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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3/2
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2/28
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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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2.814
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0.085
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3.02%
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WHV
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26.78%
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27.30%
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-0.52%
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-1.90%
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2.当月合约
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FIV
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20.47%
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23.77%
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-3.30%
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-13.88%
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FCIV①
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18.31%
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22.09%
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-3.78%
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-17.11%
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FPIV②
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22.99%
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25.21%
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-2.22%
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-8.81%
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①/②
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0.80
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0.88
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-0.08
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-9.11%
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3.次月合约
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FIV
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20.53%
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23.32%
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-2.79%
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-11.96%
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FCIV①
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18.40%
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21.63%
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-3.23%
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-14.93%
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FPIV②
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22.80%
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24.90%
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-2.10%
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-8.43%
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①/②
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0.81
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0.87
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-0.06
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-7.10%
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4.第1季月合约
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FIV
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21.10%
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23.05%
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-1.95%
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-8.46%
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FCIV①
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19.20%
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21.58%
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-2.38%
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-11.03%
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FPIV②
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23.18%
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24.34%
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-1.16%
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-4.77%
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①/②
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0.83
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0.89
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-0.06
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-6.58%
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5.第2季月合约
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FIV
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20.79%
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22.89%
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-2.10%
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-9.17%
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FCIV①
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18.87%
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21.05%
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-2.18%
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-10.36%
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FPIV②
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23.09%
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25.04%
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-1.95%
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-7.79%
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①/②
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0.82
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0.84
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-0.02
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-2.79%
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6.全部合约
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FIV
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20.51%
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23.67%
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-3.16%
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-13.35%
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FCIV①
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18.37%
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22.00%
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-3.63%
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-16.50%
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FPIV②
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22.99%
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25.14%
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-2.15%
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-8.55%
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①/②
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0.80
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0.88
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-0.08
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-8.69%
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标的50ETF收盘上涨3.02%，富融加权历史波动率指数(WHV)下跌0.52%，为26.78%。FIV（富融波指）报20.51%，下跌3.16%。结构上看，FCIV（富融购指）下跌3.63%，FPIV（富融沽指）下跌2.15%。FIV小于WHV 6.27%。
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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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2.987
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-2.95%
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2.968
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WHV
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26.78%
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14.34%
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12.44%
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15.36%
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FIV
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20.51%
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15.11%
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5.40%
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15.98%
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FCIV
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18.37%
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14.21%
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4.16%
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14.46%
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FPIV
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22.99%
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17.49%
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5.50%
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17.94%
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C/P Ratio
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115.49%
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121.43%
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-5.94%
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121.13%
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FCIV/FPIV
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79.89%
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82.16%
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-2.27%
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83.08%
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统计区间: 自2019年07月30日开始到目前为止，共143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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26.78%
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88.22%
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78.41%
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62.44%
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39.21%
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20.24%
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CALL平均波动率
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18.31%
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97.22%
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92.33%
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80.22%
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54.71%
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29.25%
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PUT平均波动率
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22.99%
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92.78%
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84.76%
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69.71%
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45.00%
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23.49%
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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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26.78%
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22.27%
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77.73%
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54.33%
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76.60%
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23.40%
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CALL平均波动率
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18.31%
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13.22%
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86.78%
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72.36%
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85.58%
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14.42%
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PUT平均波动率
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22.99%
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18.70%
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81.30%
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61.41%
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80.11%
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19.89%
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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
