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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5/20
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5/19
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变化
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变化幅度
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50ETF
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2.849
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2.852
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-0.003
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-0.11%
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WHV
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13.23%
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13.53%
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-0.30%
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-2.22%
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2.当月合约
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FIV
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14.93%
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14.25%
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0.68%
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4.77%
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FCIV①
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12.94%
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11.71%
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1.23%
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10.50%
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FPIV②
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17.49%
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17.52%
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-0.03%
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-0.17%
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①/②
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0.74
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0.67
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0.07
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10.69%
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3.次月合约
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FIV
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16.02%
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16.15%
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-0.13%
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-0.80%
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FCIV①
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12.92%
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12.53%
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0.39%
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3.11%
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FPIV②
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19.34%
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19.97%
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-0.63%
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-3.15%
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①/②
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0.67
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0.63
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0.04
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6.47%
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4.第1季月合约
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FIV
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17.87%
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18.09%
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-0.22%
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-1.22%
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FCIV①
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11.38%
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11.09%
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0.29%
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2.61%
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FPIV②
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22.90%
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23.53%
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-0.63%
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-2.68%
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①/②
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0.50
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0.47
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0.03
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5.44%
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5.第2季月合约
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FIV
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16.91%
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17.00%
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-0.09%
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-0.53%
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FCIV①
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10.02%
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9.26%
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0.76%
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8.21%
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FPIV②
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24.03%
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23.75%
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0.28%
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1.18%
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①/②
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0.42
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0.39
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0.03
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6.95%
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6.全部合约
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FIV
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15.40%
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14.89%
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0.51%
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3.43%
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FCIV①
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12.85%
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11.86%
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0.99%
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8.35%
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FPIV②
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18.58%
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18.69%
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-0.11%
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-0.59%
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①/②
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0.69
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0.63
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0.06
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8.99%
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标的50ETF收盘下跌0.11%，富融加权历史波动率指数(WHV)下跌0.30%，为13.23%。FIV（富融波指）报15.40%，上涨0.51%。结构上看，FCIV（富融购指）上涨0.99%，FPIV（富融沽指）下跌0.11%。FIV大于WHV 2.17%。
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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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2.849
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2.937
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-2.98%
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2.915
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WHV
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13.23%
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15.39%
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-2.16%
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17.34%
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FIV
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15.40%
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16.62%
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-1.22%
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18.36%
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FCIV
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12.85%
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14.56%
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-1.71%
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16.22%
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FPIV
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18.58%
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19.95%
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-1.37%
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21.06%
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C/P Ratio
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118.56%
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117.61%
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0.96%
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119.79%
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FCIV/FPIV
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69.54%
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79.26%
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-9.72%
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79.16%
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统计区间: 自2019年07月30日开始到目前为止，共197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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2.45-2.95
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2.5-2.9
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2.55-2.85
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2.6-2.8
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2.65-2.75
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历史波动率
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13.23%
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97.14%
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83.36%
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50.76%
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17.18%
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2.67%
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CALL平均波动率
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12.94%
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97.41%
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83.90%
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50.78%
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16.64%
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2.42%
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PUT平均波动率
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17.49%
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92.48%
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76.81%
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50.58%
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23.68%
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7.07%
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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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13.23%
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0.26%
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99.74%
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99.36%
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99.61%
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0.39%
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CALL平均波动率
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12.94%
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0.21%
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99.79%
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99.47%
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99.68%
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0.32%
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PUT平均波动率
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17.49%
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1.71%
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98.29%
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96.09%
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97.80%
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2.20%
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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
