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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1/10
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1/9
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变化
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变化幅度
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50ETF
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3.061
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3.057
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0.004
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0.13%
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WHV
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13.17%
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13.02%
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0.15%
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1.15%
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2.当月合约
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FIV
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14.18%
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14.79%
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-0.61%
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-4.12%
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FCIV①
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13.88%
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14.32%
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-0.44%
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-3.07%
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FPIV②
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14.53%
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15.38%
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-0.85%
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-5.53%
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①/②
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0.96
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0.93
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0.02
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2.60%
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3.次月合约
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FIV
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15.15%
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15.40%
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-0.25%
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-1.62%
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FCIV①
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15.32%
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15.34%
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-0.02%
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-0.13%
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FPIV②
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14.90%
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15.48%
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-0.58%
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-3.75%
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①/②
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1.03
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0.99
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0.04
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3.76%
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4.第1季月合约
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FIV
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17.19%
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17.46%
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-0.27%
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-1.55%
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FCIV①
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17.22%
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17.56%
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-0.34%
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-1.94%
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FPIV②
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17.14%
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17.31%
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-0.17%
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-0.98%
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①/②
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1.00
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1.01
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-0.01
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-0.96%
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5.第2季月合约
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FIV
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17.58%
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17.83%
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-0.25%
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-1.40%
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FCIV①
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17.43%
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17.82%
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-0.39%
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-2.19%
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FPIV②
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17.71%
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17.85%
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-0.14%
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-0.78%
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①/②
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0.98
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1.00
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-0.01
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-1.42%
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6.全部合约
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FIV
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14.60%
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15.11%
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-0.51%
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-3.38%
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FCIV①
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14.50%
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14.82%
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-0.32%
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-2.16%
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FPIV②
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14.83%
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15.58%
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-0.75%
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-4.81%
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①/②
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0.98
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0.95
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0.03
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2.79%
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标的50ETF收盘上涨0.13%，富融加权历史波动率指数(WHV)上涨0.15%，为13.17%。FIV（富融波指）报14.60%，下跌0.51%。结构上看，FCIV（富融购指）下跌0.32%，FPIV（富融沽指）下跌0.75%。FIV大于WHV 1.43%。
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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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3.061
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2.987
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2.48%
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2.975
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WHV
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13.17%
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14.37%
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-1.20%
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14.73%
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FIV
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14.60%
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14.85%
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-0.25%
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16.01%
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FCIV
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14.50%
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14.47%
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0.03%
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14.75%
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FPIV
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14.83%
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17.51%
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-2.68%
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17.65%
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C/P Ratio
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120.22%
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122.53%
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-2.31%
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124.17%
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FCIV/FPIV
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97.53%
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85.34%
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12.19%
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84.98%
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统计区间: 自2019年07月09日开始到目前为止，共128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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2.75-3.5
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2.8-3.4
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2.85-3.3
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2.9-3.2
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2.95-3.1
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历史波动率
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13.17%
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100.00%
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99.99%
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99.78%
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95.67%
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64.10%
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CALL平均波动率
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13.88%
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100.00%
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99.98%
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99.63%
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94.53%
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62.14%
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PUT平均波动率
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14.53%
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100.00%
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99.96%
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99.45%
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93.39%
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60.41%
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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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13.17%
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1.59%
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98.41%
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96.36%
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97.95%
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2.05%
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CALL平均波动率
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13.88%
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2.08%
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97.92%
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95.30%
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97.37%
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2.63%
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PUT平均波动率
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14.53%
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2.58%
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97.42%
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94.22%
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96.80%
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3.20%
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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
