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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4/24
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4/23
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变化
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变化幅度
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50ETF
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2.765
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2.787
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-0.022
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-0.79%
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WHV
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19.56%
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20.52%
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-0.96%
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-4.68%
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2.当月合约
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FIV
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17.57%
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16.95%
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0.62%
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3.66%
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FCIV①
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12.55%
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10.24%
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2.31%
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22.56%
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FPIV②
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22.92%
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25.15%
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-2.23%
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-8.87%
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①/②
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0.55
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0.41
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0.14
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34.48%
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3.次月合约
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FIV
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19.46%
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19.68%
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-0.22%
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-1.12%
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FCIV①
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13.98%
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12.48%
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1.50%
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12.02%
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FPIV②
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26.00%
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27.26%
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-1.26%
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-4.62%
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①/②
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0.54
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0.46
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0.08
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17.45%
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4.第1季月合约
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FIV
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20.87%
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20.70%
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0.17%
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0.82%
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FCIV①
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14.25%
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12.46%
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1.79%
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14.37%
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FPIV②
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27.45%
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28.50%
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-1.05%
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-3.68%
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①/②
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0.52
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0.44
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0.08
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18.74%
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5.第2季月合约
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FIV
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21.94%
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21.32%
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0.62%
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2.91%
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FCIV①
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12.27%
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12.47%
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-0.20%
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-1.60%
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FPIV②
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29.01%
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29.83%
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-0.82%
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-2.75%
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①/②
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0.42
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0.42
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0.00
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1.18%
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6.全部合约
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FIV
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17.92%
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17.44%
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0.48%
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2.75%
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FCIV①
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12.77%
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10.61%
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2.16%
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20.36%
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FPIV②
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23.53%
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25.65%
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-2.12%
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-8.27%
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①/②
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0.54
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0.41
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0.13
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31.20%
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标的50ETF收盘下跌0.79%，富融加权历史波动率指数(WHV)下跌0.96%，为19.56%。FIV（富融波指）报17.92%，上涨0.48%。结构上看，FCIV（富融购指）上涨2.16%，FPIV（富融沽指）下跌2.12%。FIV小于WHV 1.64%。
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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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2.765
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2.947
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-6.18%
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2.921
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WHV
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19.56%
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15.38%
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4.18%
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17.47%
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FIV
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17.92%
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17.23%
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0.69%
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18.54%
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FCIV
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12.77%
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15.02%
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-2.25%
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16.60%
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FPIV
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23.53%
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19.50%
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4.03%
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21.01%
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C/P Ratio
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106.88%
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118.04%
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-11.16%
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119.93%
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FCIV/FPIV
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54.37%
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80.71%
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-26.34%
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81.21%
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统计区间: 自2019年07月30日开始到目前为止，共182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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19.56%
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84.48%
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74.79%
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61.24%
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43.70%
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22.81%
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CALL平均波动率
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12.55%
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95.62%
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89.29%
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77.28%
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57.90%
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31.25%
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PUT平均波动率
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22.92%
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78.67%
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68.36%
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54.97%
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38.65%
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19.97%
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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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2.63-2.9
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小于2.9
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大于2.9
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历史波动率
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19.56%
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19.15%
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80.85%
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60.51%
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79.67%
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20.33%
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CALL平均波动率
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12.55%
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8.71%
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91.29%
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81.48%
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90.19%
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9.81%
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PUT平均波动率
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22.92%
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22.83%
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77.17%
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53.22%
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76.05%
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23.95%
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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
