一、 富融波动率指数指标说明
|
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。
|
二、 富融波动率指数
|
1.标的50ETF
|
|
|
|
|
|
日期
|
4/9
|
4/8
|
变化
|
变化幅度
|
|
50ETF
|
2.739
|
2.73
|
0.009
|
0.33%
|
|
WHV
|
25.60%
|
26.06%
|
-0.46%
|
-1.77%
|
|
2.当月合约
|
|
|
|
|
|
FIV
|
23.68%
|
25.33%
|
-1.65%
|
-6.51%
|
|
FCIV①
|
19.75%
|
22.30%
|
-2.55%
|
-11.43%
|
|
FPIV②
|
28.05%
|
28.74%
|
-0.69%
|
-2.40%
|
|
①/②
|
0.70
|
0.78
|
-0.07
|
-9.26%
|
|
3.次月合约
|
|
|
|
|
|
FIV
|
22.76%
|
23.69%
|
-0.93%
|
-3.93%
|
|
FCIV①
|
18.45%
|
20.15%
|
-1.70%
|
-8.44%
|
|
FPIV②
|
26.26%
|
27.31%
|
-1.05%
|
-3.84%
|
|
①/②
|
0.70
|
0.74
|
-0.04
|
-4.78%
|
|
4.第1季月合约
|
|
|
|
|
|
FIV
|
23.90%
|
25.25%
|
-1.35%
|
-5.35%
|
|
FCIV①
|
21.07%
|
22.89%
|
-1.82%
|
-7.95%
|
|
FPIV②
|
26.94%
|
27.80%
|
-0.86%
|
-3.09%
|
|
①/②
|
0.78
|
0.82
|
-0.04
|
-5.01%
|
|
5.第2季月合约
|
|
|
|
|
|
FIV
|
24.51%
|
25.29%
|
-0.78%
|
-3.08%
|
|
FCIV①
|
20.87%
|
21.98%
|
-1.11%
|
-5.05%
|
|
FPIV②
|
27.44%
|
27.86%
|
-0.42%
|
-1.51%
|
|
①/②
|
0.76
|
0.79
|
-0.03
|
-3.60%
|
|
6.全部合约
|
|
|
|
|
|
FIV
|
23.61%
|
25.17%
|
-1.56%
|
-6.20%
|
|
FCIV①
|
19.74%
|
22.15%
|
-2.41%
|
-10.88%
|
|
FPIV②
|
27.75%
|
28.53%
|
-0.78%
|
-2.73%
|
|
①/②
|
0.71
|
0.78
|
-0.07
|
-8.38%
|
|
标的50ETF收盘上涨0.33%，富融加权历史波动率指数(WHV)下跌0.46%，为25.60%。FIV（富融波指）报23.61%，下跌1.56%。结构上看，FCIV（富融购指）下跌2.41%，FPIV（富融沽指）下跌0.78%。FIV小于WHV 1.99%。
|
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)
|
指标
|
当前值
|
中位数
|
距中位数
|
平均值
|
|
50ETF收盘价格
|
2.739
|
2.967
|
-7.68%
|
2.932
|
|
WHV
|
25.60%
|
14.73%
|
10.87%
|
17.06%
|
|
FIV
|
23.61%
|
16.46%
|
7.15%
|
18.44%
|
|
FCIV
|
19.74%
|
15.05%
|
4.69%
|
16.76%
|
|
FPIV
|
27.75%
|
19.07%
|
8.68%
|
20.62%
|
|
C/P Ratio
|
106.03%
|
118.87%
|
-12.84%
|
120.36%
|
|
FCIV/FPIV
|
71.11%
|
81.99%
|
-10.88%
|
83.12%
|
|
统计区间: 自2019年07月30日开始到目前为止，共170个交易日数据
|
|
|
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
|
50ETF4月期权
|
波动率↓价格→
|
2.55-3.1
|
2.6-3
|
2.65-2.95
|
2.7-2.9
|
2.75-2.85
|
|
历史波动率
|
25.60%
|
92.54%
|
82.97%
|
69.07%
|
49.82%
|
26.15%
|
|
CALL平均波动率
|
19.75%
|
97.20%
|
91.16%
|
78.91%
|
58.71%
|
31.40%
|
|
PUT平均波动率
|
28.05%
|
90.19%
|
79.46%
|
65.32%
|
46.65%
|
24.33%
|
|
|
|
|
|
|
|
|
|
50ETF4月期权
|
波动率↓价格→
|
小于2.6
|
大于2.6
|
2.6-2.88
|
小于2.88
|
大于2.88
|
|
历史波动率
|
25.60%
|
14.42%
|
85.58%
|
69.96%
|
84.37%
|
15.63%
|
|
CALL平均波动率
|
19.75%
|
8.44%
|
91.56%
|
82.04%
|
90.48%
|
9.52%
|
|
PUT平均波动率
|
28.05%
|
16.63%
|
83.37%
|
65.54%
|
82.16%
|
17.84%
|
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
