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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4/2
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4/1
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变化
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变化幅度
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50ETF
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2.706
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2.671
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0.035
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1.31%
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WHV
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27.21%
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27.69%
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-0.48%
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-1.73%
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2.当月合约
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FIV
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27.32%
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29.49%
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-2.17%
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-7.36%
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FCIV①
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24.97%
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25.27%
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-0.30%
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-1.19%
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FPIV②
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29.86%
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34.08%
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-4.22%
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-12.38%
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①/②
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0.84
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0.74
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0.09
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12.78%
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3.次月合约
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FIV
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26.73%
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28.00%
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-1.27%
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-4.54%
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FCIV①
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23.49%
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23.92%
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-0.43%
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-1.80%
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FPIV②
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30.18%
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32.30%
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-2.12%
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-6.56%
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①/②
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0.78
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0.74
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0.04
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5.10%
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4.第1季月合约
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FIV
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27.24%
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28.48%
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-1.24%
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-4.35%
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FCIV①
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25.39%
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26.08%
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-0.69%
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-2.65%
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FPIV②
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30.28%
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31.68%
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-1.40%
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-4.42%
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①/②
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0.84
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0.82
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0.02
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1.86%
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5.第2季月合约
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FIV
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26.65%
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27.75%
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-1.10%
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-3.96%
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FCIV①
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23.90%
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24.60%
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-0.70%
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-2.85%
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FPIV②
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30.03%
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30.86%
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-0.83%
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-2.69%
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①/②
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0.80
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0.80
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0.00
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-0.16%
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6.全部合约
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FIV
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27.26%
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29.31%
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-2.05%
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-6.99%
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FCIV①
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24.86%
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25.22%
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-0.36%
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-1.43%
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FPIV②
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29.91%
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33.80%
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-3.89%
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-11.51%
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①/②
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0.83
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0.75
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0.09
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11.39%
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标的50ETF收盘上涨1.31%，富融加权历史波动率指数(WHV)下跌0.48%，为27.21%。FIV（富融波指）报27.26%，下跌2.05%。结构上看，FCIV（富融购指）下跌0.36%，FPIV（富融沽指）下跌3.89%。FIV大于WHV 0.05%。
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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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2.706
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2.971
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-8.92%
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2.937
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WHV
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27.21%
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14.66%
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12.55%
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16.83%
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FIV
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27.26%
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16.19%
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11.07%
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18.26%
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FCIV
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24.86%
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14.82%
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10.04%
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16.62%
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FPIV
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29.91%
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18.80%
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11.11%
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20.39%
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C/P Ratio
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110.47%
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119.53%
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-9.06%
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120.68%
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FCIV/FPIV
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83.11%
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82.34%
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0.76%
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83.30%
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统计区间: 自2019年07月30日开始到目前为止，共166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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27.21%
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80.80%
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68.21%
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54.10%
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37.54%
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19.22%
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CALL平均波动率
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24.97%
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83.52%
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71.41%
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57.00%
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39.71%
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20.38%
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PUT平均波动率
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29.86%
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77.62%
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64.61%
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50.92%
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35.17%
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17.96%
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50ETF4月期权
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波动率↓价格→
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小于2.57
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大于2.57
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2.57-2.84
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小于2.84
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大于2.84
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历史波动率
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27.21%
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21.03%
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78.97%
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56.78%
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77.82%
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22.18%
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CALL平均波动率
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24.97%
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19.01%
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80.99%
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60.80%
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79.81%
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20.19%
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PUT平均波动率
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29.86%
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23.16%
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76.84%
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52.58%
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75.74%
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24.26%
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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
