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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11/25
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11/22
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变化
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变化幅度
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50ETF
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2.994
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2.967
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0.027
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0.91%
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WHV
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12.75%
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12.54%
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0.21%
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1.67%
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2.当月合约
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FIV
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13.63%
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13.90%
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-0.27%
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-1.94%
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FCIV①
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15.84%
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12.76%
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3.08%
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24.14%
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FPIV②
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11.11%
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15.19%
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-4.08%
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-26.86%
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①/②
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1.43
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0.84
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0.59
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69.73%
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3.次月合约
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FIV
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12.98%
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13.65%
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-0.67%
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-4.91%
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FCIV①
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11.36%
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12.40%
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-1.04%
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-8.39%
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FPIV②
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14.63%
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15.00%
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-0.37%
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-2.47%
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①/②
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0.78
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0.83
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-0.05
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-6.07%
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4.第1季月合约
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FIV
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13.49%
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13.55%
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-0.06%
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-0.44%
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FCIV①
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11.04%
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11.90%
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-0.86%
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-7.23%
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FPIV②
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15.56%
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15.12%
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0.44%
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2.91%
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①/②
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0.71
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0.79
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-0.08
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-9.85%
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5.第2季月合约
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FIV
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14.16%
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14.38%
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-0.22%
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-1.53%
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FCIV①
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11.83%
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12.61%
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-0.78%
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-6.19%
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FPIV②
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16.27%
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15.89%
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0.38%
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2.39%
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①/②
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0.73
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0.79
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-0.07
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-8.38%
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6.全部合约
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FIV
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13.36%
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13.80%
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-0.44%
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-3.19%
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FCIV①
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14.04%
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12.59%
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1.45%
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11.52%
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FPIV②
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13.30%
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15.14%
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-1.84%
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-12.15%
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①/②
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1.06
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0.83
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0.22
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26.95%
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标的50ETF收盘上涨0.91%，富融加权历史波动率指数(WHV)上涨0.21%，为12.75%。FIV（富融波指）报13.36%，下跌0.44%。结构上看，FCIV（富融购指）上涨1.45%，FPIV（富融沽指）下跌1.84%。FIV大于WHV 0.61%。
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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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2.994
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2.968
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0.88%
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2.949
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WHV
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12.75%
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16.04%
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-3.29%
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16.42%
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FIV
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13.36%
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18.00%
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-4.64%
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18.14%
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FCIV
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14.04%
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16.00%
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-1.96%
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16.73%
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FPIV
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13.30%
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20.45%
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-7.15%
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19.99%
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C/P Ratio
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106.22%
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123.33%
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-17.11%
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125.53%
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FCIV/FPIV
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104.92%
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85.11%
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19.81%
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83.23%
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统计区间: 自2019年06月03日开始到目前为止，共120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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50ETF12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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12.75%
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99.00%
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96.64%
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90.74%
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77.44%
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48.68%
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CALL平均波动率
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11.36%
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99.55%
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98.01%
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93.35%
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81.58%
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53.26%
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PUT平均波动率
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14.63%
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97.86%
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94.37%
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86.99%
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72.03%
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43.46%
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50ETF12月期权
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波动率↓价格→
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小于2.84
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大于2.84
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2.84-3.14
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小于3.14
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大于3.14
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历史波动率
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12.75%
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8.02%
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91.98%
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82.89%
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90.91%
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9.09%
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CALL平均波动率
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11.36%
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5.77%
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94.23%
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87.53%
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93.29%
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6.71%
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PUT平均波动率
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14.63%
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11.07%
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88.93%
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76.70%
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87.77%
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12.23%
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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
