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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2/14
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2/13
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变化
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变化幅度
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50ETF
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2.885
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2.869
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0.016
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0.56%
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WHV
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22.57%
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22.30%
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0.27%
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1.21%
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2.当月合约
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FIV
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16.22%
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17.36%
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-1.14%
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-6.57%
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FCIV①
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13.20%
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13.49%
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-0.29%
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-2.15%
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FPIV②
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19.10%
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21.27%
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-2.17%
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-10.20%
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①/②
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0.69
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0.63
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0.06
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8.97%
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3.次月合约
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FIV
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17.99%
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18.51%
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-0.52%
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-2.81%
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FCIV①
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15.20%
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15.31%
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-0.11%
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-0.72%
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FPIV②
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20.90%
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22.28%
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-1.38%
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-6.19%
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①/②
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0.73
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0.69
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0.04
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5.84%
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4.第1季月合约
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FIV
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18.94%
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19.33%
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-0.39%
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-2.02%
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FCIV①
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17.01%
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17.17%
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-0.16%
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-0.93%
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FPIV②
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21.34%
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21.49%
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-0.15%
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-0.70%
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①/②
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0.80
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0.80
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0.00
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-0.24%
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5.第2季月合约
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FIV
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19.25%
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19.83%
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-0.58%
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-2.92%
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FCIV①
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17.30%
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17.46%
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-0.16%
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-0.92%
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FPIV②
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21.68%
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22.09%
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-0.41%
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-1.86%
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①/②
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0.80
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0.79
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0.01
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0.96%
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6.全部合约
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FIV
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16.63%
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17.63%
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-1.00%
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-5.67%
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FCIV①
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13.82%
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14.01%
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-0.19%
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-1.36%
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FPIV②
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19.50%
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21.44%
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-1.94%
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-9.05%
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①/②
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0.71
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0.65
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0.06
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8.46%
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标的50ETF收盘上涨0.56%，富融加权历史波动率指数(WHV)上涨0.27%，为22.57%。FIV（富融波指）报16.63%，下跌1.00%。结构上看，FCIV（富融购指）下跌0.19%，FPIV（富融沽指）下跌1.94%。FIV小于WHV 5.94%。
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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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2.885
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2.993
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-3.61%
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2.973
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WHV
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22.57%
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13.88%
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8.69%
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14.51%
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FIV
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16.63%
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14.76%
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1.87%
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15.67%
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FCIV
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13.82%
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14.04%
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-0.22%
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14.20%
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FPIV
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19.50%
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16.99%
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2.51%
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17.56%
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C/P Ratio
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97.75%
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122.23%
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-24.48%
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122.20%
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FCIV/FPIV
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70.50%
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83.17%
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-12.67%
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83.57%
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统计区间: 自2019年07月30日开始到目前为止，共132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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22.57%
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98.06%
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94.17%
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83.97%
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59.78%
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32.42%
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CALL平均波动率
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13.20%
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99.98%
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99.72%
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97.61%
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84.31%
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51.91%
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PUT平均波动率
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19.10%
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99.29%
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97.08%
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89.78%
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67.65%
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37.77%
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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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22.57%
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10.50%
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89.50%
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77.84%
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88.34%
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11.66%
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CALL平均波动率
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13.20%
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1.60%
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98.40%
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96.32%
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97.93%
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2.07%
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PUT平均波动率
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19.10%
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6.93%
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93.07%
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85.12%
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92.05%
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7.95%
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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
