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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11/26
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11/25
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变化
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变化幅度
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50ETF
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2.993
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2.994
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-0.001
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-0.03%
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WHV
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12.88%
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12.75%
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0.13%
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1.02%
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2.当月合约
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FIV
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14.80%
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13.63%
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1.17%
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8.58%
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FCIV①
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9.59%
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15.84%
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-6.25%
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-39.46%
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FPIV②
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21.66%
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11.11%
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10.55%
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94.96%
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①/②
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0.44
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1.43
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-0.98
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-68.95%
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3.次月合约
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FIV
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13.19%
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12.98%
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0.21%
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1.62%
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FCIV①
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11.06%
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11.36%
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-0.30%
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-2.64%
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FPIV②
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15.50%
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14.63%
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0.87%
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5.95%
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①/②
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0.71
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0.78
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-0.06
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-8.11%
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4.第1季月合约
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FIV
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13.07%
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13.49%
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-0.42%
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-3.11%
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FCIV①
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10.52%
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11.04%
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-0.52%
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-4.71%
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FPIV②
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15.72%
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15.56%
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0.16%
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1.03%
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①/②
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0.67
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0.71
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-0.04
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-5.68%
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5.第2季月合约
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FIV
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14.02%
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14.16%
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-0.14%
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-0.99%
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FCIV①
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11.06%
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11.83%
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-0.77%
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-6.51%
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FPIV②
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16.68%
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16.27%
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0.41%
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2.52%
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①/②
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0.66
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0.73
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-0.06
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-8.81%
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6.全部合约
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FIV
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13.93%
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13.36%
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0.57%
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4.27%
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FCIV①
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10.39%
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14.04%
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-3.65%
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-26.00%
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FPIV②
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18.69%
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13.30%
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5.39%
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40.53%
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①/②
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0.56
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1.06
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-0.50
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-47.34%
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标的50ETF收盘下跌0.03%，富融加权历史波动率指数(WHV)上涨0.13%，为12.88%。FIV（富融波指）报13.93%，上涨0.57%。结构上看，FCIV（富融购指）下跌3.65%，FPIV（富融沽指）上涨5.39%。FIV大于WHV 1.05%。
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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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2.993
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2.970
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0.79%
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2.950
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WHV
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12.88%
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16.02%
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-3.14%
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16.39%
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FIV
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13.93%
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17.99%
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-4.06%
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18.11%
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FCIV
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10.39%
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15.90%
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-5.51%
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16.67%
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FPIV
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18.69%
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20.44%
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-1.75%
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19.98%
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C/P Ratio
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118.19%
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123.22%
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-5.03%
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125.47%
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FCIV/FPIV
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56.81%
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85.10%
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-28.29%
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83.01%
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统计区间: 自2019年06月03日开始到目前为止，共121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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12.88%
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99.01%
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96.66%
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90.76%
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77.49%
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48.82%
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CALL平均波动率
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11.06%
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99.67%
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98.37%
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94.09%
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82.83%
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54.87%
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PUT平均波动率
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15.50%
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97.35%
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93.47%
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85.61%
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70.21%
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41.91%
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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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12.88%
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7.89%
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92.11%
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83.16%
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91.05%
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8.95%
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CALL平均波动率
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11.06%
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5.00%
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95.00%
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89.11%
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94.12%
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5.88%
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PUT平均波动率
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15.50%
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12.02%
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87.98%
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74.78%
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86.80%
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13.20%
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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
