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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2/24
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2/21
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变化
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变化幅度
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50ETF
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2.924
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2.958
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-0.034
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-1.15%
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WHV
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25.80%
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25.19%
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0.61%
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2.42%
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2.当月合约
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FIV
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24.03%
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16.40%
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7.63%
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46.52%
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FCIV①
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13.57%
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13.05%
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0.52%
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3.98%
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FPIV②
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34.48%
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20.40%
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14.08%
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69.02%
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①/②
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0.39
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0.64
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-0.25
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-38.48%
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3.次月合约
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FIV
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21.19%
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19.27%
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1.92%
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9.96%
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FCIV①
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18.21%
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17.95%
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0.26%
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1.45%
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FPIV②
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24.57%
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21.00%
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3.57%
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17.00%
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①/②
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0.74
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0.85
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-0.11
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-13.29%
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4.第1季月合约
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FIV
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22.67%
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20.92%
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1.75%
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8.37%
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FCIV①
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20.24%
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19.66%
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0.58%
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2.95%
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FPIV②
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24.44%
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22.53%
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1.91%
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8.48%
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①/②
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0.83
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0.87
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-0.04
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-5.10%
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5.第2季月合约
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FIV
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22.45%
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21.24%
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1.21%
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5.70%
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FCIV①
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20.24%
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19.74%
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0.50%
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2.53%
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FPIV②
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24.79%
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23.28%
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1.51%
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6.49%
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①/②
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0.82
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0.85
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-0.03
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-3.71%
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6.全部合约
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FIV
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22.97%
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17.49%
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5.48%
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31.33%
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FCIV①
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15.93%
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15.31%
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0.62%
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4.05%
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FPIV②
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31.39%
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20.70%
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10.69%
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51.64%
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①/②
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0.51
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0.74
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-0.23
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-31.38%
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标的50ETF收盘下跌1.15%，富融加权历史波动率指数(WHV)上涨0.61%，为25.80%。FIV（富融波指）报22.97%，上涨5.48%。结构上看，FCIV（富融购指）上涨0.62%，FPIV（富融沽指）上涨10.69%。FIV小于WHV 2.83%。
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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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2.924
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2.988
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-2.14%
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2.971
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WHV
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25.80%
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14.28%
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11.52%
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14.94%
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FIV
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22.97%
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14.79%
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8.18%
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15.76%
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FCIV
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15.93%
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14.08%
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1.85%
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14.21%
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FPIV
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31.39%
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17.32%
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14.07%
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17.76%
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C/P Ratio
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103.41%
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122.21%
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-18.81%
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121.79%
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FCIV/FPIV
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50.77%
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81.62%
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-30.85%
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82.71%
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统计区间: 自2019年07月30日开始到目前为止，共138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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2.65-3.3
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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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25.80%
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85.73%
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74.81%
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58.19%
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35.67%
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18.32%
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CALL平均波动率
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18.21%
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96.00%
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89.46%
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74.86%
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48.52%
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25.56%
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PUT平均波动率
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24.57%
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87.58%
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77.09%
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60.48%
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37.30%
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19.20%
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50ETF3月期权
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波动率↓价格→
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小于2.78
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大于2.78
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2.78-3.07
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小于3.07
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大于3.07
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历史波动率
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25.80%
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24.40%
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75.60%
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50.13%
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74.53%
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25.47%
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CALL平均波动率
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18.21%
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16.29%
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83.71%
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66.21%
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82.50%
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17.50%
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PUT平均波动率
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24.57%
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23.32%
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76.68%
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52.25%
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75.57%
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24.43%
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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
