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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12/6
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12/5
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变化
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变化幅度
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50ETF
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2.936
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2.919
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0.017
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0.58%
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WHV
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12.93%
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13.00%
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-0.07%
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-0.54%
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2.当月合约
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FIV
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11.36%
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11.93%
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-0.57%
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-4.78%
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FCIV①
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10.66%
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11.24%
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-0.58%
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-5.16%
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FPIV②
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12.13%
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12.71%
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-0.58%
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-4.56%
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①/②
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0.88
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0.88
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-0.01
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-0.63%
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3.次月合约
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FIV
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11.99%
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12.45%
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-0.46%
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-3.69%
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FCIV①
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10.63%
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11.28%
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-0.65%
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-5.76%
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FPIV②
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13.24%
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13.53%
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-0.29%
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-2.14%
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①/②
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0.80
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0.83
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-0.03
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-3.70%
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4.第1季月合约
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FIV
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12.31%
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12.92%
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-0.61%
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-4.72%
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FCIV①
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10.45%
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10.88%
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-0.43%
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-3.95%
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FPIV②
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14.16%
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14.58%
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-0.42%
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-2.88%
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①/②
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0.74
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0.75
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-0.01
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-1.10%
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5.第2季月合约
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FIV
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12.87%
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13.50%
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-0.63%
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-4.67%
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FCIV①
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9.57%
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10.37%
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-0.80%
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-7.71%
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FPIV②
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15.56%
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15.80%
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-0.24%
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-1.52%
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①/②
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0.62
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0.66
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-0.04
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-6.29%
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6.全部合约
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FIV
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11.48%
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12.07%
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-0.59%
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-4.89%
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FCIV①
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10.63%
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11.21%
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-0.58%
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-5.17%
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FPIV②
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12.43%
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13.05%
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-0.62%
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-4.75%
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①/②
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0.86
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0.86
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0.00
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-0.44%
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标的50ETF收盘上涨0.58%，富融加权历史波动率指数(WHV)下跌0.07%，为12.93%。FIV（富融波指）报11.48%，下跌0.59%。结构上看，FCIV（富融购指）下跌0.58%，FPIV（富融沽指）下跌0.62%。FIV小于WHV 1.45%。
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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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2.936
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2.972
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-1.21%
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2.959
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WHV
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12.93%
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15.70%
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-2.77%
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15.82%
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FIV
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11.48%
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17.57%
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-6.09%
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17.54%
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FCIV
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10.63%
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15.52%
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-4.89%
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16.13%
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FPIV
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12.43%
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19.95%
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-7.52%
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19.38%
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C/P Ratio
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106.68%
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122.49%
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-15.81%
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124.08%
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FCIV/FPIV
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85.75%
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84.60%
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1.15%
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82.84%
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统计区间: 自2019年06月12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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12.93%
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99.97%
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99.60%
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95.40%
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71.36%
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40.72%
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CALL平均波动率
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10.66%
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100.00%
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99.95%
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98.38%
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78.69%
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46.68%
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PUT平均波动率
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12.13%
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99.99%
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99.78%
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96.63%
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73.89%
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42.70%
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50ETF12月期权
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波动率↓价格→
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小于2.79
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大于2.79
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2.79-3.08
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小于3.08
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大于3.08
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历史波动率
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12.93%
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4.11%
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95.89%
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90.99%
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95.09%
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4.91%
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CALL平均波动率
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10.66%
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1.74%
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98.26%
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96.02%
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97.76%
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2.24%
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PUT平均波动率
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12.13%
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3.19%
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96.81%
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92.92%
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96.11%
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3.89%
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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
