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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2/3
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1/23
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变化
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变化幅度
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50ETF
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2.707
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2.925
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-0.218
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-7.45%
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WHV
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14.15%
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12.85%
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1.30%
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10.12%
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2.当月合约
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FIV
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39.87%
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17.14%
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22.73%
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132.61%
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FCIV①
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28.01%
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17.19%
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10.82%
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62.94%
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FPIV②
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55.87%
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17.09%
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38.78%
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226.92%
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①/②
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0.50
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1.01
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-0.50
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-50.16%
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3.次月合约
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FIV
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34.92%
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18.50%
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16.42%
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88.76%
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FCIV①
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26.77%
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18.70%
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8.07%
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43.16%
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FPIV②
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45.34%
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18.27%
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27.07%
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148.17%
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①/②
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0.59
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1.02
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-0.43
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-42.31%
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4.第1季月合约
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FIV
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29.80%
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18.69%
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11.11%
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59.44%
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FCIV①
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23.44%
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19.00%
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4.44%
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23.37%
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FPIV②
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35.37%
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18.42%
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16.95%
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92.02%
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①/②
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0.66
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1.03
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-0.37
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-35.75%
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5.第2季月合约
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FIV
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26.25%
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18.83%
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7.42%
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39.41%
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FCIV①
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21.56%
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19.66%
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1.90%
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9.66%
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FPIV②
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32.99%
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18.03%
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14.96%
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82.97%
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①/②
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0.65
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1.09
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-0.44
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-40.07%
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6.全部合约
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FIV
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38.35%
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17.40%
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20.95%
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120.40%
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FCIV①
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27.56%
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17.53%
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10.03%
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57.22%
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FPIV②
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53.37%
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17.31%
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36.06%
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208.32%
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①/②
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0.52
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1.01
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-0.50
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-49.01%
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标的50ETF收盘下跌7.45%，富融加权历史波动率指数(WHV)上涨1.30%，为14.15%。FIV（富融波指）报38.35%，上涨20.95%。结构上看，FCIV（富融购指）上涨10.03%，FPIV（富融沽指）上涨36.06%。FIV大于WHV 24.2%。
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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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2.707
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3.000
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-9.77%
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2.982
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WHV
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14.15%
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13.18%
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0.97%
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14.08%
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FIV
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38.35%
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14.51%
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23.84%
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15.41%
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FCIV
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27.56%
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14.03%
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13.53%
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14.08%
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FPIV
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53.37%
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16.20%
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37.17%
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17.16%
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C/P Ratio
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130.95%
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122.46%
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8.49%
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123.06%
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FCIV/FPIV
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52.32%
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84.58%
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-32.26%
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84.70%
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统计区间: 自2019年07月30日开始到目前为止，共123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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14.15%
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32.87%
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17.08%
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7.37%
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2.63%
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0.77%
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CALL平均波动率
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28.01%
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41.12%
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31.49%
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22.96%
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15.50%
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8.38%
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PUT平均波动率
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55.87%
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42.18%
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35.28%
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27.79%
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19.52%
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10.31%
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50ETF2月期权
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波动率↓价格→
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小于2.57
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大于2.57
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2.57-2.84
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小于2.84
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大于2.84
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历史波动率
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14.15%
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7.44%
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92.56%
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84.08%
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91.52%
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8.48%
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CALL平均波动率
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28.01%
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23.29%
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76.71%
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52.33%
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75.61%
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24.39%
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PUT平均波动率
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55.87%
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35.73%
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64.27%
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27.87%
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63.60%
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36.40%
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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
