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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5/13
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5/12
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变化
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变化幅度
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50ETF
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2.86
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2.86
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0.000
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0.00%
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WHV
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14.81%
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15.29%
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-0.48%
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-3.14%
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2.当月合约
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FIV
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15.33%
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15.81%
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-0.48%
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-3.04%
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FCIV①
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10.60%
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10.86%
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-0.26%
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-2.39%
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FPIV②
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20.38%
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21.33%
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-0.95%
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-4.45%
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①/②
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0.52
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0.51
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0.01
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2.16%
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3.次月合约
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FIV
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17.42%
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17.99%
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-0.57%
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-3.17%
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FCIV①
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12.62%
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12.68%
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-0.06%
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-0.47%
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FPIV②
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22.65%
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23.26%
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-0.61%
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-2.62%
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①/②
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0.56
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0.55
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0.01
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2.21%
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4.第1季月合约
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FIV
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19.06%
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18.59%
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0.47%
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2.53%
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FCIV①
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12.66%
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13.11%
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-0.45%
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-3.43%
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FPIV②
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24.40%
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24.72%
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-0.32%
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-1.29%
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①/②
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0.52
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0.53
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-0.01
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-2.17%
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5.第2季月合约
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FIV
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19.04%
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18.72%
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0.32%
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1.71%
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FCIV①
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11.16%
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10.84%
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0.32%
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2.95%
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FPIV②
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25.98%
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25.54%
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0.44%
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1.72%
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①/②
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0.43
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0.42
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0.01
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1.21%
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6.全部合约
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FIV
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15.82%
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16.30%
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-0.48%
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-2.94%
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FCIV①
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11.03%
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11.27%
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-0.24%
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-2.13%
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FPIV②
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21.02%
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21.90%
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-0.88%
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-4.02%
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①/②
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0.52
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0.51
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0.01
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1.97%
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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0.48%，为14.81%。FIV（富融波指）报15.82%，下跌0.48%。结构上看，FCIV（富融购指）下跌0.24%，FPIV（富融沽指）下跌0.88%。FIV大于WHV 1.01%。
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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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2.86
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2.939
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-2.69%
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2.917
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WHV
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14.81%
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15.56%
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-0.75%
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17.44%
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FIV
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15.82%
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16.84%
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-1.02%
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18.43%
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FCIV
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11.03%
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14.62%
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-3.59%
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16.32%
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FPIV
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21.02%
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20.00%
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1.02%
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21.09%
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C/P Ratio
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105.88%
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117.69%
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-11.80%
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119.90%
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FCIV/FPIV
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52.38%
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79.76%
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-27.39%
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79.56%
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统计区间: 自2019年07月30日开始到目前为止，共192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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14.81%
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99.72%
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94.98%
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85.30%
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66.03%
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36.38%
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CALL平均波动率
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10.60%
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99.99%
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98.93%
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93.21%
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74.55%
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40.36%
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PUT平均波动率
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20.38%
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97.62%
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87.59%
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75.31%
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56.14%
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30.21%
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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
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小于3
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大于3
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历史波动率
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14.81%
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3.85%
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96.15%
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91.52%
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95.37%
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4.63%
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CALL平均波动率
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10.60%
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0.67%
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99.33%
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98.39%
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99.06%
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0.94%
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PUT平均波动率
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20.38%
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9.94%
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90.06%
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78.97%
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88.92%
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11.08%
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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
