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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6/1
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5/29
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变化
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变化幅度
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50ETF
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2.864
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2.802
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0.062
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2.21%
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WHV
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13.40%
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13.29%
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0.11%
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0.83%
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2.当月合约
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FIV
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15.22%
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18.67%
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-3.45%
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-18.48%
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FCIV①
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9.62%
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12.57%
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-2.95%
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-23.47%
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FPIV②
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21.24%
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23.81%
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-2.57%
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-10.79%
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①/②
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0.45
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0.53
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-0.08
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-14.21%
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3.次月合约
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FIV
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16.22%
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18.95%
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-2.73%
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-14.41%
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FCIV①
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10.58%
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12.49%
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-1.91%
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-15.29%
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FPIV②
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21.77%
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23.77%
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-2.00%
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-8.41%
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①/②
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0.49
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0.53
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-0.04
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-7.51%
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4.第1季月合约
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FIV
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17.18%
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19.26%
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-2.08%
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-10.80%
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FCIV①
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11.50%
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13.01%
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-1.51%
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-11.61%
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FPIV②
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24.28%
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26.09%
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-1.81%
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-6.94%
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①/②
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0.47
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0.50
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-0.03
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-5.02%
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5.第2季月合约
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FIV
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17.20%
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18.58%
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-1.38%
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-7.43%
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FCIV①
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9.25%
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11.23%
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-1.98%
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-17.63%
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FPIV②
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25.23%
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26.48%
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-1.25%
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-4.72%
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①/②
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0.37
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0.42
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-0.06
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-13.55%
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6.全部合约
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FIV
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15.43%
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18.71%
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-3.28%
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-17.53%
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FCIV①
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9.80%
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12.57%
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-2.77%
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-22.04%
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FPIV②
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21.54%
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23.97%
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-2.43%
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-10.14%
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①/②
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0.45
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0.52
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-0.07
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-13.24%
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标的50ETF收盘上涨2.21%，富融加权历史波动率指数(WHV)上涨0.11%，为13.40%。FIV（富融波指）报15.43%，下跌3.28%。结构上看，FCIV（富融购指）下跌2.77%，FPIV（富融沽指）下跌2.43%。FIV大于WHV 2.03%。
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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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2.864
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2.932
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-2.32%
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2.911
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WHV
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13.40%
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15.10%
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-1.70%
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17.18%
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FIV
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15.43%
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16.82%
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-1.39%
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18.35%
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FCIV
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9.80%
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14.51%
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-4.71%
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16.11%
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FPIV
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21.54%
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20.26%
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1.28%
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21.13%
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C/P Ratio
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107.59%
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117.07%
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-9.48%
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118.98%
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FCIV/FPIV
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45.47%
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78.56%
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-33.09%
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78.32%
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统计区间: 自2019年07月30日开始到目前为止，共205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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2.65-3.3
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2.7-3.2
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2.75-3.1
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2.8-3
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2.85-2.95
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历史波动率
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13.40%
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98.95%
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95.97%
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87.71%
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66.53%
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36.84%
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CALL平均波动率
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9.62%
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99.94%
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99.27%
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95.33%
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79.82%
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47.03%
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PUT平均波动率
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21.24%
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92.34%
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84.69%
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70.81%
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47.20%
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24.71%
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50ETF6月期权
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波动率↓价格→
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小于2.72
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大于2.72
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2.72-3.01
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小于3.01
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大于3.01
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历史波动率
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13.40%
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6.36%
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93.64%
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86.29%
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92.66%
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7.34%
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CALL平均波动率
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9.62%
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1.68%
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98.32%
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96.16%
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97.84%
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2.16%
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PUT平均波动率
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21.24%
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16.80%
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83.20%
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65.19%
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81.99%
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18.01%
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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
