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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3/10
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3/9
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变化
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变化幅度
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50ETF
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2.911
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2.861
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0.050
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1.75%
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WHV
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23.93%
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23.39%
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0.54%
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2.31%
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2.当月合约
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FIV
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29.18%
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29.78%
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-0.60%
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-2.01%
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FCIV①
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28.91%
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26.07%
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2.84%
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10.89%
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FPIV②
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29.50%
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32.95%
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-3.45%
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-10.47%
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①/②
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0.98
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0.79
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0.19
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23.86%
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3.次月合约
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FIV
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26.92%
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27.47%
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-0.55%
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-2.00%
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FCIV①
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25.83%
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24.64%
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1.19%
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4.83%
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FPIV②
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28.45%
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30.63%
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-2.18%
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-7.12%
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①/②
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0.91
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0.80
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0.10
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12.86%
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4.第1季月合约
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FIV
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25.56%
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26.10%
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-0.54%
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-2.07%
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FCIV①
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23.79%
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23.17%
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0.62%
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2.68%
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FPIV②
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27.01%
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28.40%
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-1.39%
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-4.89%
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①/②
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0.88
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0.82
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0.06
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7.96%
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5.第2季月合约
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FIV
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24.67%
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25.52%
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-0.85%
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-3.33%
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FCIV①
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22.90%
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22.74%
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0.16%
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0.70%
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FPIV②
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26.44%
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27.51%
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-1.07%
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-3.89%
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①/②
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0.87
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0.83
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0.04
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4.78%
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6.全部合约
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FIV
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28.73%
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29.32%
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-0.59%
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-2.01%
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FCIV①
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28.38%
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25.76%
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2.62%
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10.17%
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FPIV②
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29.25%
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32.49%
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-3.24%
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-9.97%
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①/②
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0.97
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0.79
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0.18
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22.37%
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标的50ETF收盘上涨1.75%，富融加权历史波动率指数(WHV)上涨0.54%，为23.93%。FIV（富融波指）报28.73%，下跌0.59%。结构上看，FCIV（富融购指）上涨2.62%，FPIV（富融沽指）下跌3.24%。FIV大于WHV 4.8%。
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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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2.911
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2.984
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-2.45%
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2.966
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WHV
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23.93%
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14.38%
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9.55%
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15.72%
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FIV
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28.73%
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15.33%
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13.40%
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16.28%
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FCIV
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28.38%
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14.49%
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13.89%
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14.76%
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FPIV
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29.25%
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17.56%
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11.69%
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18.24%
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C/P Ratio
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116.99%
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120.64%
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-3.65%
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120.71%
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FCIV/FPIV
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96.84%
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82.75%
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14.09%
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83.24%
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统计区间: 自2019年07月30日开始到目前为止，共149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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23.93%
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96.87%
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91.40%
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78.22%
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52.11%
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27.68%
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CALL平均波动率
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28.91%
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92.93%
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84.73%
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69.26%
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44.28%
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23.09%
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PUT平均波动率
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29.50%
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92.39%
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83.91%
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68.28%
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43.49%
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22.64%
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50ETF3月期权
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波动率↓价格→
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小于2.77
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大于2.77
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2.77-3.06
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小于3.06
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大于3.06
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历史波动率
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23.93%
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14.52%
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85.48%
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69.75%
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84.27%
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15.73%
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CALL平均波动率
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28.91%
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19.07%
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80.93%
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60.67%
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79.74%
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20.26%
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PUT平均波动率
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29.50%
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19.55%
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80.45%
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59.71%
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79.27%
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20.73%
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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
