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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2/19
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2/18
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变化
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变化幅度
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50ETF
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2.913
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2.913
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0.000
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0.00%
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WHV
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23.98%
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23.47%
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0.51%
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2.17%
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2.当月合约
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FIV
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16.43%
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17.89%
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-1.46%
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-8.16%
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FCIV①
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14.67%
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16.06%
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-1.39%
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-8.66%
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FPIV②
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18.57%
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19.71%
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-1.14%
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-5.78%
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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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-3.05%
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3.次月合约
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FIV
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18.35%
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18.24%
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0.11%
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0.60%
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FCIV①
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16.59%
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15.94%
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0.65%
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4.08%
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FPIV②
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20.38%
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20.12%
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0.26%
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1.29%
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①/②
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0.81
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0.79
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0.02
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2.75%
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4.第1季月合约
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FIV
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19.77%
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19.11%
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0.66%
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3.45%
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FCIV①
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18.66%
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17.63%
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1.03%
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5.84%
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FPIV②
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21.16%
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20.73%
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0.43%
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2.07%
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①/②
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0.88
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0.85
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0.03
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3.69%
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5.第2季月合约
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FIV
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19.60%
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19.56%
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0.04%
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0.20%
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FCIV①
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17.58%
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17.79%
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-0.21%
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-1.18%
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FPIV②
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21.73%
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21.46%
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0.27%
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1.26%
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①/②
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0.81
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0.83
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-0.02
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-2.41%
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6.全部合约
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FIV
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16.98%
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18.04%
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-1.06%
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-5.88%
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FCIV①
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15.30%
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16.11%
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-0.81%
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-5.03%
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FPIV②
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19.13%
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19.88%
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-0.75%
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-3.77%
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①/②
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0.80
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0.81
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-0.01
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-1.30%
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标的50ETF收盘与前日持平，富融加权历史波动率指数(WHV)上涨0.51%，为23.98%。FIV（富融波指）报16.98%，下跌1.06%。结构上看，FCIV（富融购指）下跌0.81%，FPIV（富融沽指）下跌0.75%。FIV小于WHV 7%。
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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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2.913
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2.991
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-2.59%
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2.972
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WHV
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23.98%
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14.12%
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9.86%
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14.71%
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FIV
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16.98%
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14.78%
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2.20%
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15.70%
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FCIV
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15.30%
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14.06%
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1.24%
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14.21%
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FPIV
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19.13%
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17.22%
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1.91%
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17.61%
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C/P Ratio
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120.15%
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122.20%
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-2.05%
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121.88%
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FCIV/FPIV
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79.79%
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82.16%
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-2.37%
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83.32%
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统计区间: 自2019年07月30日开始到目前为止，共135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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23.98%
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99.77%
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98.65%
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92.80%
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69.54%
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39.29%
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CALL平均波动率
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14.67%
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100.00%
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99.99%
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99.66%
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90.06%
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59.19%
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PUT平均波动率
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18.57%
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99.99%
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99.83%
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97.97%
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81.19%
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49.07%
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50ETF2月期权
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波动率↓价格→
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小于2.77
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大于2.77
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2.77-3.06
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小于3.06
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大于3.06
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历史波动率
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23.98%
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6.13%
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93.87%
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86.78%
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92.91%
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7.09%
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CALL平均波动率
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14.67%
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0.58%
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99.42%
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98.61%
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99.18%
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0.82%
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PUT平均波动率
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18.57%
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2.30%
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97.70%
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94.81%
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97.11%
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2.89%
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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
