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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4/13
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4/10
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变化
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变化幅度
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50ETF
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2.726
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2.738
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-0.012
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-0.44%
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WHV
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24.99%
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25.30%
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-0.31%
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-1.23%
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2.当月合约
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FIV
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21.88%
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22.16%
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-0.28%
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-1.26%
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FCIV①
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18.39%
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18.73%
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-0.34%
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-1.82%
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FPIV②
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25.79%
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26.10%
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-0.31%
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-1.19%
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①/②
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0.71
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0.72
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0.00
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-0.64%
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3.次月合约
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FIV
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20.16%
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21.93%
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-1.77%
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-8.07%
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FCIV①
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15.55%
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17.11%
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-1.56%
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-9.12%
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FPIV②
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24.66%
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25.71%
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-1.05%
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-4.08%
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①/②
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0.63
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0.67
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-0.03
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-5.25%
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4.第1季月合约
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FIV
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21.47%
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23.00%
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-1.53%
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-6.65%
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FCIV①
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17.85%
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19.70%
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-1.85%
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-9.39%
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FPIV②
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25.94%
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26.86%
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-0.92%
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-3.43%
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①/②
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0.69
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0.73
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-0.05
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-6.18%
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5.第2季月合约
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FIV
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21.87%
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23.43%
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-1.56%
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-6.66%
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FCIV①
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18.89%
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19.73%
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-0.84%
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-4.26%
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FPIV②
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26.55%
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27.32%
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-0.77%
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-2.82%
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①/②
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0.71
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0.72
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-0.01
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-1.48%
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6.全部合约
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FIV
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21.58%
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22.21%
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-0.63%
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-2.84%
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FCIV①
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18.01%
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18.66%
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-0.65%
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-3.48%
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FPIV②
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25.63%
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26.12%
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-0.49%
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-1.88%
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①/②
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0.70
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0.71
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-0.01
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-1.64%
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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0.31%，为24.99%。FIV（富融波指）报21.58%，下跌0.63%。结构上看，FCIV（富融购指）下跌0.65%，FPIV（富融沽指）下跌0.49%。FIV小于WHV 3.41%。
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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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2.726
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2.965
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-8.06%
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2.929
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WHV
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24.99%
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14.99%
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10.00%
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17.20%
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FIV
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21.58%
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16.62%
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4.96%
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18.51%
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FCIV
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18.01%
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15.08%
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2.93%
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16.79%
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FPIV
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25.63%
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19.14%
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6.49%
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20.72%
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C/P Ratio
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111.47%
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118.28%
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-6.81%
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120.16%
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FCIV/FPIV
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70.04%
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81.51%
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-11.48%
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82.90%
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统计区间: 自2019年07月30日开始到目前为止，共173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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24.99%
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95.50%
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87.87%
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74.23%
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53.90%
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28.31%
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CALL平均波动率
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18.39%
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98.96%
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94.89%
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83.31%
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61.39%
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31.90%
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PUT平均波动率
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25.79%
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94.96%
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86.98%
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73.20%
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53.03%
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27.83%
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50ETF4月期权
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波动率↓价格→
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小于2.59
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大于2.59
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2.59-2.86
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小于2.86
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大于2.86
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历史波动率
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24.99%
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9.56%
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90.44%
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79.75%
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89.31%
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10.69%
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CALL平均波动率
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18.39%
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3.78%
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96.22%
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91.66%
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95.44%
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4.56%
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PUT平均波动率
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25.79%
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10.26%
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89.74%
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78.33%
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88.59%
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11.41%
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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
