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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3/16
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3/13
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变化
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变化幅度
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50ETF
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2.687
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2.796
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-0.109
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-3.90%
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WHV
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25.53%
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25.15%
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0.38%
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1.51%
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2.当月合约
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FIV
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48.90%
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42.14%
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6.76%
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16.04%
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FCIV①
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44.42%
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40.83%
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3.59%
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8.79%
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FPIV②
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54.02%
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43.41%
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10.61%
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24.44%
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①/②
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0.82
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0.94
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-0.12
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-12.58%
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3.次月合约
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FIV
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40.65%
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36.30%
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4.35%
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11.98%
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FCIV①
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37.73%
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34.45%
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3.28%
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9.52%
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FPIV②
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44.77%
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38.79%
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5.98%
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15.42%
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①/②
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0.84
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0.89
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-0.05
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-5.11%
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4.第1季月合约
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FIV
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34.44%
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31.84%
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2.60%
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8.17%
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FCIV①
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31.70%
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29.37%
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2.33%
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7.93%
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FPIV②
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37.38%
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34.49%
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2.89%
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8.38%
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①/②
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0.85
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0.85
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0.00
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-0.41%
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5.第2季月合约
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FIV
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31.47%
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29.64%
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1.83%
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6.17%
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FCIV①
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29.14%
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27.28%
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1.86%
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6.82%
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FPIV②
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33.94%
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32.05%
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1.89%
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5.90%
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①/②
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0.86
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0.85
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0.01
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0.87%
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6.全部合约
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FIV
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46.95%
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40.77%
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6.18%
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15.16%
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FCIV①
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43.03%
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39.50%
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3.53%
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8.94%
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FPIV②
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52.33%
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42.52%
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9.81%
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23.07%
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①/②
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0.82
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0.93
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-0.11
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-11.49%
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标的50ETF收盘下跌3.90%，富融加权历史波动率指数(WHV)上涨0.38%，为25.53%。FIV（富融波指）报46.95%，上涨6.18%。结构上看，FCIV（富融购指）上涨3.53%，FPIV（富融沽指）上涨9.81%。FIV大于WHV 21.42%。
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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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2.687
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2.980
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-9.82%
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2.962
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WHV
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25.53%
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14.42%
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11.11%
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15.96%
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FIV
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46.95%
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15.45%
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31.50%
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16.82%
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FCIV
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43.03%
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14.53%
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28.50%
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15.24%
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FPIV
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52.33%
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17.72%
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34.61%
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18.83%
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C/P Ratio
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121.30%
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119.84%
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1.46%
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120.31%
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FCIV/FPIV
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82.83%
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82.76%
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0.07%
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83.18%
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统计区间: 自2019年07月30日开始到目前为止，共153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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25.53%
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90.40%
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79.12%
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62.54%
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42.36%
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21.07%
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CALL平均波动率
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44.87%
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75.00%
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62.09%
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48.55%
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33.32%
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16.95%
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PUT平均波动率
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54.04%
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68.53%
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55.39%
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42.93%
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29.30%
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14.86%
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50ETF3月期权
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波动率↓价格→
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小于2.55
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大于2.55
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2.55-2.82
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小于2.82
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大于2.82
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历史波动率
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25.53%
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10.03%
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89.97%
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78.79%
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88.82%
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11.18%
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CALL平均波动率
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44.87%
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23.33%
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76.67%
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52.24%
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75.57%
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24.43%
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PUT平均波动率
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54.04%
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27.28%
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72.72%
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44.46%
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71.74%
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28.26%
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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
