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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3/24
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3/23
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变化
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变化幅度
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50ETF
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2.627
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2.553
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0.074
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2.90%
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WHV
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26.76%
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26.16%
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0.60%
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2.29%
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2.当月合约
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FIV
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41.98%
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47.94%
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-5.96%
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-12.43%
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FCIV①
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34.35%
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49.93%
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-15.58%
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-31.20%
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FPIV②
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53.17%
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45.88%
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7.29%
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15.89%
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①/②
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0.65
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1.09
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-0.44
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-40.64%
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3.次月合约
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FIV
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34.16%
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37.16%
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-3.00%
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-8.07%
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FCIV①
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32.89%
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35.04%
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-2.15%
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-6.14%
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FPIV②
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36.20%
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40.45%
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-4.25%
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-10.51%
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①/②
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0.91
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0.87
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0.04
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4.88%
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4.第1季月合约
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FIV
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31.95%
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33.47%
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-1.52%
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-4.54%
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FCIV①
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30.29%
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31.45%
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-1.16%
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-3.69%
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FPIV②
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34.30%
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36.96%
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-2.66%
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-7.20%
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①/②
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0.88
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0.85
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0.03
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3.78%
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5.第2季月合约
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FIV
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29.23%
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30.71%
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-1.48%
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-4.82%
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FCIV①
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27.59%
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28.88%
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-1.29%
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-4.47%
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FPIV②
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31.90%
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34.20%
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-2.30%
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-6.73%
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①/②
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0.86
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0.84
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0.02
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2.42%
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6.全部合约
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FIV
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37.84%
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42.93%
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-5.09%
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-11.86%
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FCIV①
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33.46%
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43.86%
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-10.40%
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-23.71%
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FPIV②
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46.27%
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43.81%
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2.46%
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5.62%
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①/②
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0.72
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1.00
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-0.28
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-27.77%
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标的50ETF收盘上涨2.90%，富融加权历史波动率指数(WHV)上涨0.60%，为26.76%。FIV（富融波指）报37.84%，下跌5.09%。结构上看，FCIV（富融购指）下跌10.40%，FPIV（富融沽指）上涨2.46%。FIV大于WHV 11.08%。
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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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2.627
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2.978
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-11.79%
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2.949
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WHV
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26.76%
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14.47%
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12.29%
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16.34%
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FIV
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37.84%
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15.76%
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22.08%
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17.68%
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FCIV
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33.46%
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14.61%
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18.85%
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16.11%
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FPIV
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46.27%
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18.12%
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28.15%
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19.74%
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C/P Ratio
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152.71%
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120.19%
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32.52%
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120.58%
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FCIV/FPIV
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74.94%
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83.31%
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-8.37%
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83.45%
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统计区间: 自2019年07月30日开始到目前为止，共159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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26.76%
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45.27%
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35.37%
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25.80%
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15.97%
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7.79%
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CALL平均波动率
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32.89%
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45.56%
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36.71%
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27.37%
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16.97%
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8.42%
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PUT平均波动率
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36.20%
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45.33%
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36.75%
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27.46%
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16.94%
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8.44%
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50ETF4月期权
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波动率↓价格→
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小于2.5
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大于2.5
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2.5-2.76
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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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26.76%
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24.82%
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75.18%
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49.29%
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74.11%
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25.89%
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CALL平均波动率
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32.89%
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29.01%
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70.99%
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41.06%
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70.06%
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29.94%
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PUT平均波动率
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36.20%
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30.76%
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69.24%
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37.62%
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68.37%
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31.63%
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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
