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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12/16
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12/13
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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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3
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-0.007
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-0.23%
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WHV
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12.73%
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12.47%
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0.26%
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2.09%
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2.当月合约
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FIV
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12.10%
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13.26%
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-1.16%
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-8.75%
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FCIV①
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12.92%
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13.36%
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-0.44%
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-3.29%
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FPIV②
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11.09%
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13.13%
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-2.04%
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-15.54%
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①/②
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1.17
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1.02
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0.15
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14.50%
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3.次月合约
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FIV
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13.04%
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13.31%
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-0.27%
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-2.03%
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FCIV①
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12.95%
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12.75%
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0.20%
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1.57%
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FPIV②
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13.16%
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13.94%
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-0.78%
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-5.60%
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①/②
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0.98
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0.91
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0.07
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7.59%
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4.第1季月合约
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FIV
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13.31%
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13.62%
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-0.31%
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-2.28%
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FCIV①
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12.47%
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12.22%
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0.25%
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2.05%
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FPIV②
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14.41%
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15.00%
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-0.59%
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-3.93%
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①/②
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0.87
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0.81
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0.05
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6.22%
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5.第2季月合约
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FIV
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14.20%
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14.36%
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-0.16%
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-1.11%
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FCIV①
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12.79%
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12.09%
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0.70%
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5.79%
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FPIV②
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15.46%
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16.04%
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-0.58%
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-3.62%
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①/②
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0.83
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0.75
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0.07
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9.76%
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6.全部合约
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FIV
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12.44%
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13.31%
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-0.87%
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-6.54%
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FCIV①
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12.90%
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13.19%
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-0.29%
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-2.20%
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FPIV②
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12.00%
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13.49%
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-1.49%
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-11.05%
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①/②
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1.08
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0.98
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0.10
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9.95%
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标的50ETF收盘下跌0.23%，富融加权历史波动率指数(WHV)上涨0.26%，为12.73%。FIV（富融波指）报12.44%，下跌0.87%。结构上看，FCIV（富融购指）下跌0.29%，FPIV（富融沽指）下跌1.49%。FIV小于WHV 0.29%。
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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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2.959
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WHV
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12.73%
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15.45%
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-2.72%
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15.66%
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FIV
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12.44%
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17.39%
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-4.95%
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17.30%
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FCIV
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12.90%
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15.17%
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-2.27%
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15.94%
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FPIV
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12.00%
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19.55%
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-7.55%
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19.06%
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C/P Ratio
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121.36%
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122.27%
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-0.91%
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123.38%
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FCIV/FPIV
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108.67%
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85.23%
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23.44%
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83.51%
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统计区间: 自2019年06月12日开始到目前为止，共129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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2.7-3.4
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2.75-3.3
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2.8-3.2
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2.85-3.1
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2.9-3
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历史波动率
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12.73%
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100.00%
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100.00%
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99.92%
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95.35%
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48.94%
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CALL平均波动率
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12.92%
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100.00%
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100.00%
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99.90%
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95.03%
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48.59%
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PUT平均波动率
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11.09%
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100.00%
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100.00%
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99.99%
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97.57%
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51.84%
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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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12.73%
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0.51%
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99.49%
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98.76%
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99.27%
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0.73%
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CALL平均波动率
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12.92%
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0.57%
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99.43%
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98.61%
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99.19%
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0.81%
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PUT平均波动率
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11.09%
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0.16%
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99.84%
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99.58%
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99.75%
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0.25%
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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
