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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2/20
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2/19
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变化
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变化幅度
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50ETF
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2.967
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2.913
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0.054
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1.85%
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WHV
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24.55%
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23.98%
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0.57%
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2.38%
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2.当月合约
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FIV
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13.26%
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16.43%
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-3.17%
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-19.29%
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FCIV①
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6.72%
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14.67%
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-7.95%
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-54.19%
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FPIV②
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21.42%
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18.57%
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2.85%
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15.35%
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①/②
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0.31
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0.79
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-0.48
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-60.29%
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3.次月合约
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FIV
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17.39%
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18.35%
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-0.96%
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-5.23%
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FCIV①
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14.74%
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16.59%
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-1.85%
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-11.15%
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FPIV②
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20.90%
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20.38%
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0.52%
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2.55%
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①/②
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0.71
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0.81
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-0.11
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-13.36%
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4.第1季月合约
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FIV
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19.58%
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19.77%
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-0.19%
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-0.96%
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FCIV①
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17.66%
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18.66%
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-1.00%
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-5.36%
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FPIV②
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21.81%
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21.16%
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0.65%
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3.07%
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①/②
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0.81
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0.88
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-0.07
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-8.18%
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5.第2季月合约
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FIV
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19.10%
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19.60%
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-0.50%
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-2.55%
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FCIV①
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17.18%
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17.58%
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-0.40%
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-2.28%
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FPIV②
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22.23%
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21.73%
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0.50%
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2.30%
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①/②
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0.77
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0.81
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-0.04
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-4.47%
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6.全部合约
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FIV
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14.57%
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16.98%
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-2.41%
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-14.19%
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FCIV①
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10.88%
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15.30%
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-4.42%
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-28.89%
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FPIV②
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21.31%
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19.13%
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2.18%
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11.40%
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①/②
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0.51
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0.80
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-0.29
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-36.16%
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标的50ETF收盘上涨1.85%，富融加权历史波动率指数(WHV)上涨0.57%，为24.55%。FIV（富融波指）报14.57%，下跌2.41%。结构上看，FCIV（富融购指）下跌4.42%，FPIV（富融沽指）上涨2.18%。FIV小于WHV 9.98%。
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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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2.967
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2.988
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-0.70%
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2.972
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WHV
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24.55%
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14.15%
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10.40%
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14.78%
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FIV
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14.57%
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14.76%
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-0.19%
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15.70%
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FCIV
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10.88%
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14.04%
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-3.16%
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14.18%
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FPIV
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21.31%
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17.31%
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4.00%
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17.64%
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C/P Ratio
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126.96%
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122.21%
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4.75%
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121.92%
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FCIV/FPIV
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43.48%
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81.99%
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-38.51%
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83.02%
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统计区间: 自2019年07月30日开始到目前为止，共136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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2.75-3.5
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2.8-3.4
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2.85-3.3
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2.9-3.2
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2.95-3.1
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历史波动率
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24.55%
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99.21%
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96.71%
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89.90%
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75.78%
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49.06%
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CALL平均波动率
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6.72%
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100.00%
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100.00%
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100.00%
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99.60%
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74.75%
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PUT平均波动率
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21.42%
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99.72%
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98.25%
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92.84%
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79.42%
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52.77%
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50ETF2月期权
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波动率↓价格→
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小于2.82
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大于2.82
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2.82-3.12
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小于3.12
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大于3.12
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历史波动率
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24.55%
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5.16%
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94.84%
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88.78%
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93.94%
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6.06%
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CALL平均波动率
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6.72%
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0.00%
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100.00%
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100.00%
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100.00%
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0.00%
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PUT平均波动率
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21.42%
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3.09%
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96.91%
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93.12%
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96.22%
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3.78%
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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
