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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3/11
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3/10
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变化
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变化幅度
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50ETF
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2.874
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2.911
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-0.037
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-1.27%
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WHV
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24.46%
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23.93%
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0.53%
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2.21%
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2.当月合约
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FIV
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27.63%
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29.18%
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-1.55%
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-5.31%
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FCIV①
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19.12%
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28.91%
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-9.79%
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-33.86%
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FPIV②
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37.68%
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29.50%
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8.18%
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27.73%
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①/②
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0.51
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0.98
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-0.47
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-48.22%
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3.次月合约
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FIV
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26.58%
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26.92%
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-0.34%
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-1.26%
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FCIV①
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21.54%
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25.83%
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-4.29%
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-16.61%
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FPIV②
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32.66%
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28.45%
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4.21%
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14.80%
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①/②
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0.66
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0.91
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-0.25
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-27.36%
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4.第1季月合约
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FIV
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26.72%
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25.56%
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1.16%
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4.54%
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FCIV①
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21.72%
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23.79%
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-2.07%
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-8.70%
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FPIV②
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30.27%
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27.01%
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3.26%
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12.07%
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①/②
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0.72
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0.88
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-0.16
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-18.53%
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5.第2季月合约
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FIV
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25.18%
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24.67%
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0.51%
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2.07%
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FCIV①
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21.63%
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22.90%
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-1.27%
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-5.55%
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FPIV②
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29.06%
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26.44%
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2.62%
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9.91%
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①/②
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0.74
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0.87
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-0.12
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-14.06%
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6.全部合约
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FIV
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27.44%
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28.73%
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-1.29%
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-4.49%
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FCIV①
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19.53%
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28.38%
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-8.85%
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-31.18%
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FPIV②
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36.81%
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29.25%
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7.56%
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25.85%
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①/②
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0.53
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0.97
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-0.44
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-45.32%
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标的50ETF收盘下跌1.27%，富融加权历史波动率指数(WHV)上涨0.53%，为24.46%。FIV（富融波指）报27.44%，下跌1.29%。结构上看，FCIV（富融购指）下跌8.85%，FPIV（富融沽指）上涨7.56%。FIV大于WHV 2.98%。
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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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2.874
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2.981
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-3.59%
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2.966
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WHV
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24.46%
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14.40%
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10.06%
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15.78%
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FIV
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27.44%
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15.36%
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12.08%
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16.36%
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FCIV
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19.53%
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14.50%
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5.03%
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14.79%
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FPIV
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36.81%
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17.58%
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19.23%
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18.36%
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C/P Ratio
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115.89%
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120.22%
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-4.33%
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120.68%
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FCIV/FPIV
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53.18%
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82.33%
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-29.15%
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83.04%
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统计区间: 自2019年07月30日开始到目前为止，共150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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24.46%
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97.06%
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91.77%
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78.79%
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52.66%
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28.02%
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CALL平均波动率
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19.12%
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99.35%
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97.20%
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88.92%
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63.98%
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35.30%
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PUT平均波动率
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37.68%
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85.38%
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74.62%
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58.26%
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35.92%
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18.45%
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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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24.46%
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14.22%
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85.78%
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70.36%
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84.57%
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15.43%
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CALL平均波动率
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19.12%
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8.54%
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91.46%
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81.84%
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90.37%
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9.63%
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PUT平均波动率
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37.68%
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24.35%
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75.65%
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50.22%
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74.57%
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25.43%
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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
