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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4/14
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4/13
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变化
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变化幅度
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50ETF
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2.771
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2.726
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0.045
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1.65%
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WHV
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24.47%
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24.99%
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-0.52%
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-2.08%
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2.当月合约
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FIV
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17.42%
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21.88%
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-4.46%
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-20.38%
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FCIV①
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11.27%
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18.39%
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-7.12%
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-38.72%
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FPIV②
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24.73%
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25.79%
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-1.06%
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-4.11%
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①/②
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0.46
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0.71
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-0.26
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-36.09%
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3.次月合约
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FIV
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18.43%
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20.16%
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-1.73%
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-8.58%
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FCIV①
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12.16%
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15.55%
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-3.39%
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-21.80%
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FPIV②
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24.66%
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24.66%
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0.00%
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0.00%
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①/②
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0.49
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0.63
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-0.14
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-21.80%
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4.第1季月合约
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FIV
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19.88%
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21.47%
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-1.59%
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-7.41%
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FCIV①
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15.51%
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17.85%
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-2.34%
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-13.11%
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FPIV②
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26.38%
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25.94%
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0.44%
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1.70%
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①/②
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0.59
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0.69
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-0.10
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-14.56%
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5.第2季月合约
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FIV
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21.20%
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21.87%
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-0.67%
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-3.06%
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FCIV①
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16.36%
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18.89%
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-2.53%
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-13.39%
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FPIV②
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27.66%
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26.55%
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1.11%
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4.18%
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①/②
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0.59
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0.71
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-0.12
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-16.87%
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6.全部合约
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FIV
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17.89%
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21.58%
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-3.69%
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-17.10%
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FCIV①
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12.05%
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18.01%
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-5.96%
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-33.09%
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FPIV②
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24.91%
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25.63%
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-0.72%
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-2.81%
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①/②
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0.48
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0.70
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-0.22
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-31.16%
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标的50ETF收盘上涨1.65%，富融加权历史波动率指数(WHV)下跌0.52%，为24.47%。FIV（富融波指）报17.89%，下跌3.69%。结构上看，FCIV（富融购指）下跌5.96%，FPIV（富融沽指）下跌0.72%。FIV小于WHV 6.58%。
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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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2.771
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2.963
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-6.48%
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2.928
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WHV
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24.47%
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15.02%
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9.45%
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17.24%
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FIV
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17.89%
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16.63%
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1.26%
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18.51%
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FCIV
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12.05%
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15.06%
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-3.01%
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16.77%
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FPIV
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24.91%
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19.15%
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5.76%
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20.74%
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C/P Ratio
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116.58%
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118.19%
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-1.61%
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120.14%
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FCIV/FPIV
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47.77%
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81.41%
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-33.64%
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82.70%
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统计区间: 自2019年07月30日开始到目前为止，共174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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2.65-3.3
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2.7-3.2
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2.75-3.1
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2.8-3
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2.85-2.95
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历史波动率
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24.47%
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89.11%
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76.31%
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58.22%
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37.27%
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17.69%
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CALL平均波动率
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11.27%
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99.63%
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94.00%
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67.57%
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26.64%
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4.60%
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PUT平均波动率
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24.73%
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88.87%
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76.08%
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58.12%
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37.30%
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17.76%
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50ETF4月期权
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波动率↓价格→
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小于2.63
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大于2.63
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2.63-2.91
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小于2.91
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大于2.91
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历史波动率
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24.47%
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7.84%
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92.16%
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83.25%
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91.09%
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8.91%
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CALL平均波动率
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11.27%
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0.11%
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99.89%
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99.72%
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99.83%
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0.17%
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PUT平均波动率
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24.73%
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8.06%
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91.94%
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82.81%
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90.87%
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9.13%
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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
