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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3/27
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3/26
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变化
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变化幅度
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50ETF
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2.692
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2.677
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0.015
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0.56%
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WHV
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28.55%
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28.14%
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0.41%
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1.46%
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2.当月合约
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FIV
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33.37%
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33.08%
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0.29%
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0.88%
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FCIV①
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29.93%
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29.24%
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0.69%
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2.36%
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FPIV②
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37.87%
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37.63%
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0.24%
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0.64%
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①/②
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0.79
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0.78
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0.01
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1.71%
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3.次月合约
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FIV
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31.67%
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31.06%
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0.61%
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1.96%
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FCIV①
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27.64%
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26.65%
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0.99%
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3.71%
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FPIV②
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35.57%
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35.26%
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0.31%
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0.88%
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①/②
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0.78
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0.76
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0.02
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2.81%
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4.第1季月合约
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FIV
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30.56%
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30.54%
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0.02%
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0.07%
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FCIV①
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27.69%
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27.57%
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0.12%
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0.44%
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FPIV②
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34.16%
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34.16%
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0.00%
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0.00%
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①/②
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0.81
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0.81
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0.00
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0.44%
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5.第2季月合约
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FIV
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29.50%
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29.06%
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0.44%
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1.51%
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FCIV①
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25.86%
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25.57%
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0.29%
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1.13%
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FPIV②
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32.98%
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32.59%
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0.39%
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1.20%
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①/②
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0.78
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0.78
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0.00
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-0.06%
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6.全部合约
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FIV
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33.10%
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32.79%
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0.31%
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0.95%
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FCIV①
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29.70%
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29.01%
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0.69%
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2.38%
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FPIV②
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37.52%
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37.28%
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0.24%
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0.64%
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①/②
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0.79
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0.78
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0.01
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1.72%
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标的50ETF收盘上涨0.56%，富融加权历史波动率指数(WHV)上涨0.41%，为28.55%。FIV（富融波指）报33.10%，上涨0.31%。结构上看，FCIV（富融购指）上涨0.69%，FPIV（富融沽指）上涨0.24%。FIV大于WHV 4.55%。
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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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2.692
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2.977
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-9.57%
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2.944
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WHV
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28.55%
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14.49%
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14.06%
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16.56%
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FIV
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33.10%
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15.99%
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17.11%
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17.96%
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FCIV
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29.70%
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14.79%
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14.91%
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16.35%
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FPIV
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37.52%
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18.35%
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19.17%
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20.06%
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C/P Ratio
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128.16%
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120.22%
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7.94%
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120.94%
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FCIV/FPIV
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79.18%
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82.34%
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-3.16%
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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162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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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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28.55%
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72.95%
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59.84%
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46.69%
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32.01%
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16.28%
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CALL平均波动率
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29.93%
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71.26%
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58.08%
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45.21%
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30.95%
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15.72%
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PUT平均波动率
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37.87%
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62.27%
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49.27%
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37.92%
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25.75%
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13.02%
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50ETF4月期权
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波动率↓价格→
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小于2.56
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大于2.56
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2.56-2.83
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小于2.83
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大于2.83
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历史波动率
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28.55%
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25.04%
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74.96%
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48.86%
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73.90%
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26.10%
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CALL平均波动率
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29.93%
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26.04%
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73.96%
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46.90%
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72.93%
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27.07%
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PUT平均波动率
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37.87%
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30.59%
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69.41%
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37.94%
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68.53%
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31.47%
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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
