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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3/17
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3/16
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变化
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变化幅度
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50ETF
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2.675
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2.687
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-0.012
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-0.45%
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WHV
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25.55%
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25.53%
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0.02%
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0.08%
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2.当月合约
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FIV
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45.49%
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48.90%
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-3.41%
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-6.97%
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FCIV①
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45.17%
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44.42%
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0.75%
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1.69%
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FPIV②
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45.87%
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54.02%
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-8.15%
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-15.09%
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①/②
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0.98
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0.82
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0.16
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19.76%
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3.次月合约
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FIV
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41.23%
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40.65%
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0.58%
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1.43%
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FCIV①
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40.14%
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37.73%
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2.41%
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6.39%
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FPIV②
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42.66%
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44.77%
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-2.11%
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-4.71%
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①/②
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0.94
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0.84
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0.10
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11.65%
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4.第1季月合约
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FIV
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35.53%
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34.44%
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1.09%
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3.16%
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FCIV①
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33.95%
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31.70%
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2.25%
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7.10%
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FPIV②
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37.05%
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37.38%
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-0.33%
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-0.88%
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①/②
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0.92
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0.85
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0.07
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8.05%
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5.第2季月合约
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FIV
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31.76%
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31.47%
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0.29%
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0.92%
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FCIV①
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30.54%
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29.14%
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1.40%
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4.80%
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FPIV②
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33.28%
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33.94%
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-0.66%
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-1.94%
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①/②
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0.92
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0.86
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0.06
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6.88%
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6.全部合约
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FIV
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44.06%
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46.95%
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-2.89%
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-6.16%
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FCIV①
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43.78%
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43.03%
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0.75%
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1.74%
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FPIV②
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44.85%
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52.33%
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-7.48%
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-14.29%
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①/②
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0.98
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0.82
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0.15
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18.71%
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标的50ETF收盘下跌0.45%，富融加权历史波动率指数(WHV)上涨0.02%，为25.55%。FIV（富融波指）报44.06%，下跌2.89%。结构上看，FCIV（富融购指）上涨0.75%，FPIV（富融沽指）下跌7.48%。FIV大于WHV 18.51%。
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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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2.675
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2.979
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-10.20%
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2.960
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WHV
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25.55%
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14.42%
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11.13%
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16.03%
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FIV
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44.06%
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15.53%
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28.53%
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17.00%
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FCIV
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43.78%
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14.55%
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29.23%
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15.43%
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FPIV
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44.85%
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17.82%
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27.03%
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19.00%
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C/P Ratio
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116.31%
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119.53%
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-3.22%
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120.28%
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FCIV/FPIV
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97.37%
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83.17%
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14.20%
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83.27%
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统计区间: 自2019年07月30日开始到目前为止，共154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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25.55%
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89.71%
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77.27%
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59.32%
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38.65%
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18.54%
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CALL平均波动率
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45.17%
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74.92%
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62.15%
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48.42%
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33.11%
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16.80%
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PUT平均波动率
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45.87%
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74.46%
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61.67%
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48.02%
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32.84%
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16.66%
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50ETF3月期权
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波动率↓价格→
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小于2.54
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大于2.54
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2.54-2.81
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小于2.81
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大于2.81
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历史波动率
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25.55%
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8.75%
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91.25%
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81.40%
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90.15%
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9.85%
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CALL平均波动率
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45.17%
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22.15%
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77.85%
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54.57%
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76.72%
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23.28%
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PUT平均波动率
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45.87%
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22.50%
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77.50%
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53.88%
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76.38%
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23.62%
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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
