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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12/24
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12/23
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变化
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变化幅度
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50ETF
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2.988
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2.979
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0.009
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0.30%
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WHV
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12.79%
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12.96%
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-0.17%
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-1.31%
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2.当月合约
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FIV
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10.93%
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13.99%
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-3.06%
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-21.87%
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FCIV①
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9.71%
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13.74%
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-4.03%
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-29.33%
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FPIV②
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12.46%
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14.32%
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-1.86%
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-12.99%
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①/②
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0.78
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0.96
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-0.18
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-18.78%
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3.次月合约
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FIV
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13.03%
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14.08%
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-1.05%
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-7.46%
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FCIV①
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13.53%
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14.66%
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-1.13%
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-7.71%
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FPIV②
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12.43%
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13.26%
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-0.83%
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-6.26%
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①/②
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1.09
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1.11
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-0.02
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-1.55%
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4.第1季月合约
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FIV
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14.39%
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14.56%
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-0.17%
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-1.17%
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FCIV①
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14.37%
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14.38%
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-0.01%
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-0.07%
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FPIV②
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14.41%
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14.85%
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-0.44%
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-2.96%
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①/②
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1.00
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0.97
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0.03
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2.98%
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5.第2季月合约
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FIV
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15.06%
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15.27%
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-0.21%
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-1.38%
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FCIV①
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15.09%
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15.14%
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-0.05%
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-0.33%
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FPIV②
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15.03%
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15.41%
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-0.38%
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-2.47%
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①/②
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1.00
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0.98
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0.02
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2.19%
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6.全部合约
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FIV
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12.24%
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14.09%
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-1.85%
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-13.13%
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FCIV①
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12.28%
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14.24%
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-1.96%
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-13.76%
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FPIV②
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12.61%
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13.93%
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-1.32%
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-9.48%
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①/②
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0.97
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1.02
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-0.05
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-4.74%
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标的50ETF收盘上涨0.30%，富融加权历史波动率指数(WHV)下跌0.17%，为12.79%。FIV（富融波指）报12.24%，下跌1.85%。结构上看，FCIV（富融购指）下跌1.96%，FPIV（富融沽指）下跌1.32%。FIV小于WHV 0.55%。
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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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2.988
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2.977
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0.39%
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2.961
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WHV
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12.79%
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15.19%
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-2.40%
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15.55%
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FIV
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12.24%
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17.28%
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-5.04%
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17.12%
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FCIV
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12.28%
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15.13%
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-2.85%
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15.85%
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FPIV
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12.61%
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19.46%
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-6.85%
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18.78%
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C/P Ratio
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123.61%
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122.49%
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1.12%
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124.24%
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FCIV/FPIV
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94.99%
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85.56%
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9.43%
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84.84%
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统计区间: 自2019年06月12日开始到目前为止，共135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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50ETF1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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12.79%
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99.74%
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98.64%
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93.56%
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75.15%
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34.08%
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CALL平均波动率
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13.53%
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99.57%
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98.07%
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91.97%
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72.53%
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32.53%
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PUT平均波动率
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12.43%
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99.80%
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98.88%
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94.29%
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76.46%
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34.87%
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50ETF1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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12.79%
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7.74%
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92.26%
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83.46%
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91.20%
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8.80%
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CALL平均波动率
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13.53%
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8.93%
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91.07%
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81.04%
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89.96%
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10.04%
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PUT平均波动率
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12.43%
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7.16%
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92.84%
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84.65%
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91.81%
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8.19%
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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
