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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3/18
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3/17
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变化
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变化幅度
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50ETF
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2.618
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2.675
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-0.057
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-2.13%
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WHV
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25.57%
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25.55%
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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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43.63%
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45.49%
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-1.86%
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-4.09%
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FCIV①
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37.15%
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45.17%
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-8.02%
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-17.76%
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FPIV②
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51.98%
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45.87%
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6.11%
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13.32%
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①/②
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0.71
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0.98
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-0.27
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-27.42%
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3.次月合约
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FIV
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36.53%
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41.23%
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-4.70%
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-11.40%
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FCIV①
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32.05%
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40.14%
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-8.09%
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-20.15%
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FPIV②
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43.18%
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42.66%
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0.52%
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1.22%
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①/②
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0.74
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0.94
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-0.20
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-21.12%
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4.第1季月合约
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FIV
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32.32%
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35.53%
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-3.21%
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-9.03%
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FCIV①
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29.09%
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33.95%
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-4.86%
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-14.32%
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FPIV②
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35.57%
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37.05%
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-1.48%
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-3.99%
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①/②
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0.82
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0.92
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-0.10
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-10.75%
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5.第2季月合约
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FIV
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30.22%
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31.76%
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-1.54%
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-4.85%
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FCIV①
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26.83%
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30.54%
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-3.71%
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-12.15%
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FPIV②
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33.30%
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33.28%
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0.02%
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0.06%
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①/②
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0.81
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0.92
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-0.11
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-12.20%
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6.全部合约
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FIV
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41.28%
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44.06%
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-2.78%
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-6.31%
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FCIV①
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35.65%
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43.78%
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-8.13%
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-18.57%
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FPIV②
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49.48%
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44.85%
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4.63%
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10.32%
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①/②
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0.72
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0.98
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-0.26
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-26.19%
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标的50ETF收盘下跌2.13%，富融加权历史波动率指数(WHV)上涨0.02%，为25.57%。FIV（富融波指）报41.28%，下跌2.78%。结构上看，FCIV（富融购指）下跌8.13%，FPIV（富融沽指）上涨4.63%。FIV大于WHV 15.71%。
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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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2.618
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2.979
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-12.10%
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2.958
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WHV
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25.57%
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14.44%
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11.13%
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16.09%
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FIV
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41.28%
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15.61%
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25.67%
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17.16%
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FCIV
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35.65%
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14.56%
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21.09%
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15.56%
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FPIV
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49.48%
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17.85%
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31.63%
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19.20%
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C/P Ratio
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135.26%
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119.84%
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15.42%
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120.36%
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FCIV/FPIV
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73.00%
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82.76%
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-9.76%
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83.20%
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统计区间: 自2019年07月30日开始到目前为止，共155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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25.57%
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36.57%
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19.19%
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8.24%
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2.88%
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0.79%
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CALL平均波动率
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37.50%
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40.75%
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27.63%
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17.12%
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9.35%
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4.03%
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PUT平均波动率
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52.05%
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43.24%
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33.17%
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23.79%
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14.61%
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7.06%
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50ETF3月期权
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波动率↓价格→
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小于2.49
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大于2.49
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2.49-2.75
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小于2.75
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大于2.75
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历史波动率
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25.57%
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7.37%
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92.63%
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84.22%
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91.59%
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8.41%
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CALL平均波动率
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37.50%
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16.17%
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83.83%
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66.46%
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82.62%
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17.38%
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PUT平均波动率
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52.05%
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23.83%
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76.17%
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51.24%
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75.08%
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24.92%
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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
