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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5/8
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5/7
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变化
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变化幅度
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50ETF
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2.863
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2.843
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0.020
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0.70%
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WHV
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16.30%
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16.78%
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-0.48%
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-2.86%
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2.当月合约
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FIV
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14.95%
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16.32%
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-1.37%
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-8.39%
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FCIV①
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9.94%
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11.00%
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-1.06%
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-9.64%
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FPIV②
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20.79%
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22.32%
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-1.53%
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-6.85%
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①/②
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0.48
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0.49
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-0.01
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-2.99%
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3.次月合约
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FIV
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17.30%
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18.75%
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-1.45%
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-7.73%
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FCIV①
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13.07%
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13.57%
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-0.50%
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-3.68%
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FPIV②
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22.31%
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23.78%
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-1.47%
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-6.18%
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①/②
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0.59
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0.57
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0.02
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2.66%
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4.第1季月合约
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FIV
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18.81%
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19.67%
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-0.86%
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-4.37%
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FCIV①
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12.52%
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13.09%
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-0.57%
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-4.35%
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FPIV②
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24.37%
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24.79%
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-0.42%
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-1.69%
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①/②
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0.51
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0.53
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-0.01
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-2.71%
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5.第2季月合约
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FIV
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18.19%
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18.89%
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-0.70%
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-3.71%
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FCIV①
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11.40%
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12.29%
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-0.89%
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-7.24%
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FPIV②
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25.53%
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26.36%
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-0.83%
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-3.15%
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①/②
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0.45
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0.47
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-0.02
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-4.23%
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6.全部合约
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FIV
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15.45%
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16.80%
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-1.35%
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-8.04%
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FCIV①
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10.57%
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11.45%
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-0.88%
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-7.69%
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FPIV②
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21.26%
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22.73%
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-1.47%
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-6.47%
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①/②
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0.50
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0.50
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-0.01
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-1.30%
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标的50ETF收盘上涨0.70%，富融加权历史波动率指数(WHV)下跌0.48%，为16.30%。FIV（富融波指）报15.45%，下跌1.35%。结构上看，FCIV（富融购指）下跌0.88%，FPIV（富融沽指）下跌1.47%。FIV小于WHV 0.85%。
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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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2.863
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2.939
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-2.59%
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2.918
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WHV
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16.30%
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15.63%
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0.67%
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17.47%
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FIV
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15.45%
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16.93%
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-1.48%
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18.47%
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FCIV
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10.57%
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14.79%
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-4.22%
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16.40%
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FPIV
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21.26%
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19.89%
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1.37%
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21.09%
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C/P Ratio
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115.35%
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117.82%
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-2.47%
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120.03%
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FCIV/FPIV
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49.26%
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79.84%
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-30.58%
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79.99%
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统计区间: 自2019年07月30日开始到目前为止，共189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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2.55-3.1
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2.6-3
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2.65-2.95
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2.7-2.9
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2.75-2.85
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历史波动率
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16.30%
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98.28%
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89.08%
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77.07%
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57.75%
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31.18%
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CALL平均波动率
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9.94%
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99.98%
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98.03%
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90.62%
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70.94%
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38.26%
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PUT平均波动率
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20.79%
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94.59%
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81.67%
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68.45%
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49.85%
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26.39%
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50ETF5月期权
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波动率↓价格→
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小于2.72
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大于2.72
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2.72-3.01
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小于3.01
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大于3.01
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历史波动率
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16.30%
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8.40%
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91.60%
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82.12%
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90.52%
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9.48%
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CALL平均波动率
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9.94%
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1.19%
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98.81%
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97.24%
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98.42%
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1.58%
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PUT平均波动率
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20.79%
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13.97%
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86.03%
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70.85%
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84.82%
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15.18%
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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
