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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6/8
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6/5
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变化
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变化幅度
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50ETF
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2.905
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2.892
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0.013
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0.45%
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WHV
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14.05%
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14.09%
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-0.04%
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-0.28%
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2.当月合约
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FIV
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15.17%
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14.78%
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0.39%
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2.64%
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FCIV①
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10.26%
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10.71%
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-0.45%
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-4.20%
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FPIV②
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21.76%
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19.25%
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2.51%
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13.04%
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①/②
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0.47
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0.56
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-0.08
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-15.25%
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3.次月合约
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FIV
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16.10%
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15.88%
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0.22%
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1.39%
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FCIV①
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10.32%
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11.09%
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-0.77%
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-6.94%
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FPIV②
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21.35%
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20.64%
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0.71%
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3.44%
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①/②
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0.48
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0.54
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-0.05
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-10.04%
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4.第1季月合约
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FIV
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16.16%
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16.91%
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-0.75%
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-4.44%
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FCIV①
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9.02%
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10.68%
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-1.66%
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-15.54%
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FPIV②
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23.87%
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24.09%
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-0.22%
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-0.91%
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①/②
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0.38
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0.44
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-0.07
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-14.76%
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5.第2季月合约
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FIV
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15.35%
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16.45%
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-1.10%
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-6.69%
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FCIV①
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7.42%
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8.61%
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-1.19%
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-13.82%
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FPIV②
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24.59%
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24.95%
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-0.36%
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-1.44%
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①/②
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0.30
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0.35
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-0.04
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-12.56%
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6.全部合约
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FIV
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15.33%
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14.99%
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0.34%
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2.27%
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FCIV①
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10.19%
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10.72%
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-0.53%
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-4.94%
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FPIV②
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21.88%
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19.73%
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2.15%
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10.90%
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①/②
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0.47
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0.54
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-0.08
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-14.28%
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标的50ETF收盘上涨0.45%，富融加权历史波动率指数(WHV)下跌0.04%，为14.05%。FIV（富融波指）报15.33%，上涨0.34%。结构上看，FCIV（富融购指）下跌0.53%，FPIV（富融沽指）上涨2.15%。FIV大于WHV 1.28%。
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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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2.905
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2.925
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-0.68%
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2.910
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WHV
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14.05%
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14.97%
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-0.92%
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17.10%
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FIV
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15.33%
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16.61%
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-1.28%
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18.27%
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FCIV
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10.19%
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14.25%
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-4.06%
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15.97%
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FPIV
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21.88%
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20.40%
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1.48%
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21.13%
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C/P Ratio
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126.45%
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116.99%
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9.46%
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119.03%
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FCIV/FPIV
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46.50%
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77.74%
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-31.24%
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77.64%
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统计区间: 自2019年07月30日开始到目前为止，共210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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14.05%
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99.91%
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99.31%
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95.52%
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75.76%
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44.14%
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CALL平均波动率
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10.26%
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100.00%
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99.97%
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99.34%
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88.95%
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57.60%
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PUT平均波动率
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21.76%
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97.56%
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92.90%
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80.87%
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55.05%
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29.47%
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50ETF6月期权
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波动率↓价格→
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小于2.76
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大于2.76
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2.76-3.05
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小于3.05
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大于3.05
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历史波动率
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14.05%
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4.06%
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95.94%
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91.08%
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95.14%
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4.86%
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CALL平均波动率
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10.26%
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0.85%
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99.15%
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97.99%
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98.84%
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1.16%
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PUT平均波动率
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21.76%
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13.01%
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86.99%
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72.78%
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85.79%
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14.21%
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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
