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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3/23
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3/20
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变化
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变化幅度
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50ETF
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2.553
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2.624
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-0.071
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-2.71%
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WHV
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26.16%
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25.86%
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0.30%
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1.16%
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2.当月合约
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FIV
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47.94%
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34.14%
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13.80%
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40.42%
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FCIV①
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49.93%
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33.47%
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16.46%
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49.18%
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FPIV②
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45.88%
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34.97%
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10.91%
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31.20%
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①/②
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1.09
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0.96
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0.13
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13.70%
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3.次月合约
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FIV
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37.16%
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32.48%
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4.68%
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14.41%
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FCIV①
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35.04%
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30.20%
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4.84%
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16.03%
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FPIV②
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40.45%
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36.09%
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4.36%
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12.08%
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①/②
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0.87
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0.84
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0.03
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3.52%
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4.第1季月合约
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FIV
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33.47%
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30.52%
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2.95%
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9.67%
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FCIV①
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31.45%
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29.09%
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2.36%
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8.11%
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FPIV②
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36.96%
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33.16%
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3.80%
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11.46%
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①/②
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0.85
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0.88
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-0.03
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-3.00%
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5.第2季月合约
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FIV
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30.71%
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28.14%
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2.57%
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9.13%
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FCIV①
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28.88%
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26.73%
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2.15%
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8.04%
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FPIV②
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34.20%
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29.97%
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4.23%
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14.11%
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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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-5.32%
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6.全部合约
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FIV
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42.93%
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33.39%
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9.54%
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28.57%
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FCIV①
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43.86%
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32.23%
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11.63%
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36.08%
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FPIV②
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43.81%
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35.12%
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8.69%
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24.74%
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①/②
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1.00
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0.92
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0.08
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9.09%
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标的50ETF收盘下跌2.71%，富融加权历史波动率指数(WHV)上涨0.30%，为26.16%。FIV（富融波指）报42.93%，上涨9.54%。结构上看，FCIV（富融购指）上涨11.63%，FPIV（富融沽指）上涨8.69%。FIV大于WHV 16.77%。
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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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2.553
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2.978
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-14.27%
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2.951
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WHV
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26.16%
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14.47%
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11.69%
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16.27%
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FIV
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42.93%
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15.69%
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27.24%
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17.55%
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FCIV
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43.86%
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14.60%
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29.26%
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16.00%
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FPIV
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43.81%
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18.06%
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25.75%
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19.57%
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C/P Ratio
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124.46%
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120.15%
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4.31%
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120.37%
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FCIV/FPIV
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97.25%
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83.45%
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13.81%
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83.50%
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统计区间: 自2019年07月30日开始到目前为止，共158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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26.16%
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30.92%
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22.64%
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15.60%
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9.34%
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4.42%
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CALL平均波动率
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35.04%
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34.99%
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27.64%
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20.30%
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12.48%
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6.15%
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PUT平均波动率
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40.45%
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36.04%
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28.89%
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21.37%
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13.08%
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6.50%
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50ETF4月期权
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波动率↓价格→
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小于2.43
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大于2.43
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2.43-2.68
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小于2.68
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大于2.68
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历史波动率
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26.16%
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24.70%
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75.30%
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49.53%
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74.23%
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25.77%
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CALL平均波动率
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35.04%
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30.48%
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69.52%
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38.16%
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68.64%
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31.36%
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PUT平均波动率
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40.45%
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32.91%
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67.09%
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33.39%
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66.30%
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33.70%
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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
