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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11/8
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11/7
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变化
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变化幅度
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50ETF
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3.06
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3.079
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-0.019
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-0.62%
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WHV
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12.85%
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13.08%
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-0.23%
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-1.76%
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2.当月合约
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FIV
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13.35%
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12.83%
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0.52%
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4.05%
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FCIV①
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12.51%
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11.33%
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1.18%
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10.41%
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FPIV②
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14.64%
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14.98%
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-0.34%
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-2.27%
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①/②
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0.85
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0.76
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0.10
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12.98%
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3.次月合约
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FIV
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14.21%
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13.65%
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0.56%
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4.10%
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FCIV①
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12.78%
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12.04%
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0.74%
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6.15%
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FPIV②
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15.94%
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15.99%
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-0.05%
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-0.31%
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①/②
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0.80
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0.75
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0.05
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6.48%
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4.第1季月合约
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FIV
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13.97%
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13.79%
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0.18%
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1.31%
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FCIV①
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11.83%
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11.61%
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0.22%
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1.89%
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FPIV②
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16.85%
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16.74%
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0.11%
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0.66%
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①/②
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0.70
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0.69
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0.01
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1.23%
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5.第2季月合约
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FIV
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14.91%
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14.16%
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0.75%
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5.30%
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FCIV①
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12.70%
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11.49%
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1.21%
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10.53%
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FPIV②
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17.70%
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17.89%
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-0.19%
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-1.06%
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①/②
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0.72
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0.64
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0.08
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11.72%
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6.全部合约
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FIV
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13.53%
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13.02%
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0.51%
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3.92%
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FCIV①
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12.53%
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11.45%
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1.08%
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9.43%
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FPIV②
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15.05%
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15.31%
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-0.26%
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-1.70%
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①/②
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0.83
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0.75
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0.08
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11.32%
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标的50ETF收盘下跌0.62%，富融加权历史波动率指数(WHV)下跌0.23%，为12.85%。FIV（富融波指）报13.53%，上涨0.51%。结构上看，FCIV（富融购指）上涨1.08%，FPIV（富融沽指）下跌0.26%。FIV大于WHV 0.68%。
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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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3.06
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2.937
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4.19%
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2.912
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WHV
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12.85%
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17.45%
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-4.60%
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18.50%
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FIV
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13.53%
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19.46%
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-5.93%
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19.98%
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FCIV
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12.53%
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18.50%
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-5.97%
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18.67%
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FPIV
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15.05%
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21.54%
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-6.49%
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21.74%
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C/P Ratio
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146.22%
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123.56%
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22.66%
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124.48%
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FCIV/FPIV
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83.45%
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86.76%
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-3.31%
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84.69%
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统计区间: 自2019年04月19日开始到目前为止，共137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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12.85%
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99.99%
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99.86%
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98.74%
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90.31%
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56.53%
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CALL平均波动率
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12.51%
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99.99%
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99.90%
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98.95%
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91.15%
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57.55%
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PUT平均波动率
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14.64%
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99.93%
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99.53%
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97.15%
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85.59%
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51.48%
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50ETF11月期权
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波动率↓价格→
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小于2.91
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大于2.91
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2.91-3.21
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小于3.21
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大于3.21
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历史波动率
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12.85%
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4.01%
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95.99%
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91.20%
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95.20%
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4.80%
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CALL平均波动率
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12.51%
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3.62%
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96.38%
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92.01%
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95.63%
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4.37%
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PUT平均波动率
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14.64%
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6.23%
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93.77%
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86.57%
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92.80%
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7.20%
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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
