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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12/27
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12/26
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变化
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变化幅度
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50ETF
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3.009
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3.002
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0.007
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0.23%
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WHV
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12.53%
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12.63%
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-0.10%
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-0.79%
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2.当月合约
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FIV
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13.64%
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13.11%
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0.53%
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4.04%
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FCIV①
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14.77%
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13.92%
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0.85%
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6.11%
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FPIV②
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11.70%
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11.97%
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-0.27%
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-2.26%
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①/②
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1.26
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1.16
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0.10
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8.55%
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3.次月合约
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FIV
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13.71%
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13.18%
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0.53%
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4.02%
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FCIV①
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14.47%
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13.74%
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0.73%
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5.31%
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FPIV②
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12.71%
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12.64%
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0.07%
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0.55%
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①/②
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1.14
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1.09
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0.05
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4.73%
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4.第1季月合约
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FIV
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14.81%
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14.63%
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0.18%
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1.23%
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FCIV①
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15.06%
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14.92%
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0.14%
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0.94%
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FPIV②
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14.46%
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14.28%
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0.18%
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1.26%
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①/②
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1.04
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1.04
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0.00
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-0.32%
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5.第2季月合约
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FIV
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15.68%
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15.42%
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0.26%
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1.69%
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FCIV①
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15.78%
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15.55%
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0.23%
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1.48%
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FPIV②
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15.56%
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15.34%
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0.22%
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1.43%
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①/②
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1.01
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1.01
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0.00
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0.04%
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6.全部合约
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FIV
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13.77%
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13.28%
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0.49%
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3.69%
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FCIV①
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14.79%
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14.01%
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0.78%
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5.57%
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FPIV②
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12.17%
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12.39%
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-0.22%
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-1.78%
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①/②
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1.22
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1.13
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0.08
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7.48%
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标的50ETF收盘上涨0.23%，富融加权历史波动率指数(WHV)下跌0.10%，为12.53%。FIV（富融波指）报13.77%，上涨0.49%。结构上看，FCIV（富融购指）上涨0.78%，FPIV（富融沽指）下跌0.22%。FIV大于WHV 1.24%。
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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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3.009
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2.980
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0.99%
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2.969
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WHV
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12.53%
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14.48%
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-1.95%
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15.05%
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FIV
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13.77%
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15.61%
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-1.84%
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16.32%
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FCIV
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14.79%
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14.18%
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0.61%
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15.01%
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FPIV
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12.17%
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17.97%
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-5.80%
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18.01%
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C/P Ratio
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164.96%
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122.49%
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42.46%
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123.07%
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FCIV/FPIV
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122.29%
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84.86%
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37.43%
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84.52%
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统计区间: 自2019年07月03日开始到目前为止，共123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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12.53%
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99.93%
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99.36%
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95.15%
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76.13%
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32.94%
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CALL平均波动率
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14.77%
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99.60%
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97.92%
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90.70%
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69.10%
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29.51%
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PUT平均波动率
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11.70%
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99.97%
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99.65%
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96.51%
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78.91%
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34.32%
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50ETF1月期权
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波动率↓价格→
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小于2.86
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大于2.86
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2.86-3.16
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小于3.16
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大于3.16
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历史波动率
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12.53%
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6.25%
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93.75%
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86.52%
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92.77%
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7.23%
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CALL平均波动率
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14.77%
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9.65%
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90.35%
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79.56%
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89.22%
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10.78%
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PUT平均波动率
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11.70%
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5.02%
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94.98%
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89.08%
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94.10%
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5.90%
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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
