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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4/15
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4/14
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变化
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变化幅度
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50ETF
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2.751
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2.771
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-0.020
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-0.72%
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WHV
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24.26%
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24.47%
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-0.21%
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-0.86%
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2.当月合约
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FIV
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19.80%
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17.42%
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2.38%
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13.66%
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FCIV①
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16.63%
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11.27%
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5.36%
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47.56%
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FPIV②
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23.78%
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24.73%
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-0.95%
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-3.84%
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①/②
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0.70
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0.46
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0.24
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53.45%
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3.次月合约
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FIV
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19.42%
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18.43%
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0.99%
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5.37%
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FCIV①
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14.28%
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12.16%
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2.12%
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17.43%
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FPIV②
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25.35%
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24.66%
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0.69%
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2.80%
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①/②
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0.56
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0.49
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0.07
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14.24%
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4.第1季月合约
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FIV
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21.86%
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19.88%
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1.98%
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9.96%
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FCIV①
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17.02%
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15.51%
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1.51%
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9.74%
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FPIV②
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26.85%
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26.38%
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0.47%
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1.78%
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①/②
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0.63
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0.59
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0.05
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7.81%
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5.第2季月合约
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FIV
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22.32%
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21.20%
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1.12%
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5.28%
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FCIV①
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17.35%
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16.36%
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0.99%
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6.05%
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FPIV②
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27.80%
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27.66%
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0.14%
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0.51%
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①/②
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0.62
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0.59
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0.03
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5.52%
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6.全部合约
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FIV
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19.88%
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17.89%
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1.99%
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11.12%
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FCIV①
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16.22%
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12.05%
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4.17%
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34.61%
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FPIV②
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24.46%
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24.91%
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-0.45%
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-1.81%
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①/②
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0.66
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0.48
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0.18
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37.08%
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标的50ETF收盘下跌0.72%，富融加权历史波动率指数(WHV)下跌0.21%，为24.26%。FIV（富融波指）报19.88%，上涨1.99%。结构上看，FCIV（富融购指）上涨4.17%，FPIV（富融沽指）下跌0.45%。FIV小于WHV 4.38%。
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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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2.751
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2.962
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-7.11%
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2.927
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WHV
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24.26%
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15.02%
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9.24%
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17.28%
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FIV
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19.88%
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16.75%
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3.13%
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18.52%
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FCIV
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16.22%
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15.08%
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1.14%
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16.76%
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FPIV
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24.46%
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19.25%
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5.21%
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20.77%
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C/P Ratio
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121.55%
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118.28%
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3.26%
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120.15%
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FCIV/FPIV
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66.18%
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81.38%
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-15.21%
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82.60%
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统计区间: 自2019年07月30日开始到目前为止，共175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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24.26%
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86.73%
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71.13%
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50.41%
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29.46%
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12.75%
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CALL平均波动率
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16.63%
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94.78%
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79.18%
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50.63%
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22.16%
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6.12%
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PUT平均波动率
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23.78%
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87.20%
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71.51%
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50.43%
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29.17%
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12.45%
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50ETF4月期权
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波动率↓价格→
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小于2.61
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大于2.61
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2.61-2.89
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小于2.89
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大于2.89
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历史波动率
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24.26%
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6.34%
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93.66%
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86.34%
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92.68%
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7.32%
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CALL平均波动率
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16.63%
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1.30%
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98.70%
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97.00%
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98.29%
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1.71%
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PUT平均波动率
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23.78%
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5.96%
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94.04%
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87.12%
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93.08%
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6.92%
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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
