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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11/12
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11/11
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变化
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变化幅度
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50ETF
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3.017
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3.013
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0.004
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0.13%
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WHV
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12.89%
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12.91%
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-0.02%
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-0.15%
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2.当月合约
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FIV
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13.65%
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14.50%
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-0.85%
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-5.86%
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FCIV①
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14.10%
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14.82%
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-0.72%
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-4.86%
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FPIV②
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13.09%
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14.14%
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-1.05%
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-7.43%
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①/②
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1.08
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1.05
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0.03
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2.77%
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3.次月合约
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FIV
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14.22%
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14.86%
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-0.64%
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-4.31%
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FCIV①
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13.21%
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13.95%
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-0.74%
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-5.30%
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FPIV②
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15.39%
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15.89%
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-0.50%
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-3.15%
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①/②
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0.86
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0.88
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-0.02
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-2.23%
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4.第1季月合约
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FIV
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14.10%
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14.61%
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-0.51%
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-3.49%
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FCIV①
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12.16%
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12.66%
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-0.50%
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-3.95%
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FPIV②
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16.19%
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16.59%
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-0.40%
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-2.41%
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①/②
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0.75
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0.76
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-0.01
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-1.58%
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5.第2季月合约
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FIV
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14.56%
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15.07%
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-0.51%
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-3.38%
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FCIV①
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12.31%
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13.27%
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-0.96%
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-7.23%
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FPIV②
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17.16%
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17.31%
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-0.15%
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-0.87%
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①/②
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0.72
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0.77
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-0.05
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-6.42%
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6.全部合约
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FIV
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13.80%
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14.58%
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-0.78%
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-5.35%
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FCIV①
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13.83%
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14.55%
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-0.72%
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-4.95%
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FPIV②
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13.89%
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14.70%
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-0.81%
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-5.51%
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①/②
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1.00
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0.99
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0.01
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0.59%
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标的50ETF收盘上涨0.13%，富融加权历史波动率指数(WHV)下跌0.02%，为12.89%。FIV（富融波指）报13.80%，下跌0.78%。结构上看，FCIV（富融购指）下跌0.72%，FPIV（富融沽指）下跌0.81%。FIV大于WHV 0.91%。
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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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3.017
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2.940
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2.64%
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2.914
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WHV
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12.89%
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17.39%
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-4.50%
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18.41%
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FIV
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13.80%
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19.41%
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-5.61%
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19.89%
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FCIV
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13.83%
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18.41%
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-4.58%
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18.61%
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FPIV
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13.89%
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21.44%
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-7.55%
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21.63%
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C/P Ratio
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122.19%
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123.45%
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-1.26%
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124.40%
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FCIV/FPIV
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100.22%
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86.77%
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13.45%
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84.90%
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统计区间: 自2019年04月19日开始到目前为止，共139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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12.89%
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99.98%
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99.79%
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98.51%
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92.29%
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65.55%
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CALL平均波动率
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14.10%
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99.94%
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99.55%
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97.59%
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89.70%
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61.26%
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PUT平均波动率
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13.09%
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99.98%
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99.75%
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98.37%
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91.88%
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64.82%
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50ETF11月期权
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波动率↓价格→
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小于2.87
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大于2.87
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2.87-3.17
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小于3.17
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大于3.17
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历史波动率
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12.89%
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2.48%
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97.52%
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94.43%
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96.91%
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3.09%
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CALL平均波动率
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14.10%
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3.64%
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96.36%
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91.96%
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95.60%
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4.40%
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PUT平均波动率
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13.09%
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2.66%
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97.34%
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94.04%
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96.70%
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3.30%
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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
