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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3/9
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3/6
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变化
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变化幅度
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50ETF
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2.861
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2.951
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-0.090
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-3.05%
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WHV
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23.39%
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23.15%
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0.24%
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1.04%
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2.当月合约
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FIV
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29.78%
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22.32%
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7.46%
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33.42%
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FCIV①
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26.07%
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21.58%
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4.49%
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20.81%
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FPIV②
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32.95%
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23.01%
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9.94%
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43.20%
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①/②
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0.79
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0.94
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-0.15
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-15.64%
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3.次月合约
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FIV
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27.47%
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22.38%
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5.09%
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22.74%
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FCIV①
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24.64%
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21.18%
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3.46%
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16.34%
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FPIV②
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30.63%
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23.53%
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7.10%
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30.17%
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①/②
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0.80
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0.90
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-0.10
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-10.63%
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4.第1季月合约
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FIV
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26.10%
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22.29%
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3.81%
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17.09%
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FCIV①
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23.17%
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20.80%
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2.37%
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11.39%
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FPIV②
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28.40%
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23.84%
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4.56%
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19.13%
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①/②
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0.82
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0.87
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-0.06
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-6.49%
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5.第2季月合约
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FIV
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25.52%
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22.11%
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3.41%
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15.42%
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FCIV①
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22.74%
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20.28%
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2.46%
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12.13%
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FPIV②
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27.51%
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24.04%
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3.47%
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14.43%
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①/②
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0.83
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0.84
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-0.02
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-2.01%
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6.全部合约
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FIV
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29.32%
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22.32%
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7.00%
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31.36%
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FCIV①
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25.76%
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21.50%
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4.26%
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19.81%
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FPIV②
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32.49%
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23.11%
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9.38%
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40.59%
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①/②
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0.79
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0.93
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-0.14
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-14.78%
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标的50ETF收盘下跌3.05%，富融加权历史波动率指数(WHV)上涨0.24%，为23.39%。FIV（富融波指）报29.32%，上涨7.00%。结构上看，FCIV（富融购指）上涨4.26%，FPIV（富融沽指）上涨9.38%。FIV大于WHV 5.93%。
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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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2.861
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2.987
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-4.22%
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2.967
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WHV
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23.39%
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14.37%
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9.02%
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15.66%
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FIV
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29.32%
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15.30%
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14.02%
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16.20%
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FCIV
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25.76%
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14.47%
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11.29%
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14.67%
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FPIV
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32.49%
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17.55%
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14.94%
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18.16%
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C/P Ratio
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87.03%
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121.05%
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-34.02%
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120.74%
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FCIV/FPIV
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79.35%
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82.33%
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-2.98%
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83.15%
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统计区间: 自2019年07月30日开始到目前为止，共148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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23.39%
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93.93%
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87.04%
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73.97%
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50.36%
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26.55%
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CALL平均波动率
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26.07%
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91.54%
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83.56%
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69.50%
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46.12%
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24.08%
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PUT平均波动率
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32.95%
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84.73%
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74.71%
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59.44%
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37.68%
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19.38%
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50ETF3月期权
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波动率↓价格→
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小于2.72
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大于2.72
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2.72-3
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小于3
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大于3
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历史波动率
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23.39%
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14.75%
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85.25%
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69.29%
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84.04%
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15.96%
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CALL平均波动率
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26.07%
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17.36%
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82.64%
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64.07%
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81.43%
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18.57%
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PUT平均波动率
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32.95%
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22.86%
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77.14%
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53.17%
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76.03%
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23.97%
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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
