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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1/21
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1/20
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变化
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变化幅度
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50ETF
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3.007
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3.058
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-0.051
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-1.67%
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WHV
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12.25%
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12.18%
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0.07%
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0.57%
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2.当月合约
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FIV
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14.24%
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12.96%
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1.28%
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9.88%
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FCIV①
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17.40%
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6.26%
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11.14%
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177.96%
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FPIV②
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11.27%
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21.49%
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-10.22%
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-47.56%
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①/②
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1.54
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0.29
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1.25
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430.01%
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3.次月合约
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FIV
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15.82%
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13.78%
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2.04%
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14.80%
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FCIV①
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16.16%
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13.82%
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2.34%
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16.93%
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FPIV②
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15.41%
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13.74%
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1.67%
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12.15%
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①/②
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1.05
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1.01
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0.04
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4.26%
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4.第1季月合约
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FIV
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16.97%
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15.72%
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1.25%
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7.95%
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FCIV①
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17.16%
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16.00%
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1.16%
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7.25%
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FPIV②
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16.79%
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15.38%
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1.41%
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9.17%
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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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-1.76%
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5.第2季月合约
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FIV
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17.41%
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16.60%
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0.81%
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4.88%
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FCIV①
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17.91%
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16.82%
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1.09%
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6.48%
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FPIV②
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16.98%
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16.31%
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0.67%
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4.11%
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①/②
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1.05
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1.03
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0.02
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2.28%
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6.全部合约
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FIV
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15.36%
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13.63%
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1.73%
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12.69%
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FCIV①
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16.77%
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12.20%
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4.57%
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37.46%
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FPIV②
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14.25%
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18.17%
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-3.92%
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-21.57%
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①/②
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1.18
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0.67
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0.51
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75.27%
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标的50ETF收盘下跌1.67%，富融加权历史波动率指数(WHV)上涨0.07%，为12.25%。FIV（富融波指）报15.36%，上涨1.73%。结构上看，FCIV（富融购指）上涨4.57%，FPIV（富融沽指）下跌3.92%。FIV大于WHV 3.11%。
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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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3.007
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2.988
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0.64%
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2.979
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WHV
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12.25%
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14.34%
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-2.09%
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14.61%
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FIV
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15.36%
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14.78%
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0.58%
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15.92%
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FCIV
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16.77%
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14.36%
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2.41%
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14.72%
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FPIV
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14.25%
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17.37%
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-3.12%
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17.49%
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C/P Ratio
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105.31%
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123.22%
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-17.91%
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124.39%
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FCIV/FPIV
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120.53%
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85.68%
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34.85%
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85.65%
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统计区间: 自2019年07月09日开始到目前为止，共135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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50ETF2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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12.25%
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98.98%
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96.74%
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91.04%
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77.38%
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47.62%
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CALL平均波动率
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16.16%
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95.94%
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91.23%
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82.11%
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65.22%
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37.27%
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PUT平均波动率
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15.41%
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96.67%
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92.41%
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83.86%
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67.35%
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38.91%
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50ETF2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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12.25%
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9.13%
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90.87%
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80.63%
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89.76%
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10.24%
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CALL平均波动率
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16.16%
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15.61%
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84.39%
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67.57%
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83.18%
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16.82%
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PUT平均波动率
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15.41%
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14.47%
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85.53%
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69.86%
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84.32%
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15.68%
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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
