AEVA 资产分析 - DOR 信号与波动率

Quick 总览

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)	Binomial IV (Period)	Yahoo IV (Period)	1σ 低er (68.27%)	1σ Upper	2σ 低er (95.45%)	2σ Upper
日度	5.82%	4.74%	5.30%	8.51%	6.82%	6.92%	15.10	17.31	14.11	18.53
周度	13.88%	12.57%	12.84%	20.17%	15.02%	15.24%	13.92	18.79	11.97	21.83
月度	31.09%	33.04%	25.71%	45.28%	31.26%	31.71%	11.83	22.10	8.65	30.22
季度	47.80%	89.80%	46.76%	90.85%	54.15%	54.93%	9.41	27.79	5.48	47.76
Annual	—	—	—	—	108.29%	109.86%	5.48	47.76	1.85	141.04
Option Time Horizon	—	—	—	—	41.27%	41.86%	10.70	24.43	7.08	36.91

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $16.17 | Strike (K): $17.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.2000 (Bid $2.0000 / Ask $2.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 108.29% (CRR binomial tree, American, n=20 steps) | BS IV: 109.55% (European Black-Scholes) | Yahoo IV (Annual): 109.86% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.86. Further, an Excess 峰度 of 3.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.36%	2	0.14%	0.14%
-17.36% to -12.99%	13	0.88%	1.02%
-12.99% to -8.63%	51	3.46%	4.47%
-8.63% to -4.27%	243	16.46%	20.93%
-4.27% to 0.09%	471	31.91%	52.85%
0.09% to 4.45%	430	29.13%	81.98%
4.45% to 8.81%	165	11.18%	93.16%
8.81% to 13.17%	71	4.81%	97.97%
13.17% to 17.53%	17	1.15%	99.12%
Greater than 17.53%	13	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.73%	5.90%	74.46%	68.27%
±2σ	-11.54%	11.72%	94.99%	95.45%
±3σ	-17.36%	17.53%	98.98%	99.73%

Descriptive Statistics

均值	0.089%
Standard Error	0.151%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.815%
Sample Variance	33.817%
峰度	3.93
偏度	0.86
Range	62.516%
Minimum	-24.160%
Maximum	38.356%
Count	1476

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.517%	700	47.42%	2.142%
负向	-4.117%	736	49.86%	-2.053%
Zero	0.000%	40	2.71%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.20%
20	1 Month	8.77%
60	1 Quarter	9.15%
250	1 Year	10.16%
750	3 Years	9.19%
1,250	5 Years	8.51%
2,500	10 Years	7.94%
5,000	20 Years	7.94%
12,500	50 Years	7.94%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.78. Further, an Excess 峰度 of 7.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.21%	0	0.00%	0.00%
-6.21% to -2.66%	0	0.00%	0.00%
-2.66% to 0.90%	87	5.89%	5.89%
0.90% to 4.45%	155	10.49%	16.38%
4.45% to 8.01%	621	42.04%	58.43%
8.01% to 11.56%	364	24.64%	83.07%
11.56% to 15.12%	161	10.90%	93.97%
15.12% to 18.68%	48	3.25%	97.22%
18.68% to 22.23%	18	1.22%	98.44%
Greater than 22.23%	23	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.27%	12.75%	78.27%	68.27%
±2σ	-1.47%	17.49%	97.02%	95.45%
±3σ	-6.21%	22.23%	98.44%	99.73%

Descriptive Statistics

均值	8.009%
Standard Error	0.123%
中位数	7.353%
Mode	7.143%
Standard Deviation	4.741%
Sample Variance	22.478%
峰度	7.74
偏度	1.78
Range	46.881%
Minimum	0.050%
Maximum	46.931%
Count	1477

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.009%	1477	100.00%	8.009%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.02. Further, an Excess 峰度 of 1.79 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.42%	8	0.54%	0.54%
-15.42% to -11.44%	18	1.22%	1.76%
-11.44% to -7.46%	68	4.60%	6.36%
-7.46% to -3.48%	184	12.46%	18.82%
-3.48% to 0.50%	484	32.77%	51.59%
0.50% to 4.48%	419	28.37%	79.96%
4.48% to 8.46%	203	13.74%	93.70%
8.46% to 12.43%	66	4.47%	98.17%
12.43% to 16.41%	20	1.35%	99.53%
Greater than 16.41%	7	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.81%	5.80%	72.85%	68.27%
±2σ	-10.11%	11.11%	94.45%	95.45%
±3σ	-15.42%	16.41%	98.98%	99.73%

Descriptive Statistics

均值	0.498%
Standard Error	0.138%
中位数	0.301%
Mode	0.000%
Standard Deviation	5.305%
Sample Variance	28.144%
峰度	1.79
偏度	0.02
Range	49.378%
Minimum	-23.628%
Maximum	25.750%
Count	1477

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.219%	775	52.47%	2.214%
负向	-3.834%	661	44.75%	-1.716%
Zero	0.000%	41	2.78%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.29. Further, an Excess 峰度 of 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.11%	0	0.00%	0.00%
-41.11% to -30.70%	1	0.32%	0.32%
-30.70% to -20.29%	13	4.13%	4.44%
-20.29% to -9.88%	53	16.83%	21.27%
-9.88% to 0.54%	105	33.33%	54.60%
0.54% to 10.95%	92	29.21%	83.81%
10.95% to 21.36%	31	9.84%	93.65%
21.36% to 31.77%	11	3.49%	97.14%
31.77% to 42.19%	3	0.95%	98.10%
Greater than 42.19%	6	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.35%	14.42%	77.14%	68.27%
±2σ	-27.23%	28.30%	95.87%	95.45%
±3σ	-41.11%	42.19%	98.10%	99.73%

Descriptive Statistics

均值	0.536%
Standard Error	0.782%
中位数	-0.305%
Mode	-3.409%
Standard Deviation	13.883%
Sample Variance	192.751%
峰度	4.36
偏度	1.29
Range	101.712%
Minimum	-32.426%
Maximum	69.286%
Count	315

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.880%	148	46.98%	5.112%
负向	-8.736%	165	52.38%	-4.576%
Zero	0.000%	2	0.64%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	19.13%
12	1 Quarter	19.82%
52	1 Year	24.73%
156	3 Years	21.83%
260	5 Years	20.17%
520	10 Years	18.42%
1,040	20 Years	18.42%
2,600	50 Years	18.42%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.38. Further, an Excess 峰度 of 3.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.39%	0	0.00%	0.00%
-17.39% to -7.96%	0	0.00%	0.00%
-7.96% to 1.47%	16	5.06%	5.06%
1.47% to 10.90%	35	11.08%	16.14%
10.90% to 20.33%	130	41.14%	57.28%
20.33% to 29.76%	83	26.27%	83.54%
29.76% to 39.19%	30	9.49%	93.04%
39.19% to 48.62%	10	3.16%	96.20%
48.62% to 58.05%	8	2.53%	98.73%
Greater than 58.05%	4	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.76%	32.90%	75.95%	68.27%
±2σ	-4.81%	45.47%	96.20%	95.45%
±3σ	-17.39%	58.04%	98.73%	99.73%

Descriptive Statistics

均值	20.329%
Standard Error	0.707%
中位数	18.605%
Mode	2.538%
Standard Deviation	12.572%
Sample Variance	158.051%
峰度	3.99
偏度	1.38
Range	82.851%
Minimum	0.104%
Maximum	82.955%
Count	316

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.329%	316	100.00%	20.329%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.21. Further, an Excess 峰度 of 1.23 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.98%	2	0.63%	0.63%
-36.98% to -27.35%	3	0.95%	1.58%
-27.35% to -17.72%	11	3.48%	5.06%
-17.72% to -8.09%	41	12.97%	18.04%
-8.09% to 1.55%	126	39.87%	57.91%
1.55% to 11.18%	66	20.89%	78.80%
11.18% to 20.81%	44	13.92%	92.72%
20.81% to 30.44%	16	5.06%	97.78%
30.44% to 40.07%	5	1.58%	99.37%
Greater than 40.07%	2	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.29%	14.39%	73.73%	68.27%
±2σ	-24.14%	27.23%	94.30%	95.45%
±3σ	-36.98%	40.07%	98.73%	99.73%

Descriptive Statistics

均值	1.546%
Standard Error	0.722%
中位数	0.159%
Mode	0.000%
Standard Deviation	12.841%
Sample Variance	164.885%
峰度	1.23
偏度	0.21
Range	90.834%
Minimum	-41.520%
Maximum	49.314%
Count	316

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.888%	161	50.95%	5.547%
负向	-8.318%	152	48.10%	-4.001%
Zero	0.000%	3	0.95%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.53. Further, an Excess 峰度 of 9.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -91.17%	0	0.00%	0.00%
-91.17% to -67.86%	0	0.00%	0.00%
-67.86% to -44.54%	1	1.37%	1.37%
-44.54% to -21.23%	10	13.70%	15.07%
-21.23% to 2.09%	33	45.21%	60.27%
2.09% to 25.40%	22	30.14%	90.41%
25.40% to 48.72%	4	5.48%	95.89%
48.72% to 72.03%	0	0.00%	95.89%
72.03% to 95.34%	0	0.00%	95.89%
Greater than 95.34%	3	4.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.00%	33.17%	84.93%	68.27%
±2σ	-60.09%	64.26%	95.89%	95.45%
±3σ	-91.17%	95.34%	95.89%	99.73%

Descriptive Statistics

均值	2.086%
Standard Error	3.638%
中位数	-0.303%
Mode	-50.675%
Standard Deviation	31.086%
Sample Variance	966.329%
峰度	9.80
偏度	2.53
Range	207.637%
Minimum	-50.675%
Maximum	156.962%
Count	73

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.844%	35	47.95%	10.473%
负向	-16.548%	37	50.69%	-8.387%
Zero	0.000%	1	1.37%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	40.76%
12	1 Year	64.91%
36	3 Years	52.13%
60	5 Years	45.28%
120	10 Years	41.33%
240	20 Years	41.33%
600	50 Years	41.33%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.53. Further, an Excess 峰度 of 4.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.44%	0	0.00%	0.00%
-48.44% to -23.66%	0	0.00%	0.00%
-23.66% to 1.12%	0	0.00%	0.00%
1.12% to 25.90%	10	13.51%	13.51%
25.90% to 50.68%	35	47.30%	60.81%
50.68% to 75.46%	16	21.62%	82.43%
75.46% to 100.24%	9	12.16%	94.59%
100.24% to 125.02%	1	1.35%	95.95%
125.02% to 149.79%	1	1.35%	97.30%
Greater than 149.79%	2	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.64%	83.72%	72.97%	68.27%
±2σ	-15.40%	116.75%	94.59%	95.45%
±3σ	-48.44%	149.79%	97.30%	99.73%

Descriptive Statistics

均值	50.677%
Standard Error	3.841%
中位数	44.226%
Mode	2.238%
Standard Deviation	33.039%
Sample Variance	1091.588%
峰度	4.06
偏度	1.53
Range	178.318%
Minimum	2.238%
Maximum	180.556%
Count	74

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.677%	74	100.00%	50.677%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.52. Further, an Excess 峰度 of 1.68 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.97%	0	0.00%	0.00%
-71.97% to -52.69%	1	1.35%	1.35%
-52.69% to -33.41%	2	2.70%	4.05%
-33.41% to -14.13%	9	12.16%	16.22%
-14.13% to 5.16%	33	44.59%	60.81%
5.16% to 24.44%	13	17.57%	78.38%
24.44% to 43.72%	10	13.51%	91.89%
43.72% to 63.00%	4	5.41%	97.30%
63.00% to 82.29%	1	1.35%	98.65%
Greater than 82.29%	1	1.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.55%	30.87%	78.38%	68.27%
±2σ	-46.26%	56.58%	93.24%	95.45%
±3σ	-71.97%	82.29%	98.65%	99.73%

Descriptive Statistics

均值	5.156%
Standard Error	2.989%
中位数	-0.072%
Mode	-60.920%
Standard Deviation	25.710%
Sample Variance	661.028%
峰度	1.68
偏度	0.52
Range	154.268%
Minimum	-60.920%
Maximum	93.348%
Count	74

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.783%	37	50.00%	11.892%
负向	-13.470%	37	50.00%	-6.735%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.70. Further, an Excess 峰度 of 4.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -139.32%	0	0.00%	0.00%
-139.32% to -103.47%	0	0.00%	0.00%
-103.47% to -67.62%	0	0.00%	0.00%
-67.62% to -31.77%	6	25.00%	25.00%
-31.77% to 4.08%	9	37.50%	62.50%
4.08% to 39.93%	5	20.83%	83.33%
39.93% to 75.78%	3	12.50%	95.83%
75.78% to 111.64%	0	0.00%	95.83%
111.64% to 147.49%	0	0.00%	95.83%
Greater than 147.49%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.72%	51.88%	83.33%	68.27%
±2σ	-91.52%	99.69%	95.83%	95.45%
±3σ	-139.33%	147.49%	95.83%	99.73%

Descriptive Statistics

均值	4.081%
Standard Error	9.757%
中位数	-4.957%
Mode	-60.160%
Standard Deviation	47.802%
Sample Variance	2285.005%
峰度	4.14
偏度	1.70
Range	222.326%
Minimum	-60.160%
Maximum	162.166%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.446%	11	45.83%	18.538%
负向	-26.689%	13	54.17%	-14.457%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	158.20%
12	3 Years	111.61%
20	5 Years	90.85%
40	10 Years	83.89%
80	20 Years	83.89%
200	50 Years	83.89%

高-to-低收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 2.13. Further, an Excess 峰度 of 7.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -155.71%	0	0.00%	0.00%
-155.71% to -88.37%	0	0.00%	0.00%
-88.37% to -21.02%	0	0.00%	0.00%
-21.02% to 46.33%	3	12.00%	12.00%
46.33% to 113.68%	12	48.00%	60.00%
113.68% to 181.03%	8	32.00%	92.00%
181.03% to 248.37%	1	4.00%	96.00%
248.37% to 315.72%	0	0.00%	96.00%
315.72% to 383.07%	0	0.00%	96.00%
Greater than 383.07%	1	4.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.88%	203.47%	80.00%	68.27%
±2σ	-65.92%	293.27%	96.00%	95.45%
±3σ	-155.71%	383.07%	96.00%	99.73%

Descriptive Statistics

均值	113.677%
Standard Error	17.959%
中位数	94.068%
Mode	3.194%
Standard Deviation	89.797%
Sample Variance	8063.439%
峰度	7.21
偏度	2.13
Range	443.285%
Minimum	3.194%
Maximum	446.479%
Count	25

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	113.677%	25	100.00%	113.677%
负向	0.000%	0	0.00%	0.000%
Zero	0.000%	0	0.00%	0.000%

开盘-to-收盘收益

Gram-Charlier Analysis: Data reveals 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.04. Further, an Excess 峰度 of 1.75 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -126.94%	0	0.00%	0.00%
-126.94% to -91.87%	0	0.00%	0.00%
-91.87% to -56.80%	1	4.00%	4.00%
-56.80% to -21.73%	4	16.00%	20.00%
-21.73% to 13.35%	11	44.00%	64.00%
13.35% to 48.42%	3	12.00%	76.00%
48.42% to 83.49%	5	20.00%	96.00%
83.49% to 118.57%	0	0.00%	96.00%
118.57% to 153.64%	1	4.00%	100.00%
Greater than 153.64%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.42%	60.11%	72.00%	68.27%
±2σ	-80.18%	106.88%	96.00%	95.45%
±3σ	-126.94%	153.64%	100.00%	99.73%

Descriptive Statistics

均值	13.348%
Standard Error	9.353%
中位数	0.708%
Mode	-61.695%
Standard Deviation	46.764%
Sample Variance	2186.873%
峰度	1.75
偏度	1.04
Range	212.699%
Minimum	-61.695%
Maximum	151.004%
Count	25

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.732%	13	52.00%	23.781%
负向	-21.734%	12	48.00%	-10.432%
Zero	0.000%	0	0.00%	0.000%

AEVA 深度分析报告