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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11/13
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11/12
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变化
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变化幅度
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50ETF
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3.015
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3.017
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-0.002
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-0.07%
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WHV
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12.82%
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12.89%
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-0.07%
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-0.54%
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2.当月合约
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FIV
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13.49%
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13.65%
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-0.16%
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-1.17%
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FCIV①
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13.15%
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14.10%
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-0.95%
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-6.74%
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FPIV②
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13.91%
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13.09%
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0.82%
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6.26%
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①/②
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0.95
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1.08
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-0.13
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-12.24%
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3.次月合约
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FIV
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14.11%
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14.22%
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-0.11%
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-0.77%
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FCIV①
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12.74%
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13.21%
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-0.47%
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-3.56%
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FPIV②
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15.82%
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15.39%
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0.43%
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2.79%
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①/②
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0.81
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0.86
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-0.05
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-6.18%
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4.第1季月合约
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FIV
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14.01%
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14.10%
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-0.09%
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-0.64%
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FCIV①
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11.89%
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12.16%
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-0.27%
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-2.22%
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FPIV②
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16.36%
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16.19%
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0.17%
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1.05%
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①/②
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0.73
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0.75
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-0.02
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-3.24%
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5.第2季月合约
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FIV
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14.84%
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14.56%
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0.28%
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1.92%
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FCIV①
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12.59%
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12.31%
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0.28%
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2.27%
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FPIV②
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17.09%
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17.16%
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-0.07%
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-0.41%
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①/②
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0.74
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0.72
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0.02
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2.69%
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6.全部合约
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FIV
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13.64%
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13.80%
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-0.16%
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-1.16%
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FCIV①
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13.03%
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13.83%
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-0.80%
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-5.78%
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FPIV②
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14.45%
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13.89%
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0.56%
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4.03%
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①/②
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0.90
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1.00
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-0.09
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-9.44%
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标的50ETF收盘下跌0.07%，富融加权历史波动率指数(WHV)下跌0.07%，为12.82%。FIV（富融波指）报13.64%，下跌0.16%。结构上看，FCIV（富融购指）下跌0.80%，FPIV（富融沽指）上涨0.56%。FIV大于WHV 0.82%。
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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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3.015
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2.940
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2.55%
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2.914
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WHV
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12.82%
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17.34%
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-4.52%
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18.37%
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FIV
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13.64%
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19.37%
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-5.73%
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19.85%
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FCIV
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13.03%
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18.36%
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-5.33%
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18.57%
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FPIV
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14.45%
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21.38%
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-6.93%
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21.58%
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C/P Ratio
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122.32%
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123.42%
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-1.11%
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124.39%
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FCIV/FPIV
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90.53%
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86.78%
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3.75%
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84.94%
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统计区间: 自2019年04月19日开始到目前为止，共140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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12.82%
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99.99%
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99.84%
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98.73%
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93.04%
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67.31%
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CALL平均波动率
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13.15%
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99.98%
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99.80%
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98.54%
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92.42%
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66.12%
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PUT平均波动率
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13.91%
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99.96%
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99.67%
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98.01%
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90.89%
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63.45%
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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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2.86-3.17
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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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12.82%
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2.06%
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97.94%
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95.34%
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97.40%
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2.60%
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CALL平均波动率
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13.15%
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2.32%
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97.68%
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94.78%
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97.09%
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2.91%
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PUT平均波动率
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13.91%
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2.98%
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97.02%
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93.35%
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96.34%
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3.66%
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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
