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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1/13
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1/10
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变化
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变化幅度
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50ETF
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3.08
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3.061
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0.019
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0.62%
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WHV
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13.00%
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13.17%
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-0.17%
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-1.29%
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2.当月合约
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FIV
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15.09%
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14.18%
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0.91%
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6.42%
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FCIV①
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15.61%
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13.88%
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1.73%
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12.46%
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FPIV②
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14.46%
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14.53%
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-0.07%
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-0.48%
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①/②
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1.08
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0.96
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0.12
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13.01%
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3.次月合约
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FIV
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14.73%
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15.15%
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-0.42%
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-2.77%
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FCIV①
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15.16%
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15.32%
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-0.16%
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-1.04%
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FPIV②
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14.16%
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14.90%
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-0.74%
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-4.97%
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①/②
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1.07
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1.03
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0.04
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4.13%
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4.第1季月合约
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FIV
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16.84%
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17.19%
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-0.35%
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-2.04%
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FCIV①
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16.89%
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17.22%
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-0.33%
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-1.92%
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FPIV②
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16.76%
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17.14%
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-0.38%
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-2.22%
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①/②
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1.01
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1.00
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0.00
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0.31%
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5.第2季月合约
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FIV
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17.34%
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17.58%
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-0.24%
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-1.37%
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FCIV①
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17.32%
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17.43%
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-0.11%
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-0.63%
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FPIV②
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17.36%
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17.71%
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-0.35%
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-1.98%
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①/②
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1.00
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0.98
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0.01
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1.37%
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6.全部合约
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FIV
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15.17%
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14.60%
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0.57%
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3.90%
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FCIV①
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15.64%
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14.50%
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1.14%
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7.86%
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FPIV②
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14.64%
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14.83%
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-0.19%
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-1.28%
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①/②
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1.07
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0.98
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0.09
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9.26%
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标的50ETF收盘上涨0.62%，富融加权历史波动率指数(WHV)下跌0.17%，为13.00%。FIV（富融波指）报15.17%，上涨0.57%。结构上看，FCIV（富融购指）上涨1.14%，FPIV（富融沽指）下跌0.19%。FIV大于WHV 2.17%。
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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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3.08
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2.987
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3.11%
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2.976
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WHV
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13.00%
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14.36%
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-1.36%
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14.72%
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FIV
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15.17%
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14.98%
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0.19%
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16.01%
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FCIV
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15.64%
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14.49%
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1.15%
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14.75%
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FPIV
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14.64%
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17.49%
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-2.85%
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17.62%
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C/P Ratio
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123.89%
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122.58%
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1.31%
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124.17%
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FCIV/FPIV
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107.02%
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85.43%
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21.59%
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85.15%
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统计区间: 自2019年07月09日开始到目前为止，共129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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13.00%
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100.00%
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100.00%
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99.96%
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96.78%
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60.70%
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CALL平均波动率
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15.61%
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100.00%
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99.99%
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99.68%
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93.35%
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56.49%
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PUT平均波动率
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14.46%
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100.00%
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100.00%
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99.85%
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94.98%
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58.34%
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50ETF1月期权
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波动率↓价格→
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小于2.93
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大于2.93
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2.93-3.23
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小于3.23
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大于3.23
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历史波动率
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13.00%
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0.60%
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99.40%
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98.55%
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99.16%
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0.84%
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CALL平均波动率
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15.61%
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1.82%
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98.18%
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95.86%
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97.67%
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2.33%
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PUT平均波动率
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14.46%
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1.20%
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98.80%
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97.22%
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98.42%
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1.58%
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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
