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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11/11
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11/8
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变化
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变化幅度
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50ETF
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3.013
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3.06
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-0.047
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-1.54%
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WHV
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12.91%
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12.85%
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0.06%
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0.47%
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2.当月合约
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FIV
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14.50%
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13.35%
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1.15%
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8.61%
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FCIV①
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14.82%
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12.51%
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2.31%
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18.47%
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FPIV②
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14.14%
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14.64%
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-0.50%
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-3.42%
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①/②
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1.05
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0.85
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0.19
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22.65%
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3.次月合约
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FIV
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14.86%
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14.21%
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0.65%
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4.57%
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FCIV①
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13.95%
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12.78%
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1.17%
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9.15%
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FPIV②
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15.89%
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15.94%
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-0.05%
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-0.31%
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①/②
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0.88
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0.80
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0.08
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9.50%
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4.第1季月合约
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FIV
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14.61%
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13.97%
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0.64%
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4.58%
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FCIV①
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12.66%
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11.83%
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0.83%
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7.02%
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FPIV②
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16.59%
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16.85%
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-0.26%
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-1.54%
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①/②
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0.76
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0.70
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0.06
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8.69%
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5.第2季月合约
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FIV
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15.07%
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14.91%
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0.16%
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1.07%
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FCIV①
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13.27%
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12.70%
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0.57%
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4.49%
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FPIV②
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17.31%
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17.70%
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-0.39%
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-2.20%
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①/②
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0.77
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0.72
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0.05
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6.84%
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6.全部合约
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FIV
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14.58%
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13.53%
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1.05%
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7.76%
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FCIV①
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14.55%
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12.53%
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2.02%
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16.12%
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FPIV②
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14.70%
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15.05%
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-0.35%
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-2.33%
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①/②
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0.99
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0.83
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0.16
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18.89%
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标的50ETF收盘下跌1.54%，富融加权历史波动率指数(WHV)上涨0.06%，为12.91%。FIV（富融波指）报14.58%，上涨1.05%。结构上看，FCIV（富融购指）上涨2.02%，FPIV（富融沽指）下跌0.35%。FIV大于WHV 1.67%。
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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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3.013
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2.939
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2.52%
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2.913
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WHV
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12.91%
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17.43%
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-4.52%
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18.45%
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FIV
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14.58%
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19.45%
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-4.87%
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19.94%
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FCIV
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14.55%
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18.46%
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-3.91%
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18.64%
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FPIV
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14.70%
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21.50%
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-6.80%
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21.69%
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C/P Ratio
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115.88%
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123.48%
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-7.59%
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124.42%
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FCIV/FPIV
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99.43%
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86.76%
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12.67%
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84.79%
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统计区间: 自2019年04月19日开始到目前为止，共138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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12.91%
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99.96%
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99.67%
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97.98%
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90.85%
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63.68%
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CALL平均波动率
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14.82%
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99.84%
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99.09%
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96.18%
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86.49%
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57.27%
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PUT平均波动率
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14.14%
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99.90%
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99.34%
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96.88%
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88.08%
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59.43%
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50ETF11月期权
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波动率↓价格→
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小于2.86
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大于2.86
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2.86-3.16
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小于3.16
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大于3.16
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历史波动率
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12.91%
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2.88%
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97.12%
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93.57%
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96.45%
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3.55%
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CALL平均波动率
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14.82%
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4.91%
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95.09%
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89.30%
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94.21%
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5.79%
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PUT平均波动率
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14.14%
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4.15%
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95.85%
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90.88%
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95.04%
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4.96%
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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
