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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2/25
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2/24
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变化
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变化幅度
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50ETF
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2.899
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2.924
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-0.025
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-0.85%
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WHV
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26.41%
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25.80%
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0.61%
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2.36%
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2.当月合约
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FIV
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23.24%
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24.03%
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-0.79%
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-3.29%
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FCIV①
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28.72%
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13.57%
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15.15%
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111.64%
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FPIV②
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18.66%
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34.48%
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-15.82%
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-45.88%
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①/②
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1.54
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0.39
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1.15
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291.08%
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3.次月合约
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FIV
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22.23%
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21.19%
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1.04%
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4.91%
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FCIV①
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21.03%
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18.21%
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2.82%
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15.49%
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FPIV②
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23.43%
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24.57%
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-1.14%
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-4.64%
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①/②
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0.90
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0.74
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0.16
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21.11%
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4.第1季月合约
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FIV
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22.72%
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22.67%
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0.05%
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0.22%
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FCIV①
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21.05%
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20.24%
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0.81%
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4.00%
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FPIV②
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24.29%
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24.44%
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-0.15%
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-0.61%
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①/②
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0.87
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0.83
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0.04
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4.64%
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5.第2季月合约
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FIV
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22.68%
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22.45%
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0.23%
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1.02%
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FCIV①
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20.92%
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20.24%
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0.68%
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3.36%
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FPIV②
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24.52%
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24.79%
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-0.27%
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-1.09%
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①/②
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0.85
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0.82
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0.04
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4.50%
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6.全部合约
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FIV
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22.78%
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22.97%
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-0.19%
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-0.83%
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FCIV①
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25.45%
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15.93%
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9.52%
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59.76%
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FPIV②
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21.17%
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31.39%
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-10.22%
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-32.56%
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①/②
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1.20
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0.51
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0.69
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136.89%
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标的50ETF收盘下跌0.85%，富融加权历史波动率指数(WHV)上涨0.61%，为26.41%。FIV（富融波指）报22.78%，下跌0.19%。结构上看，FCIV（富融购指）上涨9.52%，FPIV（富融沽指）下跌10.22%。FIV小于WHV 3.63%。
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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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2.899
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2.988
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-2.98%
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2.971
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WHV
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26.41%
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14.31%
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12.10%
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15.02%
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FIV
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22.78%
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14.82%
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7.96%
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15.81%
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FCIV
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25.45%
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14.10%
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11.35%
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14.29%
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FPIV
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21.17%
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17.37%
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3.80%
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17.79%
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C/P Ratio
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90.93%
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122.20%
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-31.27%
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121.57%
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FCIV/FPIV
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119.02%
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81.80%
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37.22%
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82.97%
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统计区间: 自2019年07月30日开始到目前为止，共139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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26.41%
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84.53%
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73.80%
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57.69%
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35.69%
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18.32%
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CALL平均波动率
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21.03%
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92.08%
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83.71%
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68.44%
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43.95%
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22.89%
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PUT平均波动率
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23.43%
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88.82%
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79.19%
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63.28%
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39.86%
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20.60%
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50ETF3月期权
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波动率↓价格→
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小于2.75
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大于2.75
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2.75-3.04
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小于3.04
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大于3.04
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历史波动率
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26.41%
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24.54%
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75.46%
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49.85%
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74.39%
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25.61%
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CALL平均波动率
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21.03%
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19.34%
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80.66%
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60.14%
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79.48%
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20.52%
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PUT平均波动率
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23.43%
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21.87%
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78.13%
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55.13%
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77.00%
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23.00%
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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
