95 | 10 | 37.0% | 0.13 | 0.0179 | -0.008 | 80 | 14.90 | 19.10 | 28.4% | -0.89 | 0.0214 | -0.007 | |||
Отображаемые страйки: в пределах ±50% от цены базового актива. Внутренняя стоимость = max(0, цена − страйк) для call, max(0, страйк − цена) для put; внешняя = цена опциона − внутренняя стоимость. Греки и IV, рассчитанные на основе биржевого фида.
Улыбка волатильности — Mar 19, 2027
Страница волатильности →Подразумеваемая волатильность по страйку для данного срока экспирации. Путы вне денег обычно имеют более высокую IV, чем коллы, — это и есть скос.