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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4/27
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4/24
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变化
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变化幅度
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50ETF
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2.79
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2.765
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0.025
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0.90%
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WHV
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18.72%
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19.56%
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-0.84%
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-4.29%
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2.当月合约
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FIV
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15.75%
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17.57%
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-1.82%
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-10.36%
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FCIV①
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10.36%
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12.55%
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-2.19%
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-17.45%
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FPIV②
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22.34%
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22.92%
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-0.58%
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-2.53%
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①/②
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0.46
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0.55
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-0.08
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-15.31%
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3.次月合约
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FIV
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18.74%
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19.46%
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-0.72%
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-3.70%
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FCIV①
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12.97%
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13.98%
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-1.01%
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-7.22%
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FPIV②
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24.55%
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26.00%
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-1.45%
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-5.58%
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①/②
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0.53
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0.54
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-0.01
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-1.75%
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4.第1季月合约
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FIV
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19.94%
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20.87%
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-0.93%
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-4.46%
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FCIV①
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12.83%
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14.25%
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-1.42%
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-9.96%
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FPIV②
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25.88%
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27.45%
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-1.57%
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-5.72%
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①/②
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0.50
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0.52
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-0.02
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-4.50%
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5.第2季月合约
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FIV
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19.64%
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21.94%
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-2.30%
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-10.48%
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FCIV①
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11.30%
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12.27%
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-0.97%
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-7.91%
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FPIV②
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27.17%
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29.01%
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-1.84%
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-6.34%
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①/②
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0.42
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0.42
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-0.01
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-1.67%
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6.全部合约
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FIV
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16.31%
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17.92%
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-1.61%
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-8.98%
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FCIV①
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10.80%
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12.77%
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-1.97%
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-15.43%
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FPIV②
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22.91%
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23.53%
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-0.62%
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-2.63%
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①/②
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0.47
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0.54
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-0.07
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-13.14%
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标的50ETF收盘上涨0.90%，富融加权历史波动率指数(WHV)下跌0.84%，为18.72%。FIV（富融波指）报16.31%，下跌1.61%。结构上看，FCIV（富融购指）下跌1.97%，FPIV（富融沽指）下跌0.62%。FIV小于WHV 2.41%。
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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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2.79
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2.946
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-5.30%
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2.921
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WHV
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18.72%
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15.39%
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3.33%
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17.48%
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FIV
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16.31%
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17.11%
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-0.80%
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18.53%
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FCIV
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10.80%
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14.95%
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-4.15%
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16.57%
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FPIV
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22.91%
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19.50%
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3.41%
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21.02%
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C/P Ratio
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117.28%
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117.99%
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-0.71%
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119.92%
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FCIV/FPIV
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46.92%
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80.69%
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-33.77%
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81.02%
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统计区间: 自2019年07月30日开始到目前为止，共183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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18.72%
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84.29%
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74.40%
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60.73%
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43.22%
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22.53%
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CALL平均波动率
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10.36%
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96.98%
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90.34%
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76.19%
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53.92%
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27.19%
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PUT平均波动率
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22.34%
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78.68%
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68.37%
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55.01%
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38.69%
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20.01%
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50ETF5月期权
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波动率↓价格→
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小于2.65
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大于2.65
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2.65-2.93
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小于2.93
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大于2.93
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历史波动率
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18.72%
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16.96%
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83.04%
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64.88%
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81.84%
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18.16%
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CALL平均波动率
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10.36%
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4.21%
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95.79%
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90.77%
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94.98%
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5.02%
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PUT平均波动率
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22.34%
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21.16%
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78.84%
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56.53%
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77.69%
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22.31%
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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
