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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2/21
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2/20
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变化
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变化幅度
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50ETF
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2.958
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2.967
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-0.009
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-0.30%
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WHV
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25.19%
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24.55%
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0.64%
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2.61%
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2.当月合约
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FIV
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16.40%
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13.26%
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3.14%
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23.68%
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FCIV①
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13.05%
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6.72%
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6.33%
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94.20%
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FPIV②
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20.40%
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21.42%
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-1.02%
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-4.76%
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①/②
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0.64
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0.31
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0.33
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103.91%
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3.次月合约
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FIV
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19.27%
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17.39%
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1.88%
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10.81%
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FCIV①
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17.95%
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14.74%
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3.21%
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21.78%
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FPIV②
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21.00%
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20.90%
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0.10%
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0.48%
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①/②
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0.85
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0.71
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0.15
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21.20%
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4.第1季月合约
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FIV
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20.92%
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19.58%
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1.34%
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6.84%
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FCIV①
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19.66%
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17.66%
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2.00%
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11.33%
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FPIV②
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22.53%
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21.81%
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0.72%
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3.30%
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①/②
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0.87
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0.81
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0.06
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7.77%
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5.第2季月合约
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FIV
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21.24%
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19.10%
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2.14%
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11.20%
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FCIV①
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19.74%
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17.18%
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2.56%
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14.90%
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FPIV②
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23.28%
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22.23%
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1.05%
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4.72%
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①/②
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0.85
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0.77
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0.08
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9.72%
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6.全部合约
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FIV
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17.49%
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14.57%
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2.92%
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20.04%
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FCIV①
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15.31%
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10.88%
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4.43%
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40.72%
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FPIV②
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20.70%
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21.31%
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-0.61%
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-2.86%
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①/②
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0.74
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0.51
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0.23
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44.86%
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标的50ETF收盘下跌0.30%，富融加权历史波动率指数(WHV)上涨0.64%，为25.19%。FIV（富融波指）报17.49%，上涨2.92%。结构上看，FCIV（富融购指）上涨4.43%，FPIV（富融沽指）下跌0.61%。FIV小于WHV 7.7%。
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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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2.958
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2.988
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-1.00%
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2.971
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WHV
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25.19%
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14.22%
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10.97%
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14.86%
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FIV
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17.49%
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14.78%
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2.71%
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15.71%
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FCIV
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15.31%
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14.06%
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1.25%
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14.19%
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FPIV
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20.70%
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17.32%
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3.38%
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17.66%
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C/P Ratio
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123.63%
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122.22%
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1.41%
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121.93%
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FCIV/FPIV
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72.04%
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81.80%
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-9.77%
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82.94%
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统计区间: 自2019年07月30日开始到目前为止，共137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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50ETF3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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25.19%
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81.89%
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73.27%
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61.40%
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45.35%
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24.63%
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CALL平均波动率
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17.95%
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91.08%
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84.05%
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73.33%
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57.06%
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32.76%
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PUT平均波动率
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21.00%
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87.20%
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79.40%
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68.05%
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51.66%
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28.82%
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50ETF3月期权
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波动率↓价格→
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小于2.81
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大于2.81
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2.81-3.11
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小于3.11
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大于3.11
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历史波动率
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25.19%
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24.92%
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75.08%
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49.11%
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74.02%
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25.98%
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CALL平均波动率
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17.95%
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17.09%
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82.91%
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64.61%
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81.70%
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18.30%
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PUT平均波动率
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21.00%
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20.83%
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79.17%
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57.19%
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78.02%
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21.98%
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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
