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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12/3
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12/2
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变化
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变化幅度
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50ETF
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2.907
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2.897
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0.010
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0.35%
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WHV
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13.03%
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13.10%
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-0.07%
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-0.53%
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2.当月合约
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FIV
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12.48%
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12.70%
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-0.22%
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-1.73%
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FCIV①
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11.34%
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11.85%
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-0.51%
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-4.30%
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FPIV②
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13.62%
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13.70%
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-0.08%
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-0.58%
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①/②
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0.83
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0.86
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-0.03
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-3.74%
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3.次月合约
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FIV
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12.91%
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13.05%
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-0.14%
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-1.07%
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FCIV①
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11.20%
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11.80%
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-0.60%
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-5.08%
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FPIV②
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14.44%
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14.36%
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0.08%
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0.56%
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①/②
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0.78
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0.82
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-0.05
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-5.61%
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4.第1季月合约
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FIV
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13.26%
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12.67%
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0.59%
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4.66%
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FCIV①
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11.32%
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10.62%
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0.70%
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6.59%
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FPIV②
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15.21%
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15.20%
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0.01%
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0.07%
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①/②
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0.74
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0.70
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0.05
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6.52%
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5.第2季月合约
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FIV
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13.99%
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14.07%
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-0.08%
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-0.57%
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FCIV①
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11.23%
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11.07%
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0.16%
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1.45%
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FPIV②
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16.22%
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16.23%
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-0.01%
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-0.06%
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①/②
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0.69
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0.68
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0.01
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1.51%
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6.全部合约
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FIV
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12.61%
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12.78%
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-0.17%
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-1.33%
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FCIV①
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11.32%
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11.75%
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-0.43%
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-3.66%
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FPIV②
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13.90%
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14.01%
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-0.11%
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-0.79%
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①/②
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0.81
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0.84
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-0.02
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-2.90%
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标的50ETF收盘上涨0.35%，富融加权历史波动率指数(WHV)下跌0.07%，为13.03%。FIV（富融波指）报12.61%，下跌0.17%。结构上看，FCIV（富融购指）下跌0.43%，FPIV（富融沽指）下跌0.11%。FIV小于WHV 0.42%。
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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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2.907
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2.972
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-2.19%
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2.955
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WHV
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13.03%
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15.85%
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-2.82%
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16.05%
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FIV
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12.61%
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17.84%
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-5.23%
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17.77%
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FCIV
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11.32%
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15.57%
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-4.25%
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16.34%
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FPIV
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13.90%
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20.26%
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-6.36%
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19.64%
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C/P Ratio
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97.86%
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122.53%
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-24.67%
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124.53%
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FCIV/FPIV
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81.62%
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84.17%
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-2.55%
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82.81%
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统计区间: 自2019年06月06日开始到目前为止，共123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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50ETF12月期权
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波动率↓价格→
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2.65-3.3
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2.7-3.2
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2.75-3.1
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2.8-3
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2.85-2.95
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历史波动率
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13.03%
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99.81%
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98.82%
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93.65%
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71.70%
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40.90%
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CALL平均波动率
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11.34%
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99.96%
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99.57%
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96.65%
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78.21%
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46.26%
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PUT平均波动率
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13.62%
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99.71%
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98.44%
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92.44%
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69.60%
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39.30%
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50ETF12月期权
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波动率↓价格→
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小于2.76
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大于2.76
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2.76-3.05
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小于3.05
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大于3.05
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历史波动率
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13.03%
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5.44%
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94.56%
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88.20%
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93.64%
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6.36%
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CALL平均波动率
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11.34%
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3.27%
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96.73%
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92.75%
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96.02%
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3.98%
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PUT平均波动率
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13.62%
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6.25%
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93.75%
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86.53%
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92.78%
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7.22%
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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
