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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2/11
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2/10
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变化
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变化幅度
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50ETF
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2.87
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2.839
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0.031
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1.09%
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WHV
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21.65%
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21.38%
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0.27%
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1.26%
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2.当月合约
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FIV
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17.86%
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20.47%
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-2.61%
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-12.75%
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FCIV①
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13.49%
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16.11%
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-2.62%
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-16.26%
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FPIV②
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22.14%
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24.74%
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-2.60%
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-10.51%
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①/②
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0.61
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0.65
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-0.04
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-6.43%
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3.次月合约
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FIV
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18.66%
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20.92%
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-2.26%
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-10.80%
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FCIV①
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15.64%
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18.23%
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-2.59%
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-14.21%
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FPIV②
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22.47%
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24.46%
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-1.99%
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-8.14%
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①/②
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0.70
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0.75
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-0.05
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-6.61%
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4.第1季月合约
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FIV
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19.38%
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21.17%
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-1.79%
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-8.46%
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FCIV①
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17.16%
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19.29%
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-2.13%
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-11.04%
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FPIV②
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21.55%
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23.05%
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-1.50%
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-6.51%
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①/②
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0.80
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0.84
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-0.04
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-4.85%
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5.第2季月合约
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FIV
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18.65%
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20.36%
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-1.71%
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-8.40%
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FCIV①
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15.80%
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18.05%
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-2.25%
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-12.47%
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FPIV②
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21.30%
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22.88%
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-1.58%
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-6.91%
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①/②
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0.74
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0.79
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-0.05
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-5.97%
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6.全部合约
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FIV
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18.02%
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20.55%
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-2.53%
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-12.31%
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FCIV①
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14.02%
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16.60%
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-2.58%
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-15.54%
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FPIV②
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22.16%
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24.63%
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-2.47%
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-10.03%
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①/②
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0.63
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0.67
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-0.04
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-6.13%
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标的50ETF收盘上涨1.09%，富融加权历史波动率指数(WHV)上涨0.27%，为21.65%。FIV（富融波指）报18.02%，下跌2.53%。结构上看，FCIV（富融购指）下跌2.58%，FPIV（富融沽指）下跌2.47%。FIV小于WHV 3.63%。
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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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2.87
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2.995
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-4.16%
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2.975
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WHV
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21.65%
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13.56%
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8.09%
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14.32%
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FIV
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18.02%
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14.62%
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3.40%
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15.65%
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FCIV
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14.02%
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14.10%
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-0.08%
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14.23%
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FPIV
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22.16%
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16.66%
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5.50%
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17.49%
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C/P Ratio
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101.68%
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122.39%
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-20.70%
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122.72%
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FCIV/FPIV
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62.97%
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83.72%
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-20.75%
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84.04%
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统计区间: 自2019年07月30日开始到目前为止，共129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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2.65-3.3
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2.7-3.2
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2.75-3.1
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2.8-3
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2.85-2.95
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历史波动率
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21.65%
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96.47%
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91.13%
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79.52%
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55.67%
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29.78%
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CALL平均波动率
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13.49%
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99.82%
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98.72%
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93.84%
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76.40%
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44.34%
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PUT平均波动率
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22.14%
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96.12%
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90.54%
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78.63%
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54.70%
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29.18%
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50ETF2月期权
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波动率↓价格→
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小于2.73
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大于2.73
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2.73-3.01
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小于3.01
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大于3.01
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历史波动率
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21.65%
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12.13%
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87.87%
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74.55%
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86.68%
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13.32%
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CALL平均波动率
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13.49%
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3.04%
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96.96%
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93.24%
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96.28%
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3.72%
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PUT平均波动率
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22.14%
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12.66%
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87.34%
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73.48%
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86.14%
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13.86%
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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
