一、 富融波动率指数指标说明
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
1.标的50ETF
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日期
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12/4
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12/3
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变化
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变化幅度
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50ETF
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2.901
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2.907
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-0.006
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-0.21%
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WHV
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12.99%
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13.03%
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-0.04%
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-0.31%
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2.当月合约
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FIV
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12.52%
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12.48%
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0.04%
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0.32%
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FCIV①
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11.74%
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11.34%
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0.40%
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3.53%
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FPIV②
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13.32%
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13.62%
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-0.30%
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-2.20%
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①/②
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0.88
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0.83
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0.05
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5.86%
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3.次月合约
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FIV
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13.00%
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12.91%
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0.09%
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0.70%
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FCIV①
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11.19%
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11.20%
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-0.01%
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-0.09%
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FPIV②
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14.46%
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14.44%
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0.02%
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0.14%
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①/②
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0.77
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0.78
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0.00
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-0.23%
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4.第1季月合约
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FIV
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13.45%
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13.26%
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0.19%
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1.43%
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FCIV①
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11.31%
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11.32%
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-0.01%
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-0.09%
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FPIV②
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15.14%
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15.21%
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-0.07%
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-0.46%
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①/②
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0.75
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0.74
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0.00
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0.37%
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5.第2季月合约
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FIV
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13.86%
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13.99%
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-0.13%
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-0.93%
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FCIV①
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11.14%
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11.23%
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-0.09%
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-0.80%
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FPIV②
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15.99%
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16.22%
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-0.23%
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-1.42%
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①/②
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0.70
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0.69
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0.00
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0.63%
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6.全部合约
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FIV
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12.65%
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12.61%
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0.04%
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0.32%
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FCIV①
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11.66%
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11.32%
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0.34%
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3.00%
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FPIV②
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13.65%
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13.90%
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-0.25%
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-1.80%
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①/②
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0.85
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0.81
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0.04
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4.89%
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标的50ETF收盘下跌0.21%,富融加权历史波动率指数(WHV)下跌0.04%,为12.99%。FIV(富融波指)报12.65%,上涨0.04%。结构上看,FCIV(富融购指)上涨0.34%,FPIV(富融沽指)下跌0.25%。FIV小于WHV 0.34%。
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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)
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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2.901
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2.971
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-2.36%
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2.954
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WHV
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12.99%
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15.81%
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-2.82%
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16.02%
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FIV
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12.65%
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17.81%
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-5.16%
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17.73%
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FCIV
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11.66%
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15.57%
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-3.91%
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16.30%
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FPIV
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13.65%
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20.23%
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-6.58%
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19.59%
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C/P Ratio
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97.47%
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122.53%
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-25.06%
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124.31%
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FCIV/FPIV
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85.61%
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84.33%
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1.28%
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82.84%
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统计区间: 自2019年06月06日开始到目前为止,共124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
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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12.99%
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99.81%
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98.86%
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94.02%
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73.14%
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41.99%
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CALL平均波动率
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11.74%
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99.93%
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99.44%
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96.19%
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77.92%
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45.96%
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PUT平均波动率
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13.32%
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99.77%
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98.66%
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93.39%
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71.95%
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41.05%
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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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12.99%
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4.99%
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95.01%
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89.14%
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94.13%
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5.87%
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CALL平均波动率
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11.74%
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3.43%
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96.57%
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92.41%
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95.84%
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4.16%
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PUT平均波动率
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13.32%
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5.42%
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94.58%
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88.24%
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93.66%
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6.34%
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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