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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12/11
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12/10
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变化
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变化幅度
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50ETF
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2.947
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2.933
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0.014
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0.48%
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WHV
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12.44%
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12.61%
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-0.17%
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-1.35%
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2.当月合约
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FIV
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11.40%
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12.17%
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-0.77%
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-6.33%
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FCIV①
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10.39%
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12.52%
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-2.13%
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-17.01%
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FPIV②
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12.45%
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11.82%
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0.63%
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5.33%
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①/②
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0.83
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1.06
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-0.22
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-21.21%
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3.次月合约
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FIV
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11.74%
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12.19%
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-0.45%
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-3.69%
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FCIV①
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10.32%
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11.32%
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-1.00%
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-8.83%
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FPIV②
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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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①/②
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0.79
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0.87
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-0.08
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-8.90%
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4.第1季月合约
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FIV
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12.63%
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12.75%
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-0.12%
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-0.94%
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FCIV①
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11.19%
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11.50%
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-0.31%
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-2.70%
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FPIV②
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14.38%
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14.03%
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0.35%
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2.49%
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①/②
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0.78
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0.82
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-0.04
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-5.06%
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5.第2季月合约
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FIV
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13.34%
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13.33%
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0.01%
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0.08%
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FCIV①
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11.17%
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10.82%
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0.35%
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3.23%
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FPIV②
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15.39%
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15.28%
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0.11%
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0.72%
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①/②
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0.73
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0.71
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0.02
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2.50%
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6.全部合约
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FIV
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11.55%
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12.22%
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-0.67%
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-5.48%
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FCIV①
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10.44%
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12.32%
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-1.88%
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-15.26%
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FPIV②
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12.70%
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12.18%
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0.52%
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4.27%
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①/②
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0.82
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1.01
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-0.19
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-18.73%
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标的50ETF收盘上涨0.48%,富融加权历史波动率指数(WHV)下跌0.17%,为12.44%。FIV(富融波指)报11.55%,下跌0.67%。结构上看,FCIV(富融购指)下跌1.88%,FPIV(富融沽指)上涨0.52%。FIV小于WHV 0.89%。
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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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2.947
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2.968
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-0.71%
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2.958
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WHV
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12.44%
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15.56%
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-3.12%
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15.74%
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FIV
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11.55%
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17.43%
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-5.88%
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17.41%
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FCIV
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10.44%
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15.38%
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-4.94%
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16.02%
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FPIV
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12.70%
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19.87%
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-7.17%
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19.22%
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C/P Ratio
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102.14%
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122.45%
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-20.32%
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123.58%
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FCIV/FPIV
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82.33%
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84.88%
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-2.54%
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83.08%
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统计区间: 自2019年06月12日开始到目前为止,共126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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12.44%
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100.00%
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99.95%
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97.88%
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74.98%
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43.18%
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CALL平均波动率
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10.39%
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100.00%
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100.00%
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99.32%
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80.35%
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47.00%
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PUT平均波动率
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12.45%
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100.00%
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99.95%
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97.87%
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74.96%
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43.16%
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50ETF12月期权
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波动率↓价格→
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小于2.8
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大于2.8
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2.8-3.09
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小于3.09
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大于3.09
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历史波动率
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12.44%
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1.77%
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98.23%
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95.97%
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97.73%
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2.27%
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CALL平均波动率
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10.39%
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0.59%
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99.41%
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98.59%
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99.18%
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0.82%
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PUT平均波动率
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12.45%
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1.77%
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98.23%
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95.95%
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97.73%
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2.27%
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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