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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12/9
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12/6
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变化
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变化幅度
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50ETF
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2.931
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2.936
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-0.005
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-0.17%
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WHV
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12.75%
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12.93%
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-0.18%
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-1.39%
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2.当月合约
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FIV
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12.20%
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11.36%
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0.84%
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7.39%
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FCIV①
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12.03%
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10.66%
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1.37%
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12.85%
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FPIV②
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12.38%
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12.13%
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0.25%
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2.06%
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①/②
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0.97
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0.88
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0.09
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10.57%
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3.次月合约
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FIV
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12.33%
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11.99%
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0.34%
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2.84%
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FCIV①
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11.25%
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10.63%
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0.62%
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5.83%
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FPIV②
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13.36%
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13.24%
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0.12%
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0.91%
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①/②
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0.84
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0.80
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0.04
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4.88%
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4.第1季月合约
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FIV
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12.33%
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12.31%
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0.02%
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0.16%
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FCIV①
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10.74%
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10.45%
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0.29%
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2.78%
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FPIV②
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13.92%
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14.16%
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-0.24%
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-1.69%
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①/②
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0.77
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0.74
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0.03
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4.55%
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5.第2季月合约
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FIV
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13.22%
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12.87%
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0.35%
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2.72%
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FCIV①
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10.97%
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9.57%
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1.40%
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14.63%
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FPIV②
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15.23%
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15.56%
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-0.33%
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-2.12%
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①/②
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0.72
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0.62
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0.11
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17.11%
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6.全部合约
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FIV
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12.24%
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11.48%
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0.76%
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6.62%
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FCIV①
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11.88%
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10.63%
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1.25%
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11.76%
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FPIV②
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12.68%
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12.43%
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0.25%
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2.01%
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①/②
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0.94
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0.86
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0.08
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9.56%
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标的50ETF收盘下跌0.17%，富融加权历史波动率指数(WHV)下跌0.18%，为12.75%。FIV（富融波指）报12.24%，上涨0.76%。结构上看，FCIV（富融购指）上涨1.25%，FPIV（富融沽指）上涨0.25%。FIV小于WHV 0.51%。
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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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2.931
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2.971
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-1.35%
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2.959
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WHV
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12.75%
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15.69%
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-2.94%
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15.79%
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FIV
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12.24%
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17.54%
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-5.30%
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17.50%
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FCIV
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11.88%
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15.47%
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-3.59%
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16.09%
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FPIV
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12.68%
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19.89%
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-7.21%
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19.33%
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C/P Ratio
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109.54%
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122.46%
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-12.92%
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123.96%
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FCIV/FPIV
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93.79%
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84.88%
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8.92%
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82.93%
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统计区间: 自2019年06月12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
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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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12.75%
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99.99%
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99.84%
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97.37%
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76.50%
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44.88%
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CALL平均波动率
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12.03%
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100.00%
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99.92%
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98.13%
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78.74%
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46.82%
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PUT平均波动率
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12.38%
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99.99%
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99.89%
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97.77%
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77.64%
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45.85%
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50ETF12月期权
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波动率↓价格→
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小于2.78
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大于2.78
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2.78-3.08
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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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12.75%
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2.73%
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97.27%
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93.89%
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96.62%
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3.38%
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CALL平均波动率
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12.03%
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2.09%
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97.91%
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95.27%
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97.36%
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2.64%
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PUT平均波动率
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12.38%
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2.39%
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97.61%
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94.61%
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97.01%
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2.99%
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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
