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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3/31
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3/30
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变化
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变化幅度
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50ETF
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2.675
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2.68
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-0.005
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-0.19%
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WHV
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28.23%
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28.44%
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-0.21%
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-0.74%
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2.当月合约
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FIV
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31.41%
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33.91%
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-2.50%
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-7.37%
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FCIV①
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28.29%
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31.23%
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-2.94%
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-9.41%
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FPIV②
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35.17%
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36.67%
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-1.50%
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-4.09%
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①/②
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0.80
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0.85
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-0.05
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-5.55%
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3.次月合约
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FIV
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29.60%
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31.38%
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-1.78%
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-5.67%
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FCIV①
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26.02%
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27.62%
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-1.60%
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-5.79%
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FPIV②
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33.03%
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34.68%
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-1.65%
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-4.76%
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①/②
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0.79
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0.80
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-0.01
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-1.09%
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4.第1季月合约
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FIV
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29.58%
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30.46%
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-0.88%
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-2.89%
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FCIV①
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27.30%
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27.99%
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-0.69%
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-2.47%
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FPIV②
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32.13%
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33.81%
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-1.68%
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-4.97%
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①/②
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0.85
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0.83
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0.02
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2.63%
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5.第2季月合约
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FIV
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28.67%
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29.36%
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-0.69%
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-2.35%
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FCIV①
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25.68%
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26.43%
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-0.75%
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-2.84%
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FPIV②
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31.45%
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32.59%
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-1.14%
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-3.50%
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①/②
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0.82
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0.81
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0.01
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0.68%
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6.全部合约
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FIV
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31.16%
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33.60%
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-2.44%
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-7.26%
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FCIV①
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28.09%
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30.92%
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-2.83%
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-9.15%
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FPIV②
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34.82%
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36.44%
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-1.62%
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-4.45%
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①/②
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0.81
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0.85
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-0.04
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-4.93%
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标的50ETF收盘下跌0.19%，富融加权历史波动率指数(WHV)下跌0.21%，为28.23%。FIV（富融波指）报31.16%，下跌2.44%。结构上看，FCIV（富融购指）下跌2.83%，FPIV（富融沽指）下跌1.62%。FIV大于WHV 2.93%。
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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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2.675
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2.973
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-10.02%
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2.940
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WHV
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28.23%
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14.50%
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13.73%
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16.70%
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FIV
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31.16%
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16.00%
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15.16%
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18.14%
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FCIV
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28.09%
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14.79%
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13.30%
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16.51%
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FPIV
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34.82%
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18.69%
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16.13%
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20.25%
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C/P Ratio
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117.69%
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120.15%
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-2.46%
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120.81%
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FCIV/FPIV
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80.68%
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82.34%
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-1.66%
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83.35%
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统计区间: 自2019年07月30日开始到目前为止，共164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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28.23%
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73.84%
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61.02%
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47.49%
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32.47%
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16.47%
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CALL平均波动率
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28.29%
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73.77%
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60.95%
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47.44%
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32.43%
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16.45%
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PUT平均波动率
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35.17%
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66.64%
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53.69%
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41.47%
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28.23%
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14.29%
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50ETF4月期权
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波动率↓价格→
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小于2.54
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大于2.54
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2.54-2.81
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小于2.81
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大于2.81
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历史波动率
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28.23%
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22.96%
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77.04%
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52.97%
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75.93%
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24.07%
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CALL平均波动率
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28.29%
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23.01%
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76.99%
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52.87%
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75.88%
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24.12%
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PUT平均波动率
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35.17%
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27.62%
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72.38%
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43.77%
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71.40%
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28.60%
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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
