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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6/4
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6/3
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变化
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变化幅度
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50ETF
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2.878
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2.884
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-0.006
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-0.21%
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WHV
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13.89%
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13.70%
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0.19%
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1.39%
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2.当月合约
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FIV
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16.06%
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15.00%
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1.06%
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7.07%
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FCIV①
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11.91%
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10.93%
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0.98%
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8.97%
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FPIV②
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20.78%
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20.95%
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-0.17%
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-0.81%
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①/②
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0.57
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0.52
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0.05
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9.86%
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3.次月合约
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FIV
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16.57%
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16.21%
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0.36%
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2.22%
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FCIV①
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11.82%
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11.65%
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0.17%
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1.46%
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FPIV②
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21.71%
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21.84%
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-0.13%
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-0.60%
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①/②
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0.54
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0.53
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0.01
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2.07%
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4.第1季月合约
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FIV
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16.82%
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17.42%
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-0.60%
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-3.44%
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FCIV①
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11.61%
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11.45%
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0.16%
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1.40%
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FPIV②
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24.45%
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25.25%
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-0.80%
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-3.17%
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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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4.72%
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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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17.38%
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-0.18%
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-1.04%
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FCIV①
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9.19%
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9.48%
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-0.29%
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-3.06%
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FPIV②
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25.17%
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25.48%
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-0.31%
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-1.22%
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①/②
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0.37
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0.37
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-0.01
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-1.87%
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6.全部合约
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FIV
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16.17%
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15.28%
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0.89%
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5.82%
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FCIV①
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11.86%
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11.01%
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0.85%
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7.72%
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FPIV②
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21.14%
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21.40%
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-0.26%
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-1.21%
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①/②
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0.56
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0.51
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0.05
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9.05%
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标的50ETF收盘下跌0.21%，富融加权历史波动率指数(WHV)上涨0.19%，为13.89%。FIV（富融波指）报16.17%，上涨0.89%。结构上看，FCIV（富融购指）上涨0.85%，FPIV（富融沽指）下跌0.26%。FIV大于WHV 2.28%。
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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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2.878
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2.927
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-1.67%
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2.910
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WHV
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13.89%
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15.02%
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-1.13%
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17.13%
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FIV
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16.17%
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16.63%
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-0.46%
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18.30%
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FCIV
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11.86%
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14.47%
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-2.61%
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16.03%
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FPIV
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21.14%
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20.40%
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0.74%
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21.13%
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C/P Ratio
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114.08%
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116.99%
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-2.91%
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119.04%
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FCIV/FPIV
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56.18%
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77.84%
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-21.66%
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77.91%
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统计区间: 自2019年07月30日开始到目前为止，共208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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13.89%
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99.44%
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97.46%
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90.79%
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70.01%
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39.45%
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CALL平均波动率
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11.91%
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99.85%
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98.89%
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94.48%
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76.97%
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44.94%
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PUT平均波动率
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20.78%
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95.27%
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89.08%
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76.20%
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51.73%
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27.40%
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50ETF6月期权
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波动率↓价格→
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小于2.73
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大于2.73
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2.73-3.02
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小于3.02
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大于3.02
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历史波动率
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13.89%
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5.74%
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94.26%
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87.59%
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93.32%
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6.68%
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CALL平均波动率
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11.91%
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3.29%
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96.71%
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92.71%
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96.00%
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4.00%
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PUT平均波动率
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20.78%
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14.58%
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85.42%
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69.63%
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84.21%
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15.79%
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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
