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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3/5
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3/4
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变化
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变化幅度
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50ETF
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3.004
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2.939
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0.065
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2.21%
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WHV
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24.15%
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25.05%
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-0.90%
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-3.59%
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2.当月合约
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FIV
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19.95%
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20.09%
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-0.14%
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-0.70%
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FCIV①
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18.04%
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18.69%
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-0.65%
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-3.48%
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FPIV②
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22.65%
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21.74%
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0.91%
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4.19%
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①/②
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0.80
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0.86
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-0.06
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-7.36%
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3.次月合约
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FIV
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20.47%
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20.40%
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0.07%
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0.34%
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FCIV①
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18.40%
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18.26%
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0.14%
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0.77%
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FPIV②
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23.12%
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22.58%
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0.54%
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2.39%
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①/②
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0.80
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0.81
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-0.01
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-1.59%
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4.第1季月合约
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FIV
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20.93%
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20.87%
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0.06%
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0.29%
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FCIV①
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19.05%
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18.86%
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0.19%
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1.01%
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FPIV②
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23.13%
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22.83%
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0.30%
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1.31%
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①/②
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0.82
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0.83
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0.00
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-0.30%
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5.第2季月合约
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FIV
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20.60%
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20.90%
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-0.30%
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-1.44%
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FCIV①
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18.98%
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18.31%
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0.67%
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3.66%
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FPIV②
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23.30%
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23.06%
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0.24%
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1.04%
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①/②
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0.81
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0.79
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0.02
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2.59%
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6.全部合约
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FIV
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20.03%
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20.16%
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-0.13%
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-0.64%
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FCIV①
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18.12%
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18.67%
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-0.55%
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-2.95%
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FPIV②
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22.71%
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21.89%
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0.82%
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3.75%
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①/②
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0.80
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0.85
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-0.06
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-6.45%
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标的50ETF收盘上涨2.21%，富融加权历史波动率指数(WHV)下跌0.90%，为24.15%。FIV（富融波指）报20.03%，下跌0.13%。结构上看，FCIV（富融购指）下跌0.55%，FPIV（富融沽指）上涨0.82%。FIV小于WHV 4.12%。
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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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3.004
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2.987
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0.57%
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2.968
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WHV
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24.15%
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14.36%
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9.79%
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15.56%
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FIV
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20.03%
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15.17%
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4.86%
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16.07%
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FCIV
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18.12%
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14.25%
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3.87%
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14.54%
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FPIV
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22.71%
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17.53%
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5.18%
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18.03%
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C/P Ratio
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140.17%
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121.36%
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18.81%
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121.15%
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FCIV/FPIV
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79.76%
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82.33%
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-2.57%
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83.11%
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统计区间: 自2019年07月30日开始到目前为止，共146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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24.15%
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93.75%
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87.90%
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77.59%
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60.17%
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33.69%
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CALL平均波动率
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18.04%
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98.16%
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95.04%
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88.06%
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73.06%
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43.80%
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PUT平均波动率
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22.65%
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95.02%
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89.79%
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80.14%
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63.03%
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35.74%
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50ETF3月期权
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波动率↓价格→
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小于2.85
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大于2.85
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2.85-3.15
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小于3.15
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大于3.15
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历史波动率
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24.15%
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18.21%
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81.79%
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62.39%
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80.60%
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19.40%
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CALL平均波动率
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18.04%
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11.23%
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88.77%
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76.37%
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87.60%
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12.40%
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PUT平均波动率
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22.65%
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16.66%
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83.34%
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65.47%
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82.13%
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17.87%
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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
