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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4/21
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4/20
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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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2.803
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-0.032
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-1.14%
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WHV
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22.53%
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23.14%
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-0.61%
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-2.64%
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2.当月合约
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FIV
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26.97%
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22.69%
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4.28%
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18.86%
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FCIV①
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16.90%
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12.57%
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4.33%
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34.45%
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FPIV②
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37.14%
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33.87%
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3.27%
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9.65%
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①/②
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0.46
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0.37
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0.08
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22.61%
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3.次月合约
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FIV
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19.10%
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17.81%
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1.29%
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7.24%
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FCIV①
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11.99%
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10.87%
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1.12%
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10.30%
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FPIV②
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26.42%
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25.64%
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0.78%
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3.04%
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①/②
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0.45
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0.42
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0.03
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7.05%
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4.第1季月合约
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FIV
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21.02%
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20.14%
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0.88%
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4.37%
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FCIV①
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14.85%
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15.58%
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-0.73%
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-4.69%
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FPIV②
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28.15%
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27.62%
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0.53%
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1.92%
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①/②
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0.53
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0.56
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-0.04
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-6.48%
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5.第2季月合约
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FIV
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21.99%
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20.85%
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1.14%
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5.47%
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FCIV①
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14.81%
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16.34%
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-1.53%
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-9.36%
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FPIV②
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28.49%
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29.18%
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-0.69%
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-2.36%
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①/②
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0.52
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0.56
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-0.04
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-7.17%
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6.全部合约
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FIV
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22.96%
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20.87%
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2.09%
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10.01%
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FCIV①
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14.89%
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12.44%
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2.45%
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19.69%
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FPIV②
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32.49%
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31.22%
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1.27%
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4.07%
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①/②
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0.46
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0.40
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0.06
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15.02%
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标的50ETF收盘下跌1.14%，富融加权历史波动率指数(WHV)下跌0.61%，为22.53%。FIV（富融波指）报22.96%，上涨2.09%。结构上看，FCIV（富融购指）上涨2.45%，FPIV（富融沽指）上涨1.27%。FIV大于WHV 0.43%。
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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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2.955
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-6.21%
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2.924
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WHV
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22.53%
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15.19%
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7.34%
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17.42%
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FIV
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22.96%
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16.93%
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6.03%
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18.55%
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FCIV
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14.89%
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15.05%
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-0.16%
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16.69%
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FPIV
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32.49%
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19.46%
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13.03%
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20.94%
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C/P Ratio
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102.50%
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118.12%
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-15.61%
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120.09%
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FCIV/FPIV
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45.87%
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81.14%
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-35.27%
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81.82%
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统计区间: 自2019年07月30日开始到目前为止，共179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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22.53%
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77.10%
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66.71%
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53.44%
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37.45%
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19.32%
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CALL平均波动率
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11.99%
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95.13%
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88.35%
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75.88%
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56.37%
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30.21%
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PUT平均波动率
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26.42%
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70.58%
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60.08%
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47.44%
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32.86%
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16.82%
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50ETF5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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22.53%
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23.42%
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76.58%
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52.06%
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75.48%
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24.52%
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CALL平均波动率
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11.99%
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8.65%
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91.35%
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81.61%
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90.25%
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9.75%
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PUT平均波动率
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26.42%
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26.82%
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73.18%
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45.35%
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72.17%
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27.83%
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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
