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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5/11
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5/8
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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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2.863
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0.000
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0.00%
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WHV
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15.81%
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16.30%
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-0.49%
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-3.01%
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2.当月合约
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FIV
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15.73%
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14.95%
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0.78%
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5.22%
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FCIV①
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11.22%
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9.94%
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1.28%
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12.88%
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FPIV②
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21.28%
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20.79%
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0.49%
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2.36%
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①/②
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0.53
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0.48
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0.05
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10.28%
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3.次月合约
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FIV
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17.89%
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17.30%
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0.59%
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3.41%
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FCIV①
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13.52%
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13.07%
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0.45%
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3.44%
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FPIV②
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22.72%
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22.31%
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0.41%
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1.84%
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①/②
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0.60
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0.59
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0.01
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1.58%
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4.第1季月合约
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FIV
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18.78%
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18.81%
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-0.03%
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-0.16%
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FCIV①
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12.91%
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12.52%
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0.39%
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3.12%
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FPIV②
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24.10%
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24.37%
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-0.27%
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-1.11%
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①/②
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0.54
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0.51
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0.02
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4.27%
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5.第2季月合约
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FIV
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17.75%
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18.19%
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-0.44%
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-2.42%
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FCIV①
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10.69%
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11.40%
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-0.71%
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-6.23%
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FPIV②
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24.82%
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25.53%
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-0.71%
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-2.78%
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①/②
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0.43
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0.45
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-0.02
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-3.55%
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6.全部合约
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FIV
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16.24%
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15.45%
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0.79%
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5.11%
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FCIV①
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11.71%
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10.57%
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1.14%
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10.79%
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FPIV②
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21.75%
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21.26%
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0.49%
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2.30%
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①/②
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0.54
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0.50
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0.04
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8.29%
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标的50ETF收盘与前日持平，富融加权历史波动率指数(WHV)下跌0.49%，为15.81%。FIV（富融波指）报16.24%，上涨0.79%。结构上看，FCIV（富融购指）上涨1.14%，FPIV（富融沽指）上涨0.49%。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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2.863
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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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15.81%
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15.69%
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0.12%
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17.46%
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FIV
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16.24%
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16.87%
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-0.63%
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18.45%
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FCIV
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11.71%
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14.79%
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-3.08%
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16.38%
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FPIV
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21.75%
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19.89%
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1.86%
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21.09%
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C/P Ratio
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119.06%
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117.95%
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1.11%
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120.03%
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FCIV/FPIV
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53.59%
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79.79%
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-26.20%
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79.85%
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统计区间: 自2019年07月30日开始到目前为止，共190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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15.81%
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99.16%
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91.93%
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80.74%
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61.27%
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33.34%
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CALL平均波动率
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11.22%
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99.96%
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97.66%
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89.81%
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70.13%
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37.99%
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PUT平均波动率
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21.28%
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95.82%
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83.77%
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70.78%
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51.93%
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27.63%
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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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15.81%
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6.06%
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93.94%
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86.92%
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92.98%
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7.02%
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CALL平均波动率
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11.22%
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1.45%
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98.55%
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96.65%
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98.11%
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1.89%
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PUT平均波动率
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21.28%
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12.48%
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87.52%
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73.84%
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86.33%
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13.67%
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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
