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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2/7
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2/6
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变化
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变化幅度
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50ETF
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2.841
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2.842
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-0.001
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-0.04%
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WHV
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20.84%
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19.10%
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1.74%
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9.11%
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2.当月合约
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FIV
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21.48%
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19.61%
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1.87%
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9.54%
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FCIV①
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18.65%
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16.12%
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2.53%
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15.69%
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FPIV②
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24.32%
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23.32%
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1.00%
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4.29%
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①/②
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0.77
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0.69
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0.08
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10.94%
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3.次月合约
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FIV
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21.71%
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19.94%
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1.77%
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8.88%
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FCIV①
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19.60%
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17.93%
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1.67%
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9.31%
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FPIV②
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24.34%
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23.09%
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1.25%
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5.41%
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①/②
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0.81
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0.78
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0.03
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3.70%
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4.第1季月合约
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FIV
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20.97%
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19.77%
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1.20%
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6.07%
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FCIV①
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19.19%
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18.12%
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1.07%
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5.91%
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FPIV②
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23.15%
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22.18%
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0.97%
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4.37%
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①/②
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0.83
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0.82
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0.01
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1.47%
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5.第2季月合约
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FIV
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20.83%
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19.41%
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1.42%
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7.32%
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FCIV①
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18.57%
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17.57%
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1.00%
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5.69%
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FPIV②
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22.94%
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21.83%
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1.11%
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5.08%
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①/②
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0.81
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0.80
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0.00
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0.58%
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6.全部合约
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FIV
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21.49%
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19.66%
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1.83%
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9.31%
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FCIV①
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18.82%
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16.52%
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2.30%
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13.92%
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FPIV②
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24.27%
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23.25%
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1.02%
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4.39%
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①/②
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0.78
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0.71
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0.06
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9.13%
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标的50ETF收盘下跌0.04%，富融加权历史波动率指数(WHV)上涨1.74%，为20.84%。FIV（富融波指）报21.49%，上涨1.83%。结构上看，FCIV（富融购指）上涨2.30%，FPIV（富融沽指）上涨1.02%。FIV大于WHV 0.65%。
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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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2.841
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2.997
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-5.21%
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2.977
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WHV
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20.84%
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13.33%
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7.51%
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14.21%
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FIV
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21.49%
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14.59%
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6.90%
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15.59%
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FCIV
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18.82%
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14.10%
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4.72%
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14.21%
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FPIV
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24.27%
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16.44%
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7.83%
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17.39%
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C/P Ratio
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104.18%
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122.46%
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-18.28%
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123.05%
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FCIV/FPIV
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77.53%
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84.00%
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-6.47%
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84.34%
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统计区间: 自2019年07月30日开始到目前为止，共127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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20.84%
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95.53%
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84.29%
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71.42%
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52.51%
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27.98%
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CALL平均波动率
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18.65%
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97.43%
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88.11%
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76.10%
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56.98%
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30.76%
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PUT平均波动率
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24.32%
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91.63%
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78.17%
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64.64%
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46.50%
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24.40%
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50ETF2月期权
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波动率↓价格→
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小于2.7
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大于2.7
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2.7-2.98
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小于2.98
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大于2.98
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历史波动率
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20.84%
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14.03%
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85.97%
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70.73%
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84.76%
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15.24%
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CALL平均波动率
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18.65%
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11.40%
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88.60%
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76.03%
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87.43%
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12.57%
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PUT平均波动率
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24.32%
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17.77%
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82.23%
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63.27%
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81.04%
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18.96%
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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
