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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12/18
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12/17
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变化
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变化幅度
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50ETF
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3.017
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3.025
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-0.008
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-0.26%
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WHV
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13.10%
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12.96%
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0.14%
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1.08%
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2.当月合约
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FIV
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14.17%
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11.96%
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2.21%
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18.48%
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FCIV①
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15.57%
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10.92%
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4.65%
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42.58%
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FPIV②
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11.89%
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13.56%
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-1.67%
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-12.32%
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①/②
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1.31
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0.81
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0.50
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62.61%
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3.次月合约
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FIV
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14.46%
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13.46%
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1.00%
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7.43%
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FCIV①
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15.23%
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13.14%
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2.09%
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15.91%
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FPIV②
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13.26%
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13.93%
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-0.67%
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-4.81%
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①/②
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1.15
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0.94
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0.21
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21.76%
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4.第1季月合约
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FIV
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14.67%
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13.93%
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0.74%
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5.31%
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FCIV①
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14.67%
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13.14%
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1.53%
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11.64%
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FPIV②
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14.67%
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14.77%
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-0.10%
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-0.68%
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①/②
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1.00
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0.89
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0.11
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12.40%
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5.第2季月合约
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FIV
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15.22%
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14.60%
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0.62%
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4.25%
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FCIV①
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14.57%
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13.81%
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0.76%
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5.50%
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FPIV②
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15.80%
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15.40%
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0.40%
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2.60%
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①/②
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0.92
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0.90
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0.03
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2.83%
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6.全部合约
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FIV
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14.32%
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12.56%
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1.76%
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14.01%
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FCIV①
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15.39%
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11.81%
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3.58%
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30.31%
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FPIV②
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12.78%
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13.82%
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-1.04%
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-7.53%
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①/②
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1.20
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0.85
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0.35
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40.92%
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标的50ETF收盘下跌0.26%，富融加权历史波动率指数(WHV)上涨0.14%，为13.10%。FIV（富融波指）报14.32%，上涨1.76%。结构上看，FCIV（富融购指）上涨3.58%，FPIV（富融沽指）下跌1.04%。FIV大于WHV 1.22%。
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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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3.017
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2.972
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1.51%
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2.960
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WHV
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13.10%
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15.39%
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-2.29%
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15.62%
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FIV
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14.32%
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17.36%
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-3.04%
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17.24%
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FCIV
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15.39%
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15.17%
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0.22%
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15.90%
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FPIV
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12.78%
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19.52%
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-6.74%
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18.98%
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C/P Ratio
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153.36%
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122.39%
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30.98%
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123.79%
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FCIV/FPIV
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121.31%
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85.23%
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36.08%
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83.81%
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统计区间: 自2019年06月12日开始到目前为止，共131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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13.10%
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100.00%
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100.00%
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99.94%
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93.18%
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36.31%
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CALL平均波动率
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15.57%
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100.00%
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100.00%
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99.66%
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89.18%
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36.33%
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PUT平均波动率
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11.89%
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100.00%
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100.00%
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99.98%
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95.00%
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35.76%
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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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2.87-3.17
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小于3.17
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大于3.17
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历史波动率
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13.10%
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0.23%
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99.77%
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99.41%
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99.64%
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0.36%
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CALL平均波动率
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15.57%
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0.87%
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99.13%
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97.95%
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98.82%
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1.18%
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PUT平均波动率
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11.89%
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0.09%
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99.91%
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99.75%
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99.85%
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0.15%
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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
