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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2/10
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2/7
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变化
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变化幅度
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50ETF
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2.839
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2.841
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-0.002
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-0.07%
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WHV
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21.38%
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20.84%
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0.54%
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2.59%
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2.当月合约
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FIV
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20.47%
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21.48%
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-1.01%
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-4.70%
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FCIV①
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16.11%
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18.65%
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-2.54%
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-13.62%
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FPIV②
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24.74%
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24.32%
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0.42%
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1.73%
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①/②
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0.65
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0.77
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-0.12
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-15.09%
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3.次月合约
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FIV
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20.92%
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21.71%
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-0.79%
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-3.64%
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FCIV①
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18.23%
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19.60%
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-1.37%
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-6.99%
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FPIV②
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24.46%
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24.34%
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0.12%
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0.49%
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①/②
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0.75
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0.81
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-0.06
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-7.45%
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4.第1季月合约
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FIV
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21.17%
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20.97%
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0.20%
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0.95%
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FCIV①
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19.29%
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19.19%
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0.10%
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0.52%
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FPIV②
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23.05%
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23.15%
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-0.10%
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-0.43%
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①/②
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0.84
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0.83
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0.01
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0.96%
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5.第2季月合约
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FIV
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20.36%
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20.83%
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-0.47%
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-2.26%
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FCIV①
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18.05%
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18.57%
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-0.52%
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-2.80%
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FPIV②
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22.88%
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22.94%
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-0.06%
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-0.26%
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①/②
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0.79
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0.81
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-0.02
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-2.55%
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6.全部合约
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FIV
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20.55%
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21.49%
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-0.94%
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-4.37%
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FCIV①
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16.60%
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18.82%
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-2.22%
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-11.80%
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FPIV②
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24.63%
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24.27%
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0.36%
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1.48%
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①/②
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0.67
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0.78
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-0.10
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-13.09%
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标的50ETF收盘下跌0.07%，富融加权历史波动率指数(WHV)上涨0.54%，为21.38%。FIV（富融波指）报20.55%，下跌0.94%。结构上看，FCIV（富融购指）下跌2.22%，FPIV（富融沽指）上涨0.36%。FIV小于WHV 0.83%。
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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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2.839
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2.995
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-5.21%
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2.976
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WHV
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21.38%
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13.45%
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7.93%
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14.27%
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FIV
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20.55%
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14.60%
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5.95%
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15.63%
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FCIV
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16.60%
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14.13%
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2.47%
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14.23%
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FPIV
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24.63%
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16.47%
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8.16%
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17.45%
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C/P Ratio
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101.87%
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122.45%
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-20.59%
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122.89%
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FCIV/FPIV
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67.20%
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83.99%
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-16.79%
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84.20%
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统计区间: 自2019年07月30日开始到目前为止，共128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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21.38%
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96.70%
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86.63%
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74.23%
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55.15%
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29.60%
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CALL平均波动率
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16.11%
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99.47%
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94.45%
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85.17%
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66.74%
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37.31%
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PUT平均波动率
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24.74%
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93.62%
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81.18%
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67.88%
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49.31%
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26.05%
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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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21.38%
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12.60%
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87.40%
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73.61%
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86.21%
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13.79%
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CALL平均波动率
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16.11%
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6.42%
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93.58%
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86.18%
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92.60%
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7.40%
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PUT平均波动率
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24.74%
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16.10%
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83.90%
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66.59%
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82.69%
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17.31%
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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
