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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5/18
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5/15
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变化
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变化幅度
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50ETF
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2.833
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2.812
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0.021
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0.75%
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WHV
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13.77%
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14.08%
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-0.31%
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-2.20%
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2.当月合约
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FIV
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15.08%
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15.98%
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-0.90%
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-5.63%
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FCIV①
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12.02%
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13.49%
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-1.47%
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-10.90%
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FPIV②
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18.75%
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18.98%
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-0.23%
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-1.21%
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①/②
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0.64
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0.71
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-0.07
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-9.80%
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3.次月合约
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FIV
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17.06%
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17.64%
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-0.58%
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-3.29%
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FCIV①
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13.22%
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13.27%
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-0.05%
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-0.38%
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FPIV②
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20.54%
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22.31%
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-1.77%
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-7.93%
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①/②
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0.64
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0.59
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0.05
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8.21%
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4.第1季月合约
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FIV
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17.72%
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19.52%
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-1.80%
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-9.22%
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FCIV①
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10.81%
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12.61%
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-1.80%
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-14.27%
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FPIV②
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23.78%
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24.60%
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-0.82%
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-3.33%
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①/②
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0.45
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0.51
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-0.06
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-11.32%
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5.第2季月合约
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FIV
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17.45%
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18.29%
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-0.84%
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-4.59%
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FCIV①
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10.01%
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11.76%
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-1.75%
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-14.88%
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FPIV②
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24.62%
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25.64%
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-1.02%
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-3.98%
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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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-11.35%
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6.全部合约
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FIV
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15.61%
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16.40%
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-0.79%
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-4.82%
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FCIV①
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12.21%
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13.42%
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-1.21%
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-9.02%
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FPIV②
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19.53%
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20.02%
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-0.49%
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-2.45%
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①/②
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0.63
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0.67
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-0.05
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-6.73%
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标的50ETF收盘上涨0.75%，富融加权历史波动率指数(WHV)下跌0.31%，为13.77%。FIV（富融波指）报15.61%，下跌0.79%。结构上看，FCIV（富融购指）下跌1.21%，FPIV（富融沽指）下跌0.49%。FIV大于WHV 1.84%。
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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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2.833
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2.938
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-3.56%
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2.916
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WHV
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13.77%
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15.45%
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-1.68%
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17.38%
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FIV
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15.61%
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16.72%
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-1.11%
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18.39%
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FCIV
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12.21%
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14.58%
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-2.37%
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16.26%
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FPIV
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19.53%
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20.01%
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-0.48%
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21.08%
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C/P Ratio
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111.76%
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117.52%
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-5.76%
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119.80%
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FCIV/FPIV
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62.63%
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79.41%
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-16.78%
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79.28%
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统计区间: 自2019年07月30日开始到目前为止，共195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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13.77%
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96.94%
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86.02%
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60.90%
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29.39%
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8.35%
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CALL平均波动率
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12.02%
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98.40%
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89.23%
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62.44%
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26.73%
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5.73%
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PUT平均波动率
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18.75%
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91.53%
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78.63%
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58.03%
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34.36%
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14.46%
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50ETF5月期权
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波动率↓价格→
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小于2.69
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大于2.69
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2.69-2.97
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小于2.97
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大于2.97
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历史波动率
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13.77%
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0.88%
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99.12%
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97.92%
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98.80%
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1.20%
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CALL平均波动率
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12.02%
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0.33%
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99.67%
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99.19%
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99.51%
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0.49%
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PUT平均波动率
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18.75%
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4.08%
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95.92%
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91.05%
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95.12%
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4.88%
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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
