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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6/5
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6/4
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变化
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变化幅度
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50ETF
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2.892
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2.878
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0.014
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0.49%
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WHV
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14.09%
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13.89%
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0.20%
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1.44%
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2.当月合约
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FIV
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14.78%
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16.06%
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-1.28%
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-7.97%
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FCIV①
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10.71%
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11.91%
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-1.20%
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-10.08%
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FPIV②
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19.25%
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20.78%
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-1.53%
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-7.36%
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①/②
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0.56
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0.57
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-0.02
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-2.93%
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3.次月合约
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FIV
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15.88%
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16.57%
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-0.69%
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-4.16%
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FCIV①
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11.09%
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11.82%
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-0.73%
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-6.18%
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FPIV②
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20.64%
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21.71%
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-1.07%
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-4.93%
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①/②
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0.54
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0.54
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-0.01
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-1.31%
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4.第1季月合约
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FIV
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16.91%
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16.82%
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0.09%
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0.54%
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FCIV①
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10.68%
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11.61%
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-0.93%
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-8.01%
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FPIV②
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24.09%
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24.45%
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-0.36%
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-1.47%
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①/②
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0.44
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0.47
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-0.03
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-6.64%
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5.第2季月合约
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FIV
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16.45%
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17.20%
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-0.75%
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-4.36%
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FCIV①
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8.61%
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9.19%
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-0.58%
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-6.31%
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FPIV②
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24.95%
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25.17%
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-0.22%
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-0.87%
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①/②
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0.35
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0.37
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-0.02
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-5.49%
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6.全部合约
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FIV
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14.99%
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16.17%
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-1.18%
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-7.30%
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FCIV①
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10.72%
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11.86%
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-1.14%
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-9.61%
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FPIV②
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19.73%
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21.14%
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-1.41%
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-6.67%
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①/②
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0.54
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0.56
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-0.02
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-3.15%
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标的50ETF收盘上涨0.49%，富融加权历史波动率指数(WHV)上涨0.20%，为14.09%。FIV（富融波指）报14.99%，下跌1.18%。结构上看，FCIV（富融购指）下跌1.14%，FPIV（富融沽指）下跌1.41%。FIV大于WHV 0.9%。
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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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2.892
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2.926
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-1.16%
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2.910
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WHV
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14.09%
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14.99%
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-0.90%
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17.12%
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FIV
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14.99%
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16.62%
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-1.63%
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18.29%
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FCIV
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10.72%
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14.36%
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-3.64%
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16.00%
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FPIV
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19.73%
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20.34%
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-0.61%
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21.13%
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C/P Ratio
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108.99%
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116.79%
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-7.80%
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119.00%
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FCIV/FPIV
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54.52%
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77.79%
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-23.27%
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77.79%
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统计区间: 自2019年07月30日开始到目前为止，共209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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14.09%
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99.67%
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98.29%
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92.60%
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71.57%
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40.71%
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CALL平均波动率
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10.71%
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99.98%
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99.75%
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97.81%
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84.04%
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51.71%
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PUT平均波动率
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19.25%
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97.54%
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93.05%
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81.73%
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56.73%
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30.49%
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50ETF6月期权
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波动率↓价格→
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小于2.75
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大于2.75
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2.75-3.04
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小于3.04
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大于3.04
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历史波动率
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14.09%
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5.53%
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94.47%
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88.02%
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93.55%
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6.45%
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CALL平均波动率
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10.71%
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1.79%
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98.21%
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95.92%
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97.71%
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2.29%
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PUT平均波动率
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19.25%
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12.14%
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87.86%
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74.53%
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86.67%
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13.33%
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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
