一、 富融波动率指数指标说明
|
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。
|
二、 富融波动率指数
|
1.标的50ETF
|
|
|
|
|
|
日期
|
11/18
|
11/15
|
变化
|
变化幅度
|
|
50ETF
|
3.027
|
3.003
|
0.024
|
0.80%
|
|
WHV
|
12.45%
|
12.61%
|
-0.16%
|
-1.27%
|
|
2.当月合约
|
|
|
|
|
|
FIV
|
12.81%
|
12.98%
|
-0.17%
|
-1.31%
|
|
FCIV①
|
14.02%
|
14.45%
|
-0.43%
|
-2.98%
|
|
FPIV②
|
11.18%
|
11.10%
|
0.08%
|
0.72%
|
|
①/②
|
1.25
|
1.30
|
-0.05
|
-3.67%
|
|
3.次月合约
|
|
|
|
|
|
FIV
|
13.92%
|
14.70%
|
-0.78%
|
-5.31%
|
|
FCIV①
|
13.03%
|
13.77%
|
-0.74%
|
-5.37%
|
|
FPIV②
|
14.89%
|
15.70%
|
-0.81%
|
-5.16%
|
|
①/②
|
0.88
|
0.88
|
0.00
|
-0.23%
|
|
4.第1季月合约
|
|
|
|
|
|
FIV
|
13.90%
|
14.49%
|
-0.59%
|
-4.07%
|
|
FCIV①
|
11.73%
|
12.86%
|
-1.13%
|
-8.79%
|
|
FPIV②
|
16.01%
|
16.55%
|
-0.54%
|
-3.26%
|
|
①/②
|
0.73
|
0.78
|
-0.04
|
-5.71%
|
|
5.第2季月合约
|
|
|
|
|
|
FIV
|
14.62%
|
15.34%
|
-0.72%
|
-4.69%
|
|
FCIV①
|
12.59%
|
13.46%
|
-0.87%
|
-6.46%
|
|
FPIV②
|
16.61%
|
17.41%
|
-0.80%
|
-4.60%
|
|
①/②
|
0.76
|
0.77
|
-0.02
|
-1.96%
|
|
6.全部合约
|
|
|
|
|
|
FIV
|
13.15%
|
13.43%
|
-0.28%
|
-2.08%
|
|
FCIV①
|
13.72%
|
14.25%
|
-0.53%
|
-3.72%
|
|
FPIV②
|
12.74%
|
12.82%
|
-0.08%
|
-0.62%
|
|
①/②
|
1.08
|
1.11
|
-0.03
|
-3.11%
|
|
标的50ETF收盘上涨0.80%，富融加权历史波动率指数(WHV)下跌0.16%，为12.45%。FIV（富融波指）报13.15%，下跌0.28%。结构上看，FCIV（富融购指）下跌0.53%，FPIV（富融沽指）下跌0.08%。FIV大于WHV 0.7%。
|
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)
|
指标
|
当前值
|
中位数
|
距中位数
|
平均值
|
|
50ETF收盘价格
|
3.027
|
2.941
|
2.92%
|
2.916
|
|
WHV
|
12.45%
|
17.28%
|
-4.83%
|
18.25%
|
|
FIV
|
13.15%
|
19.19%
|
-6.04%
|
19.72%
|
|
FCIV
|
13.72%
|
18.25%
|
-4.53%
|
18.47%
|
|
FPIV
|
12.74%
|
21.29%
|
-8.55%
|
21.41%
|
|
C/P Ratio
|
125.84%
|
123.39%
|
2.46%
|
124.38%
|
|
FCIV/FPIV
|
109.96%
|
87.10%
|
22.86%
|
85.41%
|
|
统计区间: 自2019年04月19日开始到目前为止，共143个交易日数据
|
|
|
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
|
50ETF11月期权
|
波动率↓价格→
|
2.75-3.5
|
2.8-3.4
|
2.85-3.3
|
2.9-3.2
|
2.95-3.1
|
|
历史波动率
|
12.45%
|
100.00%
|
100.00%
|
99.90%
|
98.36%
|
79.50%
|
|
CALL平均波动率
|
14.02%
|
100.00%
|
99.98%
|
99.68%
|
96.84%
|
73.95%
|
|
PUT平均波动率
|
11.18%
|
100.00%
|
100.00%
|
99.97%
|
99.19%
|
84.14%
|
|
|
|
|
|
|
|
|
|
50ETF11月期权
|
波动率↓价格→
|
小于2.88
|
大于2.88
|
2.88-3.18
|
小于3.18
|
大于3.18
|
|
历史波动率
|
12.45%
|
0.43%
|
99.57%
|
98.94%
|
99.37%
|
0.63%
|
|
CALL平均波动率
|
14.02%
|
0.99%
|
99.01%
|
97.67%
|
98.66%
|
1.34%
|
|
PUT平均波动率
|
11.18%
|
0.17%
|
99.83%
|
99.55%
|
99.73%
|
0.27%
|
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
