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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12/17
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12/16
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变化
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变化幅度
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50ETF
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3.025
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2.993
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0.032
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1.07%
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WHV
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12.96%
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12.73%
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0.23%
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1.81%
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2.当月合约
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FIV
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11.96%
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12.10%
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-0.14%
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-1.16%
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FCIV①
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10.92%
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12.92%
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-2.00%
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-15.48%
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FPIV②
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13.56%
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11.09%
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2.47%
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22.27%
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①/②
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0.81
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1.17
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-0.36
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-30.88%
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3.次月合约
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FIV
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13.46%
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13.04%
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0.42%
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3.22%
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FCIV①
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13.14%
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12.95%
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0.19%
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1.47%
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FPIV②
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13.93%
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13.16%
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0.77%
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5.85%
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①/②
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0.94
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0.98
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-0.04
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-4.14%
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4.第1季月合约
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FIV
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13.93%
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13.31%
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0.62%
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4.66%
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FCIV①
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13.14%
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12.47%
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0.67%
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5.37%
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FPIV②
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14.77%
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14.41%
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0.36%
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2.50%
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①/②
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0.89
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0.87
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0.02
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2.80%
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5.第2季月合约
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FIV
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14.60%
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14.20%
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0.40%
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2.82%
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FCIV①
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13.81%
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12.79%
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1.02%
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7.97%
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FPIV②
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15.40%
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15.46%
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-0.06%
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-0.39%
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①/②
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0.90
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0.83
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0.07
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8.40%
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6.全部合约
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FIV
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12.56%
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12.44%
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0.12%
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0.96%
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FCIV①
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11.81%
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12.90%
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-1.09%
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-8.45%
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FPIV②
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13.82%
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12.00%
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1.82%
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15.17%
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①/②
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0.85
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1.08
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-0.22
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-20.51%
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标的50ETF收盘上涨1.07%，富融加权历史波动率指数(WHV)上涨0.23%，为12.96%。FIV（富融波指）报12.56%，上涨0.12%。结构上看，FCIV（富融购指）下跌1.09%，FPIV（富融沽指）上涨1.82%。FIV小于WHV 0.4%。
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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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3.025
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2.971
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1.82%
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2.959
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WHV
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12.96%
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15.40%
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-2.44%
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15.64%
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FIV
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12.56%
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17.38%
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-4.82%
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17.26%
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FCIV
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11.81%
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15.17%
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-3.36%
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15.91%
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FPIV
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13.82%
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19.53%
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-5.71%
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19.02%
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C/P Ratio
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146.53%
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122.32%
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24.22%
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123.56%
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FCIV/FPIV
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84.84%
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85.11%
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-0.27%
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83.52%
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统计区间: 自2019年06月12日开始到目前为止，共130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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12.96%
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100.00%
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100.00%
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99.83%
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89.82%
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31.88%
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CALL平均波动率
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10.92%
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100.00%
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100.00%
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99.97%
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93.49%
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29.94%
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PUT平均波动率
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13.56%
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100.00%
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100.00%
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99.74%
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88.72%
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32.19%
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50ETF12月期权
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波动率↓价格→
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小于2.87
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大于2.87
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2.87-3.18
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小于3.18
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大于3.18
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历史波动率
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12.96%
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0.38%
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99.62%
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99.08%
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99.45%
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0.55%
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CALL平均波动率
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10.92%
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0.08%
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99.92%
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99.80%
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99.87%
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0.13%
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PUT平均波动率
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13.56%
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0.53%
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99.47%
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98.71%
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99.24%
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0.76%
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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
