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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5/29
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5/28
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变化
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变化幅度
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50ETF
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2.802
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2.801
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0.001
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0.04%
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WHV
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13.29%
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13.43%
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-0.14%
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-1.04%
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2.当月合约
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FIV
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18.67%
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18.14%
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0.53%
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2.92%
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FCIV①
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12.57%
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13.09%
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-0.52%
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-3.97%
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FPIV②
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23.81%
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22.89%
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0.92%
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4.02%
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①/②
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0.53
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0.57
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-0.04
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-7.68%
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3.次月合约
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FIV
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18.95%
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18.59%
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0.36%
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1.94%
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FCIV①
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12.49%
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13.20%
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-0.71%
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-5.38%
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FPIV②
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23.77%
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22.87%
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0.90%
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3.94%
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①/②
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0.53
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0.58
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-0.05
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-8.96%
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4.第1季月合约
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FIV
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19.26%
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20.14%
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-0.88%
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-4.37%
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FCIV①
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13.01%
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12.71%
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0.30%
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2.36%
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FPIV②
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26.09%
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25.44%
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0.65%
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2.56%
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①/②
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0.50
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0.50
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0.00
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-0.19%
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5.第2季月合约
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FIV
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18.58%
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18.73%
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-0.15%
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-0.80%
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FCIV①
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11.23%
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11.36%
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-0.13%
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-1.14%
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FPIV②
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26.48%
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25.78%
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0.70%
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2.72%
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①/②
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0.42
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0.44
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-0.02
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-3.76%
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6.全部合约
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FIV
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18.71%
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18.28%
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0.43%
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2.35%
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FCIV①
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12.57%
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13.05%
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-0.48%
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-3.68%
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FPIV②
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23.97%
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23.12%
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0.85%
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3.68%
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①/②
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0.52
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0.56
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-0.04
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-7.09%
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标的50ETF收盘上涨0.04%，富融加权历史波动率指数(WHV)下跌0.14%，为13.29%。FIV（富融波指）报18.71%，上涨0.43%。结构上看，FCIV（富融购指）下跌0.48%，FPIV（富融沽指）上涨0.85%。FIV大于WHV 5.42%。
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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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2.802
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2.933
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-4.47%
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2.911
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WHV
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13.29%
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15.18%
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-1.89%
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17.20%
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FIV
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18.71%
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16.84%
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1.87%
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18.36%
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FCIV
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12.57%
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14.52%
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-1.95%
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16.14%
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FPIV
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23.97%
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20.23%
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3.74%
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21.13%
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C/P Ratio
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85.37%
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117.15%
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-31.78%
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119.03%
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FCIV/FPIV
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52.47%
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78.75%
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-26.28%
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78.48%
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统计区间: 自2019年07月30日开始到目前为止，共204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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50ETF6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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13.29%
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99.39%
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95.55%
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86.88%
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68.59%
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38.53%
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CALL平均波动率
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12.57%
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99.62%
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96.62%
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88.93%
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71.27%
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40.54%
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PUT平均波动率
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23.81%
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87.50%
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73.91%
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60.09%
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42.59%
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22.13%
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50ETF6月期权
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波动率↓价格→
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小于2.66
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大于2.66
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2.66-2.94
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小于2.94
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大于2.94
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历史波动率
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13.29%
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7.40%
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92.60%
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84.15%
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91.55%
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8.45%
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CALL平均波动率
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12.57%
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6.31%
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93.69%
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86.39%
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92.71%
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7.29%
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PUT平均波动率
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23.81%
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20.98%
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79.02%
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56.88%
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77.87%
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22.13%
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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
