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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12/30
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12/27
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变化
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变化幅度
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50ETF
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3.051
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3.009
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0.042
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1.40%
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WHV
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12.54%
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12.53%
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0.01%
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0.08%
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2.当月合约
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FIV
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14.67%
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13.64%
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1.03%
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7.55%
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FCIV①
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15.00%
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14.77%
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0.23%
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1.56%
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FPIV②
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14.12%
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11.70%
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2.42%
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20.68%
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①/②
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1.06
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1.26
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-0.20
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-15.85%
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3.次月合约
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FIV
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14.56%
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13.71%
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0.85%
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6.20%
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FCIV①
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14.80%
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14.47%
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0.33%
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2.28%
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FPIV②
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14.14%
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12.71%
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1.43%
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11.25%
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①/②
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1.05
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1.14
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-0.09
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-8.06%
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4.第1季月合约
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FIV
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15.51%
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14.81%
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0.70%
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4.73%
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FCIV①
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15.61%
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15.06%
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0.55%
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3.65%
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FPIV②
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15.34%
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14.46%
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0.88%
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6.09%
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①/②
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1.02
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1.04
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-0.02
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-2.29%
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5.第2季月合约
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FIV
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16.23%
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15.68%
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0.55%
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3.51%
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FCIV①
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16.17%
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15.78%
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0.39%
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2.47%
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FPIV②
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16.29%
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15.56%
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0.73%
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4.69%
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①/②
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0.99
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1.01
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-0.02
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-2.12%
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6.全部合约
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FIV
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14.76%
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13.77%
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0.99%
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7.19%
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FCIV①
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15.06%
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14.79%
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0.27%
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1.83%
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FPIV②
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14.28%
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12.17%
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2.11%
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17.34%
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①/②
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1.05
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1.22
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-0.16
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-13.22%
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标的50ETF收盘上涨1.40%，富融加权历史波动率指数(WHV)上涨0.01%，为12.54%。FIV（富融波指）报14.76%，上涨0.99%。结构上看，FCIV（富融购指）上涨0.27%，FPIV（富融沽指）上涨2.11%。FIV大于WHV 2.22%。
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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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3.051
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2.980
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2.38%
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2.970
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WHV
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12.54%
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14.47%
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-1.93%
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15.03%
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FIV
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14.76%
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15.53%
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-0.77%
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16.31%
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FCIV
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15.06%
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14.24%
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0.82%
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15.01%
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FPIV
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14.28%
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17.88%
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-3.60%
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17.98%
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C/P Ratio
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166.29%
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122.53%
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43.76%
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123.42%
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FCIV/FPIV
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105.54%
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84.88%
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20.66%
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84.69%
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统计区间: 自2019年07月03日开始到目前为止，共124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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12.54%
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99.97%
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99.32%
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93.20%
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67.85%
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24.27%
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CALL平均波动率
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15.00%
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99.74%
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97.85%
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88.59%
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62.87%
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23.83%
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PUT平均波动率
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14.12%
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99.86%
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98.49%
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90.30%
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64.62%
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24.11%
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50ETF1月期权
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波动率↓价格→
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小于2.9
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大于2.9
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2.9-3.2
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小于3.2
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大于3.2
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历史波动率
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12.54%
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5.16%
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94.84%
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88.79%
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93.95%
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6.05%
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CALL平均波动率
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15.00%
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8.66%
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91.34%
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81.58%
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90.24%
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9.76%
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PUT平均波动率
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14.12%
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7.40%
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92.60%
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84.17%
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91.56%
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8.44%
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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
