一、 富融波动率指数指标说明
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富融波动率指数（Front Index of Volatility: FIV）是富融期权编制并发布的上海证券交易所50ETF期权合约的波动率指数，简称富融波指。该指数包括4个组成部分：① FIV，富融波动率综合指数，由全部认购和认沽期权的隐含波动率按成交量加权得出；② FCIV，富融认购期权隐含波动率指数，简称“富融购指”，由全部认购期权的隐含波动率按成交量加权得出；③ FPIV，富融认沽期权隐含波动率指数，简称“富融沽指”，由全部认沽期权的隐含波动率按成交量加权得出；④ WHV，富融加权历史波动率指数，由5日（50%）、20日（30%）和250日（20%）的历史波动率按近重远轻原则加权并取20日移动平均值得出。
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二、 富融波动率指数
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1.标的50ETF
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日期
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5/19
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5/18
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变化
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变化幅度
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50ETF
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2.852
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2.833
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0.019
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0.67%
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WHV
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13.53%
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13.77%
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-0.24%
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-1.74%
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2.当月合约
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FIV
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14.25%
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15.08%
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-0.83%
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-5.50%
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FCIV①
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11.71%
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12.02%
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-0.31%
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-2.58%
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FPIV②
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17.52%
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18.75%
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-1.23%
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-6.56%
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①/②
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0.67
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0.64
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0.03
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4.26%
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3.次月合约
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FIV
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16.15%
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17.06%
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-0.91%
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-5.33%
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FCIV①
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12.53%
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13.22%
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-0.69%
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-5.22%
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FPIV②
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19.97%
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20.54%
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-0.57%
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-2.78%
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①/②
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0.63
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0.64
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-0.02
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-2.51%
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4.第1季月合约
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FIV
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18.09%
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17.72%
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0.37%
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2.09%
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FCIV①
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11.09%
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10.81%
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0.28%
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2.59%
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FPIV②
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23.53%
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23.78%
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-0.25%
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-1.05%
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①/②
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0.47
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0.45
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0.02
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3.68%
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5.第2季月合约
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FIV
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17.00%
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17.45%
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-0.45%
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-2.58%
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FCIV①
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9.26%
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10.01%
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-0.75%
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-7.49%
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FPIV②
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23.75%
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24.62%
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-0.87%
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-3.53%
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①/②
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0.39
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0.41
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-0.02
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-4.10%
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6.全部合约
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FIV
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14.89%
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15.61%
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-0.72%
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-4.61%
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FCIV①
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11.86%
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12.21%
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-0.35%
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-2.87%
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FPIV②
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18.69%
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19.53%
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-0.84%
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-4.30%
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①/②
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0.63
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0.63
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0.01
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1.50%
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标的50ETF收盘上涨0.67%，富融加权历史波动率指数(WHV)下跌0.24%，为13.53%。FIV（富融波指）报14.89%，下跌0.72%。结构上看，FCIV（富融购指）下跌0.35%，FPIV（富融沽指）下跌0.84%。FIV大于WHV 1.36%。
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三、指标统计分析(C/P Ratio 是认购认沽成交量比，FCIV/FPIV是认购认沽隐波比)
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指标
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当前值
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中位数
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距中位数
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平均值
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50ETF收盘价格
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2.852
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2.937
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-2.89%
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2.915
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WHV
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13.53%
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15.40%
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-1.87%
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17.36%
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FIV
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14.89%
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16.63%
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-1.74%
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18.37%
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FCIV
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11.86%
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14.56%
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-2.70%
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16.24%
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FPIV
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18.69%
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20.00%
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-1.31%
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21.07%
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C/P Ratio
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119.28%
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117.53%
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1.75%
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119.80%
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FCIV/FPIV
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63.87%
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79.35%
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-15.48%
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79.21%
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统计区间: 自2019年07月30日开始到目前为止，共196个交易日数据
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四、基于历史波动率、CALL和PUT的隐含波动率，估算的标的价格分布概率
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50ETF5月期权
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波动率↓价格→
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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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13.53%
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100.00%
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99.42%
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95.40%
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79.45%
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45.15%
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CALL平均波动率
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11.71%
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100.00%
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99.82%
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97.44%
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83.15%
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46.61%
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PUT平均波动率
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17.52%
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99.93%
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97.43%
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90.14%
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72.28%
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40.91%
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50ETF5月期权
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波动率↓价格→
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小于2.71
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大于2.71
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2.71-2.99
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小于2.99
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大于2.99
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历史波动率
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13.53%
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0.52%
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99.48%
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98.73%
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99.26%
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0.74%
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CALL平均波动率
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11.71%
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0.15%
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99.85%
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99.60%
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99.76%
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0.24%
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PUT平均波动率
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17.52%
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2.40%
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97.60%
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94.61%
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97.01%
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2.99%
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五、富融波动率指数动态更新图
1、富融波指动态运行图
2、50ETF历史波动率锥与富融波指对比图
3、50ETF期权购沽成交量比及隐波比动态图
