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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3/20
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3/19
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变化
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变化幅度
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50ETF
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2.624
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2.564
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0.060
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2.34%
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WHV
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25.86%
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25.50%
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0.36%
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1.41%
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2.当月合约
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FIV
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34.14%
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37.26%
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-3.12%
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-8.37%
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FCIV①
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33.47%
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40.83%
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-7.36%
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-18.03%
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FPIV②
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34.97%
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33.90%
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1.07%
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3.16%
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①/②
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0.96
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1.20
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-0.25
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-20.53%
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3.次月合约
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FIV
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32.48%
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37.80%
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-5.32%
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-14.07%
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FCIV①
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30.20%
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35.77%
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-5.57%
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-15.57%
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FPIV②
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36.09%
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40.50%
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-4.41%
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-10.89%
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①/②
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0.84
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0.88
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-0.05
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-5.26%
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4.第1季月合约
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FIV
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30.52%
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35.12%
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-4.60%
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-13.10%
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FCIV①
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29.09%
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32.27%
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-3.18%
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-9.85%
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FPIV②
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33.16%
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38.29%
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-5.13%
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-13.40%
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①/②
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0.88
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0.84
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0.03
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4.09%
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5.第2季月合约
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FIV
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28.14%
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31.72%
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-3.58%
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-11.29%
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FCIV①
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26.73%
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29.17%
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-2.44%
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-8.36%
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FPIV②
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29.97%
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34.62%
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-4.65%
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-13.43%
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①/②
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0.89
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0.84
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0.05
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5.85%
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6.全部合约
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FIV
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33.39%
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37.18%
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-3.79%
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-10.19%
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FCIV①
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32.23%
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38.83%
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-6.60%
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-17.00%
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FPIV②
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35.12%
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35.94%
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-0.82%
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-2.28%
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①/②
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0.92
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1.08
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-0.16
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-15.06%
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标的50ETF收盘上涨2.34%，富融加权历史波动率指数(WHV)上涨0.36%，为25.86%。FIV（富融波指）报33.39%，下跌3.79%。结构上看，FCIV（富融购指）下跌6.60%，FPIV（富融沽指）下跌0.82%。FIV大于WHV 7.53%。
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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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2.624
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2.978
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-11.89%
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2.953
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WHV
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25.86%
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14.46%
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11.40%
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16.21%
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FIV
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33.39%
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15.69%
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17.70%
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17.39%
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FCIV
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32.23%
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14.58%
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17.65%
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15.82%
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FPIV
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35.12%
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17.97%
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17.15%
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19.41%
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C/P Ratio
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134.31%
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119.84%
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14.47%
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120.35%
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FCIV/FPIV
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91.55%
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83.31%
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8.24%
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83.42%
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统计区间: 自2019年07月30日开始到目前为止，共157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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25.86%
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44.80%
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35.14%
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25.72%
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15.94%
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7.80%
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CALL平均波动率
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30.20%
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45.10%
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36.22%
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26.96%
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16.72%
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8.29%
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PUT平均波动率
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36.09%
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44.65%
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36.25%
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27.06%
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16.62%
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8.30%
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50ETF4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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2.49-2.76
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小于2.76
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大于2.76
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历史波动率
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25.86%
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25.48%
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74.52%
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48.00%
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73.48%
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26.52%
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CALL平均波动率
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30.20%
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28.61%
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71.39%
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41.83%
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70.44%
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29.56%
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PUT平均波动率
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36.09%
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31.82%
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68.18%
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35.53%
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67.35%
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32.65%
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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
