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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4/3
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4/2
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变化
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变化幅度
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50ETF
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2.694
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2.706
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-0.012
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-0.44%
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WHV
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26.89%
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27.21%
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-0.32%
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-1.18%
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2.当月合约
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FIV
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28.75%
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27.32%
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1.43%
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5.23%
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FCIV①
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25.42%
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24.97%
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0.45%
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1.80%
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FPIV②
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32.28%
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29.86%
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2.42%
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8.10%
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①/②
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0.79
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0.84
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-0.05
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-5.83%
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3.次月合约
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FIV
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27.93%
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26.73%
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1.20%
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4.49%
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FCIV①
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23.65%
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23.49%
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0.16%
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0.68%
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FPIV②
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31.65%
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30.18%
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1.47%
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4.87%
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①/②
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0.75
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0.78
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-0.03
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-4.00%
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4.第1季月合约
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FIV
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28.01%
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27.24%
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0.77%
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2.83%
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FCIV①
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25.81%
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25.39%
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0.42%
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1.65%
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FPIV②
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30.62%
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30.28%
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0.34%
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1.12%
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①/②
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0.84
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0.84
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0.00
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0.53%
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5.第2季月合约
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FIV
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27.60%
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26.65%
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0.95%
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3.56%
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FCIV①
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24.63%
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23.90%
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0.73%
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3.05%
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FPIV②
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30.67%
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30.03%
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0.64%
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2.13%
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①/②
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0.80
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0.80
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0.01
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0.90%
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6.全部合约
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FIV
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28.63%
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27.26%
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1.37%
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5.03%
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FCIV①
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25.31%
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24.86%
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0.45%
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1.81%
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FPIV②
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32.14%
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29.91%
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2.23%
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7.46%
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①/②
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0.79
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0.83
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-0.04
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-5.25%
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标的50ETF收盘下跌0.44%，富融加权历史波动率指数(WHV)下跌0.32%，为26.89%。FIV（富融波指）报28.63%，上涨1.37%。结构上看，FCIV（富融购指）上涨0.45%，FPIV（富融沽指）上涨2.23%。FIV大于WHV 1.74%。
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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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2.694
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2.970
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-9.28%
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2.936
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WHV
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26.89%
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14.69%
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12.20%
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16.89%
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FIV
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28.63%
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16.31%
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12.32%
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18.32%
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FCIV
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25.31%
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14.92%
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10.39%
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16.67%
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FPIV
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32.14%
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18.93%
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13.21%
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20.47%
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C/P Ratio
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105.11%
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119.51%
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-14.40%
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120.58%
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FCIV/FPIV
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78.75%
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82.34%
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-3.59%
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83.27%
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统计区间: 自2019年07月30日开始到目前为止，共167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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26.89%
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80.37%
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67.89%
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53.63%
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37.07%
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18.93%
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CALL平均波动率
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25.42%
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82.04%
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69.80%
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55.29%
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38.27%
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19.55%
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PUT平均波动率
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32.28%
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74.38%
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61.31%
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47.96%
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32.94%
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16.76%
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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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26.89%
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20.15%
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79.85%
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58.52%
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78.68%
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21.32%
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CALL平均波动率
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25.42%
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18.83%
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81.17%
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61.16%
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79.99%
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20.01%
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PUT平均波动率
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32.28%
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24.31%
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75.69%
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50.30%
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74.61%
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25.39%
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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
