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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12/12
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12/11
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变化
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变化幅度
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50ETF
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2.937
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2.947
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-0.010
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-0.34%
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WHV
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12.31%
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12.44%
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-0.13%
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-1.05%
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2.当月合约
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FIV
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11.97%
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11.40%
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0.57%
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5.00%
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FCIV①
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12.07%
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10.39%
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1.68%
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16.17%
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FPIV②
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11.87%
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12.45%
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-0.58%
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-4.66%
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①/②
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1.02
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0.83
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0.18
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21.85%
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3.次月合约
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FIV
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12.11%
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11.74%
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0.37%
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3.15%
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FCIV①
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11.19%
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10.32%
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0.87%
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8.43%
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FPIV②
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12.98%
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13.00%
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-0.02%
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-0.15%
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①/②
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0.86
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0.79
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0.07
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8.60%
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4.第1季月合约
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FIV
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13.00%
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12.63%
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0.37%
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2.93%
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FCIV①
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11.70%
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11.19%
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0.51%
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4.56%
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FPIV②
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14.11%
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14.38%
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-0.27%
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-1.88%
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①/②
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0.83
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0.78
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0.05
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6.56%
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5.第2季月合约
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FIV
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13.65%
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13.34%
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0.31%
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2.32%
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FCIV①
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11.48%
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11.17%
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0.31%
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2.78%
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FPIV②
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15.35%
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15.39%
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-0.04%
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-0.26%
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①/②
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0.75
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0.73
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0.02
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3.04%
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6.全部合约
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FIV
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12.06%
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11.55%
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0.51%
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4.42%
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FCIV①
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11.93%
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10.44%
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1.49%
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14.27%
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FPIV②
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12.25%
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12.70%
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-0.45%
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-3.54%
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①/②
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0.97
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0.82
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0.15
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18.47%
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标的50ETF收盘下跌0.34%，富融加权历史波动率指数(WHV)下跌0.13%，为12.31%。FIV（富融波指）报12.06%，上涨0.51%。结构上看，FCIV（富融购指）上涨1.49%，FPIV（富融沽指）下跌0.45%。FIV小于WHV 0.25%。
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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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2.937
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2.968
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-1.03%
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2.958
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WHV
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12.31%
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15.53%
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-3.22%
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15.71%
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FIV
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12.06%
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17.41%
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-5.35%
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17.37%
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FCIV
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11.93%
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15.28%
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-3.35%
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15.99%
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FPIV
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12.25%
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19.73%
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-7.48%
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19.16%
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C/P Ratio
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104.40%
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122.39%
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-17.98%
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123.43%
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FCIV/FPIV
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97.72%
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84.99%
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12.72%
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83.19%
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统计区间: 自2019年06月12日开始到目前为止，共127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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2.65-3.3
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2.7-3.2
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2.75-3.1
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2.8-3
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2.85-2.95
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历史波动率
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12.31%
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100.00%
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99.97%
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98.77%
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79.97%
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47.77%
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CALL平均波动率
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12.07%
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100.00%
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99.98%
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98.92%
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80.64%
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48.36%
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PUT平均波动率
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11.87%
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100.00%
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99.98%
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99.04%
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81.19%
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48.85%
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50ETF12月期权
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波动率↓价格→
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小于2.79
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大于2.79
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2.79-3.08
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小于3.08
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大于3.08
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历史波动率
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12.31%
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1.36%
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98.64%
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96.85%
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98.22%
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1.78%
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CALL平均波动率
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12.07%
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1.21%
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98.79%
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97.18%
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98.39%
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1.61%
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PUT平均波动率
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11.87%
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1.10%
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98.90%
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97.43%
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98.53%
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1.47%
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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
