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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2/28
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2/27
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变化
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变化幅度
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50ETF
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2.814
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2.898
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-0.084
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-2.90%
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WHV
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27.30%
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27.08%
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0.22%
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0.81%
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2.当月合约
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FIV
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23.77%
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19.92%
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3.85%
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19.33%
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FCIV①
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22.09%
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18.87%
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3.22%
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17.06%
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FPIV②
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25.21%
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21.13%
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4.08%
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19.31%
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①/②
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0.88
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0.89
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-0.02
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-1.88%
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3.次月合约
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FIV
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23.32%
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20.36%
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2.96%
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14.54%
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FCIV①
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21.63%
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18.79%
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2.84%
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15.11%
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FPIV②
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24.90%
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21.79%
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3.11%
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14.27%
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①/②
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0.87
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0.86
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0.01
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0.74%
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4.第1季月合约
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FIV
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23.05%
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21.12%
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1.93%
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9.14%
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FCIV①
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21.58%
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19.43%
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2.15%
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11.07%
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FPIV②
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24.34%
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22.77%
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1.57%
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6.90%
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①/②
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0.89
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0.85
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0.03
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3.90%
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5.第2季月合约
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FIV
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22.89%
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21.17%
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1.72%
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8.12%
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FCIV①
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21.05%
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19.41%
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1.64%
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8.45%
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FPIV②
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25.04%
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23.19%
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1.85%
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7.98%
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①/②
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0.84
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0.84
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0.00
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0.44%
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6.全部合约
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FIV
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23.67%
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20.05%
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3.62%
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18.05%
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FCIV①
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22.00%
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18.91%
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3.09%
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16.34%
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FPIV②
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25.14%
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21.33%
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3.81%
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17.86%
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①/②
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0.88
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0.89
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-0.01
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-1.29%
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标的50ETF收盘下跌2.90%，富融加权历史波动率指数(WHV)上涨0.22%，为27.30%。FIV（富融波指）报23.67%，上涨3.62%。结构上看，FCIV（富融购指）上涨3.09%，FPIV（富融沽指）上涨3.81%。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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2.814
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2.987
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-5.79%
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2.968
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WHV
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27.30%
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14.34%
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12.96%
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15.28%
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FIV
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23.67%
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15.11%
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8.56%
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15.95%
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FCIV
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22.00%
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14.18%
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7.82%
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14.43%
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FPIV
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25.14%
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17.46%
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7.68%
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17.91%
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C/P Ratio
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86.87%
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121.50%
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-34.63%
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121.17%
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FCIV/FPIV
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87.50%
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82.33%
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5.17%
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83.10%
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统计区间: 自2019年07月30日开始到目前为止，共142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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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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27.30%
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81.98%
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67.13%
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53.65%
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37.51%
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19.31%
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CALL平均波动率
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22.09%
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90.24%
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77.14%
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63.42%
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45.37%
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23.72%
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PUT平均波动率
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25.21%
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85.33%
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70.94%
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57.25%
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40.33%
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20.87%
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50ETF3月期权
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波动率↓价格→
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小于2.67
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大于2.67
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2.67-2.95
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小于2.95
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大于2.95
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历史波动率
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27.30%
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24.07%
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75.93%
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50.77%
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74.84%
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25.16%
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CALL平均波动率
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22.09%
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19.21%
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80.79%
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60.40%
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79.61%
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20.39%
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PUT平均波动率
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25.21%
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22.29%
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77.71%
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54.29%
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76.58%
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23.42%
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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
