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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2/5
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2/4
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变化
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变化幅度
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50ETF
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2.801
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2.785
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0.016
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0.57%
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WHV
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17.39%
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15.75%
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1.64%
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10.41%
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2.当月合约
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FIV
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19.82%
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23.08%
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-3.26%
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-14.12%
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FCIV①
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16.02%
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20.36%
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-4.34%
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-21.32%
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FPIV②
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24.38%
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27.03%
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-2.65%
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-9.80%
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①/②
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0.66
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0.75
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-0.10
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-12.76%
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3.次月合约
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FIV
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20.27%
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22.50%
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-2.23%
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-9.91%
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FCIV①
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17.95%
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20.58%
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-2.63%
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-12.78%
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FPIV②
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24.15%
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26.11%
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-1.96%
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-7.51%
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①/②
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0.74
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0.79
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-0.04
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-5.70%
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4.第1季月合约
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FIV
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20.28%
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22.00%
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-1.72%
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-7.82%
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FCIV①
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18.58%
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20.90%
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-2.32%
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-11.10%
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FPIV②
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22.48%
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23.15%
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-0.67%
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-2.89%
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①/②
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0.83
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0.90
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-0.08
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-8.45%
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5.第2季月合约
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FIV
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19.63%
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20.79%
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-1.16%
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-5.58%
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FCIV①
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17.35%
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19.62%
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-2.27%
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-11.57%
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FPIV②
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21.87%
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22.53%
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-0.66%
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-2.93%
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①/②
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0.79
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0.87
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-0.08
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-8.90%
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6.全部合约
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FIV
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19.90%
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22.91%
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-3.01%
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-13.14%
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FCIV①
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16.48%
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20.40%
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-3.92%
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-19.22%
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FPIV②
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24.24%
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26.68%
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-2.44%
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-9.15%
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①/②
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0.68
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0.76
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-0.08
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-11.08%
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标的50ETF收盘上涨0.57%，富融加权历史波动率指数(WHV)上涨1.64%，为17.39%。FIV（富融波指）报19.90%，下跌3.01%。结构上看，FCIV（富融购指）下跌3.92%，FPIV（富融沽指）下跌2.44%。FIV大于WHV 2.51%。
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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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2.801
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3.000
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-6.62%
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2.979
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WHV
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17.39%
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13.20%
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4.19%
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14.12%
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FIV
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19.90%
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14.56%
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5.34%
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15.51%
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FCIV
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16.48%
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14.06%
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2.42%
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14.15%
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FPIV
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24.24%
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16.32%
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7.92%
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17.29%
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C/P Ratio
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125.34%
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122.55%
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2.79%
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123.28%
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FCIV/FPIV
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67.86%
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84.17%
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-16.31%
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84.50%
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统计区间: 自2019年07月30日开始到目前为止，共125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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17.39%
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98.03%
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91.30%
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80.10%
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60.82%
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33.14%
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CALL平均波动率
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16.02%
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98.86%
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93.67%
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83.68%
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64.75%
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35.79%
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PUT平均波动率
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24.38%
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90.43%
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77.82%
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64.05%
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45.87%
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23.99%
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50ETF2月期权
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波动率↓价格→
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小于2.66
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大于2.66
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2.66-2.94
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小于2.94
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大于2.94
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历史波动率
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17.39%
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10.94%
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89.06%
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76.95%
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87.89%
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12.11%
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CALL平均波动率
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16.02%
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9.09%
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90.91%
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80.70%
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89.80%
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10.20%
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PUT平均波动率
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24.38%
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19.02%
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80.98%
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60.77%
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79.79%
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20.21%
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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
