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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3/13
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3/12
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变化
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变化幅度
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50ETF
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2.796
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2.836
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-0.040
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-1.41%
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WHV
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25.15%
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24.82%
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0.33%
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1.33%
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2.当月合约
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FIV
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42.14%
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31.80%
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10.34%
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32.52%
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FCIV①
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40.83%
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31.31%
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9.52%
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30.41%
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FPIV②
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43.41%
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32.21%
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11.20%
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34.77%
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①/②
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0.94
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0.97
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-0.03
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-3.24%
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3.次月合约
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FIV
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36.30%
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30.78%
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5.52%
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17.93%
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FCIV①
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34.45%
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28.99%
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5.46%
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18.83%
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FPIV②
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38.79%
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32.31%
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6.48%
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20.06%
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①/②
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0.89
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0.90
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-0.01
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-1.02%
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4.第1季月合约
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FIV
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31.84%
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28.69%
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3.15%
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10.98%
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FCIV①
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29.37%
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26.73%
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2.64%
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9.88%
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FPIV②
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34.49%
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30.25%
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4.24%
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14.02%
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①/②
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0.85
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0.88
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-0.03
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-3.63%
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5.第2季月合约
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FIV
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29.64%
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27.42%
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2.22%
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8.10%
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FCIV①
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27.28%
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25.51%
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1.77%
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6.94%
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FPIV②
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32.05%
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29.59%
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2.46%
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8.31%
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①/②
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0.85
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0.86
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-0.01
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-1.27%
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6.全部合约
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FIV
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40.77%
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31.47%
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9.30%
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29.55%
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FCIV①
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39.50%
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30.81%
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8.69%
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28.21%
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FPIV②
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42.52%
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32.10%
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10.42%
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32.46%
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①/②
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0.93
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0.96
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-0.03
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-3.21%
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标的50ETF收盘下跌1.41%，富融加权历史波动率指数(WHV)上涨0.33%，为25.15%。FIV（富融波指）报40.77%，上涨9.30%。结构上看，FCIV（富融购指）上涨8.69%，FPIV（富融沽指）上涨10.42%。FIV大于WHV 15.62%。
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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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2.796
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2.980
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-6.17%
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2.964
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WHV
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25.15%
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14.42%
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10.73%
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15.90%
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FIV
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40.77%
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15.37%
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25.40%
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16.62%
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FCIV
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39.50%
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14.52%
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24.98%
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15.06%
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FPIV
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42.52%
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17.62%
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24.90%
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18.61%
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C/P Ratio
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102.39%
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120.15%
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-17.76%
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120.33%
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FCIV/FPIV
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92.52%
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83.17%
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9.35%
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83.19%
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统计区间: 自2019年07月30日开始到目前为止，共152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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25.15%
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96.65%
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88.32%
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76.03%
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56.66%
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30.45%
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CALL平均波动率
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40.83%
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81.16%
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66.62%
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53.12%
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37.06%
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19.06%
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PUT平均波动率
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43.41%
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78.41%
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63.66%
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50.43%
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35.01%
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17.95%
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50ETF3月期权
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波动率↓价格→
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小于2.66
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大于2.66
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2.66-2.94
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小于2.94
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大于2.94
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历史波动率
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25.15%
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13.03%
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86.97%
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72.73%
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85.77%
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14.23%
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CALL平均波动率
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40.83%
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24.42%
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75.58%
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50.09%
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74.51%
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25.49%
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PUT平均波动率
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43.41%
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25.73%
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74.27%
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47.50%
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73.23%
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26.77%
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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
