一、 富融波动率指数指标说明
|
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。
|
二、 富融波动率指数
|
1.标的50ETF
|
|
|
|
|
|
日期
|
3/6
|
3/5
|
变化
|
变化幅度
|
|
50ETF
|
2.951
|
3.004
|
-0.053
|
-1.76%
|
|
WHV
|
23.15%
|
24.15%
|
-1.00%
|
-4.14%
|
|
2.当月合约
|
|
|
|
|
|
FIV
|
22.32%
|
19.95%
|
2.37%
|
11.88%
|
|
FCIV①
|
21.58%
|
18.04%
|
3.54%
|
19.62%
|
|
FPIV②
|
23.01%
|
22.65%
|
0.36%
|
1.59%
|
|
①/②
|
0.94
|
0.80
|
0.14
|
17.75%
|
|
3.次月合约
|
|
|
|
|
|
FIV
|
22.38%
|
20.47%
|
1.91%
|
9.33%
|
|
FCIV①
|
21.18%
|
18.40%
|
2.78%
|
15.11%
|
|
FPIV②
|
23.53%
|
23.12%
|
0.41%
|
1.77%
|
|
①/②
|
0.90
|
0.80
|
0.10
|
13.10%
|
|
4.第1季月合约
|
|
|
|
|
|
FIV
|
22.29%
|
20.93%
|
1.36%
|
6.50%
|
|
FCIV①
|
20.80%
|
19.05%
|
1.75%
|
9.19%
|
|
FPIV②
|
23.84%
|
23.13%
|
0.71%
|
3.07%
|
|
①/②
|
0.87
|
0.82
|
0.05
|
5.93%
|
|
5.第2季月合约
|
|
|
|
|
|
FIV
|
22.11%
|
20.60%
|
1.51%
|
7.33%
|
|
FCIV①
|
20.28%
|
18.98%
|
1.30%
|
6.85%
|
|
FPIV②
|
24.04%
|
23.30%
|
0.74%
|
3.18%
|
|
①/②
|
0.84
|
0.81
|
0.03
|
3.56%
|
|
6.全部合约
|
|
|
|
|
|
FIV
|
22.32%
|
20.03%
|
2.29%
|
11.43%
|
|
FCIV①
|
21.50%
|
18.12%
|
3.38%
|
18.65%
|
|
FPIV②
|
23.11%
|
22.71%
|
0.40%
|
1.76%
|
|
①/②
|
0.93
|
0.80
|
0.13
|
16.60%
|
|
标的50ETF收盘下跌1.76%，富融加权历史波动率指数(WHV)下跌1.00%，为23.15%。FIV（富融波指）报22.32%，上涨2.29%。结构上看，FCIV（富融购指）上涨3.38%，FPIV（富融沽指）上涨0.40%。FIV小于WHV 0.83%。
|
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)
|
指标
|
当前值
|
中位数
|
距中位数
|
平均值
|
|
50ETF收盘价格
|
2.951
|
2.987
|
-1.21%
|
2.967
|
|
WHV
|
23.15%
|
14.36%
|
8.79%
|
15.61%
|
|
FIV
|
22.32%
|
15.24%
|
7.08%
|
16.11%
|
|
FCIV
|
21.50%
|
14.36%
|
7.14%
|
14.59%
|
|
FPIV
|
23.11%
|
17.54%
|
5.57%
|
18.06%
|
|
C/P Ratio
|
94.31%
|
121.21%
|
-26.89%
|
120.97%
|
|
FCIV/FPIV
|
93.05%
|
82.75%
|
10.29%
|
83.18%
|
|
统计区间: 自2019年07月30日开始到目前为止，共147个交易日数据
|
|
|
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
|
50ETF3月期权
|
波动率↓价格→
|
2.75-3.5
|
2.8-3.4
|
2.85-3.3
|
2.9-3.2
|
2.95-3.1
|
|
历史波动率
|
23.15%
|
90.85%
|
83.63%
|
72.80%
|
56.67%
|
32.70%
|
|
CALL平均波动率
|
21.58%
|
92.37%
|
85.49%
|
74.87%
|
58.84%
|
34.42%
|
|
PUT平均波动率
|
23.01%
|
90.99%
|
83.79%
|
72.98%
|
56.86%
|
32.85%
|
|
|
|
|
|
|
|
|
|
50ETF3月期权
|
波动率↓价格→
|
小于2.8
|
大于2.8
|
2.8-3.1
|
小于3.1
|
大于3.1
|
|
历史波动率
|
23.15%
|
16.58%
|
83.42%
|
65.64%
|
82.22%
|
17.78%
|
|
CALL平均波动率
|
21.58%
|
14.88%
|
85.12%
|
69.03%
|
83.91%
|
16.09%
|
|
PUT平均波动率
|
23.01%
|
16.43%
|
83.57%
|
65.93%
|
82.36%
|
17.64%
|
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
