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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12/31
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12/30
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变化
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变化幅度
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50ETF
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3.058
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3.051
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0.007
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0.23%
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WHV
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12.52%
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12.54%
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-0.02%
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-0.16%
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2.当月合约
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FIV
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14.54%
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14.67%
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-0.13%
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-0.89%
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FCIV①
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14.71%
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15.00%
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-0.29%
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-1.93%
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FPIV②
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14.31%
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14.12%
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0.19%
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1.35%
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①/②
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1.03
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1.06
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-0.03
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-3.24%
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3.次月合约
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FIV
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15.33%
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14.56%
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0.77%
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5.29%
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FCIV①
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15.67%
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14.80%
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0.87%
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5.88%
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FPIV②
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14.80%
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14.14%
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0.66%
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4.67%
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①/②
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1.06
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1.05
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0.01
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1.16%
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4.第1季月合约
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FIV
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16.21%
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15.51%
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0.70%
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4.51%
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FCIV①
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16.41%
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15.61%
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0.80%
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5.12%
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FPIV②
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15.85%
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15.34%
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0.51%
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3.32%
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①/②
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1.04
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1.02
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0.02
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1.74%
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5.第2季月合约
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FIV
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16.74%
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16.23%
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0.51%
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3.14%
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FCIV①
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16.70%
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16.17%
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0.53%
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3.28%
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FPIV②
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16.78%
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16.29%
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0.49%
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3.01%
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①/②
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1.00
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0.99
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0.00
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0.26%
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6.全部合约
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FIV
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14.79%
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14.76%
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0.03%
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0.20%
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FCIV①
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15.02%
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15.06%
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-0.04%
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-0.27%
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FPIV②
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14.54%
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14.28%
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0.26%
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1.82%
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①/②
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1.03
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1.05
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-0.02
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-2.05%
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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0.02%，为12.52%。FIV（富融波指）报14.79%，上涨0.03%。结构上看，FCIV（富融购指）下跌0.04%，FPIV（富融沽指）上涨0.26%。FIV大于WHV 2.27%。
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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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3.058
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2.981
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2.60%
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2.971
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WHV
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12.52%
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14.47%
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-1.95%
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15.01%
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FIV
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14.79%
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15.19%
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-0.40%
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16.30%
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FCIV
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15.02%
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14.25%
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0.77%
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15.01%
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FPIV
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14.54%
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17.85%
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-3.31%
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17.95%
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C/P Ratio
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137.32%
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122.53%
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14.79%
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123.53%
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FCIV/FPIV
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103.28%
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84.99%
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18.28%
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84.84%
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统计区间: 自2019年07月03日开始到目前为止，共125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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12.52%
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99.97%
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99.31%
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92.80%
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66.04%
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22.45%
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CALL平均波动率
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14.71%
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99.80%
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98.09%
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88.82%
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62.16%
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22.71%
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PUT平均波动率
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14.31%
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99.85%
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98.37%
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89.58%
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62.87%
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22.73%
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50ETF1月期权
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波动率↓价格→
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小于2.91
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大于2.91
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2.91-3.21
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小于3.21
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大于3.21
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历史波动率
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12.52%
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4.76%
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95.24%
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89.62%
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94.38%
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5.62%
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CALL平均波动率
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14.71%
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7.78%
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92.22%
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83.38%
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91.16%
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8.84%
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PUT平均波动率
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14.31%
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7.21%
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92.79%
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84.55%
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91.76%
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8.24%
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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
