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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4/28
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4/27
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变化
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变化幅度
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50ETF
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2.81
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2.79
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0.020
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0.72%
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WHV
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18.11%
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18.72%
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-0.61%
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-3.26%
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2.当月合约
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FIV
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15.38%
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15.75%
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-0.37%
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-2.35%
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FCIV①
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9.26%
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10.36%
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-1.10%
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-10.62%
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FPIV②
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22.49%
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22.34%
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0.15%
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0.67%
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①/②
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0.41
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0.46
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-0.05
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-11.21%
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3.次月合约
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FIV
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17.73%
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18.74%
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-1.01%
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-5.39%
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FCIV①
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11.01%
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12.97%
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-1.96%
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-15.11%
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FPIV②
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24.45%
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24.55%
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-0.10%
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-0.41%
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①/②
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0.45
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0.53
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-0.08
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-14.76%
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4.第1季月合约
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FIV
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19.11%
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19.94%
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-0.83%
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-4.16%
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FCIV①
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12.29%
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12.83%
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-0.54%
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-4.21%
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FPIV②
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26.05%
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25.88%
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0.17%
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0.66%
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①/②
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0.47
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0.50
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-0.02
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-4.83%
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5.第2季月合约
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FIV
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19.51%
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19.64%
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-0.13%
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-0.66%
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FCIV①
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10.49%
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11.30%
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-0.81%
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-7.17%
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FPIV②
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26.38%
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27.17%
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-0.79%
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-2.91%
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①/②
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0.40
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0.42
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-0.02
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-4.39%
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6.全部合约
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FIV
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15.74%
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16.31%
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-0.57%
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-3.49%
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FCIV①
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9.55%
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10.80%
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-1.25%
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-11.57%
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FPIV②
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22.87%
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22.91%
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-0.04%
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-0.17%
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①/②
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0.42
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0.47
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-0.05
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-11.42%
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标的50ETF收盘上涨0.72%，富融加权历史波动率指数(WHV)下跌0.61%，为18.11%。FIV（富融波指）报15.74%，下跌0.57%。结构上看，FCIV（富融购指）下跌1.25%，FPIV（富融沽指）下跌0.04%。FIV小于WHV 2.37%。
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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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2.81
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2.945
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-4.58%
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2.920
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WHV
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18.11%
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15.40%
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2.71%
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17.48%
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FIV
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15.74%
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16.98%
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-1.24%
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18.51%
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FCIV
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9.55%
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14.89%
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-5.34%
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16.53%
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FPIV
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22.87%
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19.51%
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3.36%
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21.03%
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C/P Ratio
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113.49%
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117.95%
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-4.46%
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119.88%
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FCIV/FPIV
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41.60%
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80.68%
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-39.08%
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80.81%
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统计区间: 自2019年07月30日开始到目前为止，共184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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18.11%
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82.59%
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72.05%
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58.04%
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40.81%
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21.08%
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CALL平均波动率
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9.26%
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96.88%
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88.65%
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70.59%
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44.42%
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19.18%
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PUT平均波动率
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22.49%
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76.32%
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65.80%
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52.54%
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36.74%
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18.92%
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50ETF5月期权
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波动率↓价格→
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小于2.67
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大于2.67
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2.67-2.95
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小于2.95
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大于2.95
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历史波动率
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18.11%
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15.75%
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84.25%
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67.28%
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83.04%
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16.96%
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CALL平均波动率
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9.26%
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2.47%
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97.53%
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94.45%
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96.92%
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3.08%
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PUT平均波动率
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22.49%
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20.92%
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79.08%
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57.01%
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77.93%
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22.07%
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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
