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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12/5
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12/4
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变化
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变化幅度
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50ETF
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2.919
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2.901
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0.018
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0.62%
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WHV
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13.00%
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12.99%
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0.01%
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0.08%
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2.当月合约
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FIV
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11.93%
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12.52%
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-0.59%
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-4.71%
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FCIV①
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11.24%
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11.74%
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-0.50%
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-4.26%
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FPIV②
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12.71%
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13.32%
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-0.61%
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-4.58%
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①/②
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0.88
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0.88
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0.00
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0.34%
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3.次月合约
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FIV
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12.45%
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13.00%
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-0.55%
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-4.23%
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FCIV①
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11.28%
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11.19%
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0.09%
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0.80%
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FPIV②
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13.53%
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14.46%
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-0.93%
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-6.43%
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①/②
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0.83
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0.77
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0.06
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7.73%
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4.第1季月合约
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FIV
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12.92%
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13.45%
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-0.53%
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-3.94%
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FCIV①
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10.88%
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11.31%
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-0.43%
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-3.80%
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FPIV②
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14.58%
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15.14%
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-0.56%
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-3.70%
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①/②
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0.75
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0.75
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0.00
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-0.11%
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5.第2季月合约
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FIV
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13.50%
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13.86%
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-0.36%
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-2.60%
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FCIV①
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10.37%
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11.14%
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-0.77%
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-6.91%
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FPIV②
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15.80%
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15.99%
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-0.19%
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-1.19%
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①/②
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0.66
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0.70
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-0.04
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-5.79%
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6.全部合约
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FIV
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12.07%
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12.65%
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-0.58%
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-4.58%
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FCIV①
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11.21%
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11.66%
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-0.45%
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-3.86%
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FPIV②
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13.05%
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13.65%
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-0.60%
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-4.40%
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①/②
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0.86
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0.85
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0.00
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0.56%
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标的50ETF收盘上涨0.62%，富融加权历史波动率指数(WHV)上涨0.01%，为13.00%。FIV（富融波指）报12.07%，下跌0.58%。结构上看，FCIV（富融购指）下跌0.45%，FPIV（富融沽指）下跌0.60%。FIV小于WHV 0.93%。
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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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2.919
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2.970
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-1.70%
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2.954
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WHV
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13.00%
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15.79%
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-2.79%
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16.00%
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FIV
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12.07%
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17.78%
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-5.71%
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17.68%
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FCIV
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11.21%
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15.57%
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-4.36%
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16.26%
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FPIV
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13.05%
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20.20%
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-7.15%
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19.54%
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C/P Ratio
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109.12%
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122.49%
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-13.37%
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124.18%
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FCIV/FPIV
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86.20%
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84.60%
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1.60%
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82.86%
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统计区间: 自2019年06月06日开始到目前为止，共125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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13.00%
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99.92%
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99.36%
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95.10%
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73.01%
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41.99%
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CALL平均波动率
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11.24%
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99.99%
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99.82%
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97.71%
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79.39%
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47.42%
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PUT平均波动率
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12.71%
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99.94%
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99.46%
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95.59%
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74.03%
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42.81%
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50ETF12月期权
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波动率↓价格→
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小于2.77
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大于2.77
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2.77-3.06
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小于3.06
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大于3.06
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历史波动率
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13.00%
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4.59%
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95.41%
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89.97%
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94.56%
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5.44%
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CALL平均波动率
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11.24%
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2.57%
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97.43%
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94.24%
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96.81%
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3.19%
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PUT平均波动率
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12.71%
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4.23%
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95.77%
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90.72%
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94.95%
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5.05%
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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
