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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11/5
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11/4
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变化
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变化幅度
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50ETF
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3.086
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3.069
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0.017
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0.55%
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WHV
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13.16%
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13.15%
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0.01%
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0.08%
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2.当月合约
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FIV
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12.71%
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12.26%
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0.45%
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3.67%
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FCIV①
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10.86%
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9.89%
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0.97%
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9.81%
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FPIV②
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15.38%
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15.08%
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0.30%
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1.99%
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①/②
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0.71
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0.66
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0.05
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7.67%
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3.次月合约
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FIV
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13.91%
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13.07%
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0.84%
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6.43%
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FCIV①
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12.20%
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10.43%
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1.77%
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16.97%
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FPIV②
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16.34%
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16.18%
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0.16%
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0.99%
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①/②
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0.75
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0.64
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0.10
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15.82%
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4.第1季月合约
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FIV
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14.12%
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14.22%
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-0.10%
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-0.70%
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FCIV①
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11.66%
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10.76%
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0.90%
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8.36%
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FPIV②
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16.82%
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16.91%
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-0.09%
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-0.53%
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①/②
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0.69
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0.64
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0.06
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8.94%
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5.第2季月合约
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FIV
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14.50%
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14.80%
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-0.30%
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-2.03%
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FCIV①
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11.67%
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10.99%
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0.68%
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6.19%
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FPIV②
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17.78%
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18.34%
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-0.56%
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-3.05%
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①/②
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0.66
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0.60
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0.06
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9.53%
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6.全部合约
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FIV
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13.00%
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12.54%
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0.46%
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3.67%
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FCIV①
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11.12%
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10.04%
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1.08%
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10.76%
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FPIV②
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15.68%
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15.47%
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0.21%
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1.36%
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①/②
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0.71
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0.65
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0.06
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9.27%
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标的50ETF收盘上涨0.55%，富融加权历史波动率指数(WHV)上涨0.01%，为13.16%。FIV（富融波指）报13.00%，上涨0.46%。结构上看，FCIV（富融购指）上涨1.08%，FPIV（富融沽指）上涨0.21%。FIV小于WHV 0.16%。
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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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3.086
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2.934
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5.18%
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2.908
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WHV
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13.16%
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17.49%
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-4.33%
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18.62%
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FIV
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13.00%
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19.56%
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-6.56%
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20.13%
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FCIV
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11.12%
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18.54%
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-7.42%
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18.83%
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FPIV
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15.68%
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21.90%
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-6.22%
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21.89%
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C/P Ratio
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140.27%
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123.42%
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16.84%
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124.04%
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FCIV/FPIV
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70.87%
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86.78%
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-15.91%
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84.87%
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统计区间: 自2019年04月19日开始到目前为止，共134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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50ETF11月期权
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波动率↓价格→
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2.75-3.5
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2.8-3.4
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2.85-3.3
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2.9-3.2
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2.95-3.1
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历史波动率
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13.16%
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99.98%
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99.73%
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97.42%
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84.22%
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47.43%
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CALL平均波动率
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10.86%
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100.00%
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99.97%
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99.26%
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90.34%
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52.20%
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PUT平均波动率
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15.38%
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99.84%
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98.99%
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94.46%
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78.19%
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43.15%
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50ETF11月期权
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波动率↓价格→
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小于2.93
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大于2.93
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2.93-3.24
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小于3.24
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大于3.24
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历史波动率
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13.16%
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5.61%
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94.39%
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87.84%
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93.45%
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6.55%
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CALL平均波动率
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10.86%
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2.71%
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97.29%
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93.93%
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96.64%
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3.36%
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PUT平均波动率
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15.38%
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8.71%
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91.29%
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81.48%
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90.19%
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9.81%
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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
