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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3/12
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3/11
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变化
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变化幅度
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50ETF
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2.836
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2.874
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-0.038
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-1.32%
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WHV
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24.82%
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24.46%
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0.36%
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1.47%
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2.当月合约
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FIV
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31.80%
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27.63%
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4.17%
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15.09%
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FCIV①
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31.31%
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19.12%
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12.19%
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63.76%
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FPIV②
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32.21%
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37.68%
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-5.47%
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-14.52%
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①/②
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0.97
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0.51
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0.46
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91.56%
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3.次月合约
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FIV
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30.78%
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26.58%
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4.20%
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15.80%
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FCIV①
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28.99%
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21.54%
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7.45%
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34.59%
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FPIV②
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32.31%
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32.66%
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-0.35%
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-1.07%
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①/②
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0.90
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0.66
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0.24
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36.04%
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4.第1季月合约
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FIV
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28.69%
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26.72%
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1.97%
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7.37%
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FCIV①
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26.73%
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21.72%
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5.01%
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23.07%
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FPIV②
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30.25%
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30.27%
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-0.02%
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-0.07%
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①/②
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0.88
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0.72
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0.17
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23.15%
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5.第2季月合约
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FIV
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27.42%
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25.18%
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2.24%
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8.90%
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FCIV①
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25.51%
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21.63%
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3.88%
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17.94%
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FPIV②
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29.59%
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29.06%
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0.53%
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1.82%
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①/②
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0.86
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0.74
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0.12
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15.83%
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6.全部合约
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FIV
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31.47%
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27.44%
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4.03%
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14.69%
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FCIV①
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30.81%
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19.53%
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11.28%
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57.76%
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FPIV②
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32.10%
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36.81%
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-4.71%
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-12.80%
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①/②
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0.96
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0.53
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0.43
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80.90%
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标的50ETF收盘下跌1.32%，富融加权历史波动率指数(WHV)上涨0.36%，为24.82%。FIV（富融波指）报31.47%，上涨4.03%。结构上看，FCIV（富融购指）上涨11.28%，FPIV（富融沽指）下跌4.71%。FIV大于WHV 6.65%。
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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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2.836
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2.981
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-4.85%
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2.965
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WHV
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24.82%
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14.41%
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10.41%
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15.84%
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FIV
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31.47%
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15.36%
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16.11%
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16.46%
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FCIV
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30.81%
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14.51%
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16.30%
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14.90%
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FPIV
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32.10%
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17.60%
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14.50%
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18.45%
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C/P Ratio
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85.71%
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120.19%
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-34.48%
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120.45%
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FCIV/FPIV
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95.80%
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82.75%
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13.05%
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83.13%
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统计区间: 自2019年07月30日开始到目前为止，共151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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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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24.82%
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95.97%
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85.31%
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72.61%
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53.60%
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28.64%
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CALL平均波动率
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31.31%
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89.80%
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75.85%
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62.21%
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44.43%
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23.21%
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PUT平均波动率
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32.21%
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88.83%
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74.60%
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60.94%
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43.38%
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22.61%
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50ETF3月期权
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波动率↓价格→
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小于2.69
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大于2.69
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2.69-2.98
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小于2.98
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大于2.98
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历史波动率
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24.82%
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13.68%
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86.32%
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71.44%
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85.12%
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14.88%
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CALL平均波动率
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31.31%
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19.27%
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80.73%
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60.28%
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79.55%
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20.45%
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PUT平均波动率
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32.21%
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19.94%
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80.06%
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58.96%
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78.89%
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21.11%
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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
