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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3/19
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3/18
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变化
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变化幅度
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50ETF
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2.564
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2.618
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-0.054
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-2.06%
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WHV
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25.50%
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25.57%
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-0.07%
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-0.27%
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2.当月合约
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FIV
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37.26%
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43.63%
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-6.37%
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-14.60%
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FCIV①
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40.83%
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37.15%
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3.68%
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9.91%
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FPIV②
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33.90%
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51.98%
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-18.08%
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-34.78%
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①/②
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1.20
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0.71
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0.49
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68.52%
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3.次月合约
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FIV
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37.80%
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36.53%
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1.27%
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3.48%
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FCIV①
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35.77%
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32.05%
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3.72%
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11.61%
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FPIV②
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40.50%
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43.18%
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-2.68%
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-6.21%
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①/②
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0.88
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0.74
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0.14
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18.99%
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4.第1季月合约
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FIV
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35.12%
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32.32%
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2.80%
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8.66%
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FCIV①
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32.27%
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29.09%
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3.18%
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10.93%
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FPIV②
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38.29%
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35.57%
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2.72%
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7.65%
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①/②
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0.84
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0.82
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0.02
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3.05%
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5.第2季月合约
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FIV
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31.72%
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30.22%
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1.50%
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4.96%
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FCIV①
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29.17%
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26.83%
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2.34%
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8.72%
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FPIV②
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34.62%
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33.30%
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1.32%
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3.96%
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①/②
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0.84
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0.81
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0.04
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4.58%
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6.全部合约
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FIV
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37.18%
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41.28%
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-4.10%
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-9.93%
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FCIV①
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38.83%
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35.65%
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3.18%
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8.92%
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FPIV②
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35.94%
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49.48%
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-13.54%
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-27.36%
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①/②
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1.08
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0.72
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0.36
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49.95%
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标的50ETF收盘下跌2.06%，富融加权历史波动率指数(WHV)下跌0.07%，为25.50%。FIV（富融波指）报37.18%，下跌4.10%。结构上看，FCIV（富融购指）上涨3.18%，FPIV（富融沽指）下跌13.54%。FIV大于WHV 11.68%。
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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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2.564
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2.978
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-13.90%
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2.955
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WHV
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25.50%
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14.46%
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11.04%
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16.15%
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FIV
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37.18%
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15.69%
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21.49%
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17.29%
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FCIV
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38.83%
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14.56%
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24.27%
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15.71%
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FPIV
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35.94%
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17.88%
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18.06%
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19.31%
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C/P Ratio
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104.84%
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119.53%
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-14.69%
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120.26%
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FCIV/FPIV
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108.02%
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83.17%
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24.85%
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83.36%
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统计区间: 自2019年07月30日开始到目前为止，共156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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50ETF4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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25.50%
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33.52%
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25.11%
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17.68%
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10.72%
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5.13%
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CALL平均波动率
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35.77%
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37.08%
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29.68%
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21.96%
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13.48%
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6.69%
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PUT平均波动率
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40.50%
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37.42%
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30.14%
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22.32%
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13.62%
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6.78%
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50ETF4月期权
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波动率↓价格→
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小于2.44
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大于2.44
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2.44-2.69
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小于2.69
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大于2.69
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历史波动率
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25.50%
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25.49%
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74.51%
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47.97%
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73.46%
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26.54%
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CALL平均波动率
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35.77%
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31.92%
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68.08%
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35.33%
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67.26%
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32.74%
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PUT平均波动率
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40.50%
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33.91%
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66.09%
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31.44%
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65.35%
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34.65%
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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
