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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2/12
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2/11
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变化
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变化幅度
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50ETF
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2.883
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2.87
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0.013
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0.45%
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WHV
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22.03%
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21.65%
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0.38%
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1.76%
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2.当月合约
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FIV
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16.18%
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17.86%
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-1.68%
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-9.41%
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FCIV①
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10.94%
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13.49%
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-2.55%
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-18.90%
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FPIV②
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21.07%
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22.14%
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-1.07%
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-4.83%
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①/②
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0.52
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0.61
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-0.09
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-14.78%
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3.次月合约
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FIV
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17.39%
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18.66%
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-1.27%
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-6.81%
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FCIV①
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13.36%
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15.64%
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-2.28%
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-14.58%
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FPIV②
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21.96%
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22.47%
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-0.51%
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-2.27%
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①/②
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0.61
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0.70
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-0.09
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-12.59%
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4.第1季月合约
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FIV
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18.20%
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19.38%
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-1.18%
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-6.09%
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FCIV①
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16.43%
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17.16%
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-0.73%
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-4.25%
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FPIV②
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21.06%
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21.55%
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-0.49%
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-2.27%
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①/②
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0.78
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0.80
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-0.02
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-2.03%
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5.第2季月合约
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FIV
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18.05%
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18.65%
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-0.60%
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-3.22%
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FCIV①
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16.08%
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15.80%
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0.28%
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1.77%
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FPIV②
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20.94%
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21.30%
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-0.36%
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-1.69%
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①/②
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0.77
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0.74
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0.03
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3.52%
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6.全部合约
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FIV
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16.46%
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18.02%
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-1.56%
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-8.66%
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FCIV①
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11.85%
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14.02%
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-2.17%
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-15.48%
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FPIV②
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21.19%
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22.16%
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-0.97%
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-4.38%
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①/②
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0.56
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0.63
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-0.07
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-11.61%
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标的50ETF收盘上涨0.45%，富融加权历史波动率指数(WHV)上涨0.38%，为22.03%。FIV（富融波指）报16.46%，下跌1.56%。结构上看，FCIV（富融购指）下跌2.17%，FPIV（富融沽指）下跌0.97%。FIV小于WHV 5.57%。
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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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2.883
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2.994
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-3.71%
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2.974
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WHV
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22.03%
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13.68%
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8.35%
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14.38%
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FIV
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16.46%
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14.65%
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1.81%
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15.65%
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FCIV
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11.85%
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14.08%
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-2.23%
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14.21%
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FPIV
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21.19%
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16.85%
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4.34%
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17.51%
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C/P Ratio
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98.43%
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122.32%
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-23.89%
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122.53%
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FCIV/FPIV
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55.04%
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83.45%
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-28.41%
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83.81%
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统计区间: 自2019年07月30日开始到目前为止，共130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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22.03%
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97.37%
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92.80%
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81.69%
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57.26%
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30.80%
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CALL平均波动率
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10.94%
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100.00%
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99.89%
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98.59%
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88.19%
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56.26%
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PUT平均波动率
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21.07%
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97.89%
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93.83%
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83.46%
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59.31%
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32.11%
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50ETF2月期权
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波动率↓价格→
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小于2.74
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大于2.74
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2.74-3.03
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小于3.03
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大于3.03
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历史波动率
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22.03%
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11.72%
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88.28%
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75.37%
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87.10%
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12.90%
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CALL平均波动率
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10.94%
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0.83%
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99.17%
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98.03%
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98.86%
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1.14%
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PUT平均波动率
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21.07%
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10.69%
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89.31%
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77.46%
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88.15%
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11.85%
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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
