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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4/20
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4/17
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变化
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变化幅度
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50ETF
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2.803
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2.793
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0.010
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0.36%
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WHV
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23.14%
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23.84%
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-0.70%
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-2.94%
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2.当月合约
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FIV
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22.69%
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15.96%
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6.73%
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42.17%
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FCIV①
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12.57%
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8.04%
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4.53%
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56.34%
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FPIV②
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33.87%
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27.38%
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6.49%
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23.70%
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①/②
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0.37
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0.29
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0.08
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26.39%
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3.次月合约
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FIV
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17.81%
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17.98%
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-0.17%
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-0.95%
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FCIV①
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10.87%
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12.20%
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-1.33%
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-10.90%
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FPIV②
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25.64%
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25.08%
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0.56%
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2.23%
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①/②
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0.42
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0.49
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-0.06
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-12.85%
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4.第1季月合约
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FIV
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20.14%
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19.91%
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0.23%
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1.16%
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FCIV①
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15.58%
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15.56%
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0.02%
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0.13%
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FPIV②
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27.62%
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26.86%
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0.76%
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2.83%
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①/②
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0.56
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0.58
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-0.02
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-2.63%
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5.第2季月合约
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FIV
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20.85%
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21.34%
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-0.49%
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-2.30%
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FCIV①
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16.34%
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15.93%
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0.41%
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2.57%
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FPIV②
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29.18%
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28.67%
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0.51%
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1.78%
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①/②
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0.56
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0.56
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0.00
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0.78%
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6.全部合约
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FIV
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20.87%
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16.84%
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4.03%
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23.93%
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FCIV①
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12.44%
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10.35%
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2.09%
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20.19%
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FPIV②
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31.22%
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26.76%
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4.46%
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16.67%
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①/②
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0.40
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0.39
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0.01
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3.02%
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标的50ETF收盘上涨0.36%，富融加权历史波动率指数(WHV)下跌0.70%，为23.14%。FIV（富融波指）报20.87%，上涨4.03%。结构上看，FCIV（富融购指）上涨2.09%，FPIV（富融沽指）上涨4.46%。FIV小于WHV 2.27%。
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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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2.803
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2.958
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-5.24%
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2.925
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WHV
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23.14%
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15.18%
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7.96%
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17.39%
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FIV
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20.87%
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16.87%
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4.00%
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18.53%
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FCIV
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12.44%
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15.06%
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-2.62%
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16.70%
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FPIV
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31.22%
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19.46%
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11.76%
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20.87%
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C/P Ratio
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111.68%
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118.19%
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-6.51%
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120.19%
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FCIV/FPIV
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38.22%
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81.26%
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-43.04%
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82.02%
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统计区间: 自2019年07月30日开始到目前为止，共178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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50ETF5月期权
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波动率↓价格→
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2.45-2.95
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2.5-2.9
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2.55-2.85
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2.6-2.8
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2.65-2.75
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历史波动率
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23.14%
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72.22%
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61.76%
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48.96%
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34.04%
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17.47%
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CALL平均波动率
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10.87%
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93.01%
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83.67%
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68.14%
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47.27%
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23.82%
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PUT平均波动率
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25.64%
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68.47%
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58.10%
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45.74%
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31.62%
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16.17%
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50ETF5月期权
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波动率↓价格→
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小于2.66
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大于2.66
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2.66-2.94
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小于2.94
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大于2.94
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历史波动率
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23.14%
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24.32%
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75.68%
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50.29%
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74.60%
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25.40%
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CALL平均波动率
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10.87%
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6.92%
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93.08%
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85.14%
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92.06%
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7.94%
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PUT平均波动率
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25.64%
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26.49%
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73.51%
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46.00%
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72.49%
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27.51%
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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
