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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2/4
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2/3
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变化
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变化幅度
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50ETF
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2.785
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2.707
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0.078
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2.88%
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WHV
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15.75%
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14.15%
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1.60%
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11.31%
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2.当月合约
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FIV
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23.08%
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39.87%
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-16.79%
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-42.11%
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FCIV①
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20.36%
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28.01%
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-7.65%
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-27.31%
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FPIV②
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27.03%
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55.87%
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-28.84%
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-51.62%
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①/②
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0.75
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0.50
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0.25
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50.24%
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3.次月合约
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FIV
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22.50%
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34.92%
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-12.42%
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-35.57%
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FCIV①
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20.58%
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26.77%
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-6.19%
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-23.12%
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FPIV②
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26.11%
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45.34%
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-19.23%
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-42.41%
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①/②
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0.79
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0.59
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0.20
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33.50%
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4.第1季月合约
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FIV
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22.00%
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29.80%
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-7.80%
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-26.17%
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FCIV①
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20.90%
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23.44%
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-2.54%
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-10.84%
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FPIV②
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23.15%
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35.37%
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-12.22%
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-34.55%
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①/②
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0.90
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0.66
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0.24
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36.23%
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5.第2季月合约
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FIV
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20.79%
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26.25%
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-5.46%
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-20.80%
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FCIV①
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19.62%
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21.56%
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-1.94%
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-9.00%
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FPIV②
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22.53%
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32.99%
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-10.46%
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-31.71%
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①/②
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0.87
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0.65
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0.22
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33.25%
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6.全部合约
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FIV
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22.91%
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38.35%
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-15.44%
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-40.26%
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FCIV①
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20.40%
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27.56%
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-7.16%
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-25.98%
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FPIV②
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26.68%
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53.37%
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-26.69%
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-50.01%
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①/②
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0.76
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0.52
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0.25
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48.07%
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标的50ETF收盘上涨2.88%，富融加权历史波动率指数(WHV)上涨1.60%，为15.75%。FIV（富融波指）报22.91%，下跌15.44%。结构上看，FCIV（富融购指）下跌7.16%，FPIV（富融沽指）下跌26.69%。FIV大于WHV 7.16%。
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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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2.785
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3.000
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-7.17%
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2.980
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WHV
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15.75%
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13.19%
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2.56%
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14.09%
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FIV
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22.91%
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14.54%
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8.37%
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15.47%
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FCIV
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20.40%
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14.04%
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6.36%
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14.13%
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FPIV
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26.68%
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16.23%
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10.45%
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17.23%
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C/P Ratio
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134.52%
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122.46%
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12.07%
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123.27%
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FCIV/FPIV
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75.45%
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84.33%
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-8.87%
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84.64%
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统计区间: 自2019年07月30日开始到目前为止，共124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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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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15.75%
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98.59%
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93.50%
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83.22%
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64.08%
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35.27%
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CALL平均波动率
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20.24%
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94.64%
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84.94%
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71.79%
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52.58%
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27.92%
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PUT平均波动率
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27.33%
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85.04%
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71.32%
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57.49%
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40.46%
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20.92%
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50ETF2月期权
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波动率↓价格→
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小于2.65
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大于2.65
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2.65-2.92
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小于2.92
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大于2.92
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历史波动率
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15.75%
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9.24%
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90.76%
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80.40%
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89.64%
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10.36%
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CALL平均波动率
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20.24%
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15.10%
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84.90%
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68.59%
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83.69%
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16.31%
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PUT平均波动率
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27.33%
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22.23%
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77.77%
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54.41%
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76.64%
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23.36%
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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
