Подразумеваемая волатильность — это заложенное рынком ожидание движения цены; реализованная волатильность — это то, что произошло на самом деле. Этот дашборд ранжирует охваченную вселенную по обоим показателям, а также по разрыву между ними. Что такое IV? · Методология
VIX (индекс волатильности Cboe): 15.20 · Cboe delayed options data · по состоянию на 00:41 UTC
Наибольший IV30
| Инструмент | IV30 | HV20 | Подразумеваемое движение | |
|---|---|---|---|---|
 SOXL Direxion Daily Semiconduc… |
106.6% | 96.4% | ±30.6% | |
 SOXS Direxion Daily Semiconduc… |
103.7% | 93.5% | ±29.7% | |
 LCID Lucid Group, Inc. |
89.1% | 62.5% | ±25.5% | |
 CLSK CleanSpark, Inc. |
82.8% | 82.8% | ±23.7% | |
 MARA Marathon Digital Holdings, Inc. |
81.7% | 96.8% | ±23.4% | |
 AI C3.ai, Inc. |
80.1% | 48.6% | ±23.0% | |
 UVXY ProShares - Ultra VIX Sho… |
77.6% | 39.2% | ±22.3% | |
 MRNA Moderna, Inc. |
77.0% | 385.3% | ±22.1% | |
 RIOT Riot Platforms, Inc. |
76.8% | 77.6% | ±22.0% | |
 VIX Cboe Volatility Index |
76.5% | 77.0% | ±21.9% | |
 SMR NuScale Power Corporation |
75.7% | 76.5% | ±21.7% | |
 AMC AMC Entertainment Holding… |
75.0% | 58.3% | ±21.5% | |
 RUN Sunrun Inc. |
72.9% | 73.0% | ±20.9% | |
 RGTI Rigetti Computing, Inc. |
72.4% | 77.9% | ±20.8% | |
 ZS Zscaler, Inc. |
71.8% | 62.0% | ±20.6% | |
 IONQ IonQ, Inc. |
71.0% | 82.5% | ±20.3% | |
 DOCU DocuSign, Inc. |
71.0% | 57.8% | ±20.3% | |
 PLUG Plug Power Inc. |
70.4% | 57.2% | ±20.2% | |
 OKLO Oklo Inc. |
69.2% | 93.8% | ±19.8% | |
 SMCI Super Micro Computer, Inc. |
67.9% | 83.3% | ±19.5% |
Наименьший IV30
| Инструмент | IV30 | HV20 | Подразумеваемое движение | |
|---|---|---|---|---|
 HYG iShares iBoxx $ High Yiel… |
4.4% | 3.9% | ±1.3% | |
 IEF iShares 7-10 Year Treasur… |
5.4% | 5.3% | ±1.5% | |
 LQD iShares iBoxx $ Investmen… |
5.6% | 6.4% | ±1.6% | |
 TLT iShares 20+ Year Treasury… |
10.6% | 10.8% | ±3.0% | |
 DIA State Street SPDR Dow Jon… |
11.7% | 8.1% | ±3.4% | |
 SPY State Street SPDR S&P 500 ETF |
12.1% | 7.4% | ±3.5% | |
 SPX S&P 500 Index |
12.4% | 7.6% | ±3.6% | |
 EFA iShares MSCI EAFE ETF |
13.2% | 8.8% | ±3.8% | |
 XLU State Street Utilities Se… |
13.6% | 14.0% | ±3.9% | |
 XLP State Street Consumer Sta… |
14.3% | 14.6% | ±4.1% | |
 O Realty Income Corporation |
14.9% | 11.2% | ±4.3% | |
 XLF State Street Financial Se… |
15.0% | 10.4% | ±4.3% | |
 XLV State Street Health Care … |
15.9% | 18.5% | ±4.6% | |
 KO The Coca-Cola Company |
17.3% | 15.1% | ±5.0% | |
 ET Energy Transfer LP |
17.4% | 19.8% | ±5.0% | |
 IWM iShares Russell 2000 ETF |
17.4% | 12.8% | ±5.0% | |
 RUT Russell 2000 Index |
17.5% | 13.1% | ±5.0% | |
 PG The Procter & Gamble Company |
17.5% | 13.0% | ±5.0% | |
 QQQ Invesco QQQ Trust, Series 1 |
17.9% | 12.9% | ±5.1% | |
 XLI State Street Industrial S… |
17.9% | 11.3% | ±5.1% |
IV максимально выше реализованной
Опционы закладывают значительно большее движение, чем акция демонстрировала в последнее время. Разрыв — это IV30 минус HV20 в пунктах волатильности; это описательный показатель, а не сигнал.
| Инструмент | IV30 | HV20 | Спред |
|---|---|---|---|
| UVXY ProShares - Ultra VIX Sho… |
77.6% | 39.2% | +38.5pt |
 CZR Caesars Entertainment, Inc. |
37.5% | 5.3% | +32.2pt |
| AI C3.ai, Inc. |
80.1% | 48.6% | +31.5pt |
 SNOW Snowflake Inc. |
67.2% | 37.5% | +29.7pt |
 GME GameStop Corp. |
51.6% | 22.8% | +28.8pt |
| LCID Lucid Group, Inc. |
89.1% | 62.5% | +26.6pt |
 VXX iPath Series B S&P 500 VI… |
52.0% | 26.1% | +25.9pt |
 HUM Humana Inc. |
53.1% | 31.2% | +21.9pt |
 UNG United States Natural Gas… |
44.4% | 24.3% | +20.2pt |
 WBD Warner Bros. Discovery, Inc. |
34.4% | 14.5% | +20.0pt |
 ORCL Oracle Corporation |
65.5% | 46.1% | +19.3pt |
| AMC AMC Entertainment Holding… |
75.0% | 58.3% | +16.7pt |
IV максимально ниже реализованной
| Инструмент | IV30 | HV20 | Спред |
|---|---|---|---|
| MRNA Moderna, Inc. |
77.0% | 385.3% | -308.4pt |
 DKS DICK'S Sporting Goods, Inc. |
40.9% | 137.7% | -96.7pt |
 CELH Celsius Holdings, Inc. |
51.6% | 107.0% | -55.4pt |
 TTD The Trade Desk, Inc. |
54.4% | 101.8% | -47.4pt |
 DDOG Datadog, Inc. |
56.1% | 101.1% | -45.1pt |
 ONON On Holding AG |
40.1% | 84.4% | -44.3pt |
 CRM Salesforce, Inc. |
37.1% | 79.5% | -42.4pt |
 CRWD CrowdStrike Holdings, Inc. |
50.9% | 90.2% | -39.3pt |
 APP AppLovin Corporation |
54.6% | 87.0% | -32.3pt |
 MDB MongoDB, Inc. |
56.1% | 87.0% | -30.9pt |
 PYPL PayPal Holdings, Inc. |
29.7% | 56.0% | -26.3pt |
 PANW Palo Alto Networks, Inc. |
45.5% | 70.9% | -25.4pt |
Наиболее крутой 25Δ skew (экспирации от 20 до 45 дней)
Skew сравнивает IV опционов put и call «вне денег». Крутой положительный skew означает, что защита от снижения оценивается значительно дороже, чем участие в росте.
| Инструмент | Экспирация | 25Δ скосThe IV gap between 25-delta puts and 25-delta calls for one expiration. Positive skew means downside protection is priced richer than upside exposure. |
|---|---|---|
| WBD Warner Bros. Discovery, Inc. |
Sep 25 | +37.6pt |
| WBD Warner Bros. Discovery, Inc. |
Oct 02 | +32.0pt |
| VIX Cboe Volatility Index |
Sep 30 | +25.5pt |
| WBD Warner Bros. Discovery, Inc. |
Oct 09 | +18.4pt |
 TQQQ ProShares UltraPro QQQ |
Sep 25 | +17.6pt |
 BITO ProShares Bitcoin ETF |
Oct 09 | +17.2pt |
| TQQQ ProShares UltraPro QQQ |
Oct 02 | +16.3pt |
| TQQQ ProShares UltraPro QQQ |
Oct 09 | +16.0pt |
| TQQQ ProShares UltraPro QQQ |
Oct 16 | +13.3pt |
 KHC The Kraft Heinz Company |
Sep 25 | +12.6pt |
 SVXY ProShares - Short VIX Sho… |
Oct 16 | +11.2pt |
 KRE State Street SPDR S&P Reg… |
Sep 30 | +11.0pt |