AFRM 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	6.07%	4.35%	4.95%	7.81%	4.95%	4.99%	60.65	66.95	57.72	70.35
周度	13.22%	12.72%	13.21%	19.10%	10.89%	10.99%	57.15	71.05	51.25	79.22
月度	28.93%	29.44%	26.22%	41.99%	22.67%	22.88%	50.80	79.93	40.50	100.26
季度	62.14%	64.08%	52.63%	80.60%	39.26%	39.64%	43.03	94.36	29.06	139.72
Annual	—	—	—	—	78.51%	79.27%	29.06	139.72	13.25	306.36
Option Time Horizon	—	—	—	—	29.92%	30.21%	47.24	85.94	35.03	115.92

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $63.72 | Strike (K): $65.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.1750 (Bid $6.9500 / Ask $7.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 78.51% (CRR binomial tree, American, n=20 steps) | BS IV: 78.51% (European Black-Scholes) | Yahoo IV (Annual): 79.27% → 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 0.98. Further, an Excess 峰度 of 5.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.05%	6	0.45%	0.45%
-18.05% to -13.50%	13	0.98%	1.43%
-13.50% to -8.95%	38	2.87%	4.30%
-8.95% to -4.40%	174	13.13%	17.43%
-4.40% to 0.15%	458	34.57%	52.00%
0.15% to 4.70%	411	31.02%	83.02%
4.70% to 9.25%	149	11.25%	94.26%
9.25% to 13.80%	46	3.47%	97.74%
13.80% to 18.35%	14	1.06%	98.79%
Greater than 18.35%	16	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.92%	6.21%	78.34%	68.27%
±2σ	-11.99%	12.28%	95.02%	95.45%
±3σ	-18.05%	18.35%	98.34%	99.73%

Descriptive Statistics

均值	0.148%
Standard Error	0.167%
中位数	-0.087%
Mode	-2.491%
Standard Deviation	6.067%
Sample Variance	36.809%
峰度	5.79
偏度	0.98
Range	69.306%
Minimum	-22.634%
Maximum	46.672%
Count	1325

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.489%	654	49.36%	2.216%
负向	-4.102%	668	50.41%	-2.068%
Zero	0.000%	3	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.18%
20	1 Month	6.09%
60	1 Quarter	6.29%
250	1 Year	5.54%
750	3 Years	6.65%
1,250	5 Years	7.81%
2,500	10 Years	7.84%
5,000	20 Years	7.84%
12,500	50 Years	7.84%

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 3.55. Further, an Excess 峰度 of 31.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.45%	0	0.00%	0.00%
-5.45% to -2.18%	0	0.00%	0.00%
-2.18% to 1.09%	0	0.00%	0.00%
1.09% to 4.35%	228	17.19%	17.19%
4.35% to 7.62%	591	44.57%	61.76%
7.62% to 10.88%	300	22.62%	84.39%
10.88% to 14.15%	119	8.97%	93.36%
14.15% to 17.41%	47	3.54%	96.91%
17.41% to 20.68%	23	1.73%	98.64%
Greater than 20.68%	18	1.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.26%	11.97%	82.05%	68.27%
±2σ	-1.09%	16.32%	96.15%	95.45%
±3σ	-5.45%	20.68%	98.64%	99.73%

Descriptive Statistics

均值	7.617%
Standard Error	0.120%
中位数	6.490%
Mode	6.443%
Standard Deviation	4.354%
Sample Variance	18.956%
峰度	31.62
偏度	3.55
Range	65.425%
Minimum	1.715%
Maximum	67.140%
Count	1326

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.617%	1326	100.00%	7.617%
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 0.16. Further, an Excess 峰度 of 1.89 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.68%	7	0.53%	0.53%
-14.68% to -10.96%	13	0.98%	1.51%
-10.96% to -7.25%	53	4.00%	5.51%
-7.25% to -3.53%	186	14.03%	19.53%
-3.53% to 0.18%	417	31.45%	50.98%
0.18% to 3.90%	392	29.56%	80.54%
3.90% to 7.61%	170	12.82%	93.36%
7.61% to 11.32%	63	4.75%	98.11%
11.32% to 15.04%	20	1.51%	99.62%
Greater than 15.04%	5	0.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.77%	5.13%	73.38%	68.27%
±2σ	-9.73%	10.09%	94.34%	95.45%
±3σ	-14.68%	15.04%	99.10%	99.73%

Descriptive Statistics

均值	0.181%
Standard Error	0.136%
中位数	0.057%
Mode	0.000%
Standard Deviation	4.953%
Sample Variance	24.531%
峰度	1.89
偏度	0.16
Range	49.840%
Minimum	-21.619%
Maximum	28.221%
Count	1326

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.880%	666	50.23%	1.949%
负向	-3.579%	655	49.40%	-1.768%
Zero	0.000%	5	0.38%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.62. Further, an Excess 峰度 of 1.58 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.04%	0	0.00%	0.00%
-39.04% to -29.12%	2	0.73%	0.73%
-29.12% to -19.21%	14	5.09%	5.82%
-19.21% to -9.29%	40	14.55%	20.36%
-9.29% to 0.62%	89	32.36%	52.73%
0.62% to 10.54%	80	29.09%	81.82%
10.54% to 20.45%	31	11.27%	93.09%
20.45% to 30.37%	13	4.73%	97.82%
30.37% to 40.29%	4	1.45%	99.27%
Greater than 40.29%	2	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.60%	13.84%	71.64%	68.27%
±2σ	-25.82%	27.07%	95.64%	95.45%
±3σ	-39.04%	40.29%	99.27%	99.73%

Descriptive Statistics

均值	0.623%
Standard Error	0.797%
中位数	-0.861%
Mode	-32.181%
Standard Deviation	13.221%
Sample Variance	174.805%
峰度	1.58
偏度	0.62
Range	92.212%
Minimum	-32.181%
Maximum	60.031%
Count	275

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.094%	132	48.00%	5.325%
负向	-9.042%	143	52.00%	-4.702%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	17.26%
12	1 Quarter	15.61%
52	1 Year	13.23%
156	3 Years	16.04%
260	5 Years	19.10%
520	10 Years	19.03%
1,040	20 Years	19.03%
2,600	50 Years	19.03%

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 2.05. Further, an Excess 峰度 of 6.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.86%	0	0.00%	0.00%
-16.86% to -7.32%	0	0.00%	0.00%
-7.32% to 2.22%	0	0.00%	0.00%
2.22% to 11.75%	53	19.20%	19.20%
11.75% to 21.29%	122	44.20%	63.41%
21.29% to 30.83%	51	18.48%	81.88%
30.83% to 40.37%	26	9.42%	91.30%
40.37% to 49.90%	15	5.43%	96.74%
49.90% to 59.44%	6	2.17%	98.91%
Greater than 59.44%	3	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.58%	34.01%	80.80%	68.27%
±2σ	-4.14%	46.72%	95.29%	95.45%
±3σ	-16.86%	59.44%	98.91%	99.73%

Descriptive Statistics

均值	21.291%
Standard Error	0.765%
中位数	17.724%
Mode	21.356%
Standard Deviation	12.716%
Sample Variance	161.707%
峰度	6.36
偏度	2.05
Range	87.617%
Minimum	5.653%
Maximum	93.270%
Count	276

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.291%	276	100.00%	21.291%
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 0.47. Further, an Excess 峰度 of 0.77 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.76%	0	0.00%	0.00%
-38.76% to -28.85%	2	0.72%	0.72%
-28.85% to -18.94%	12	4.35%	5.07%
-18.94% to -9.04%	43	15.58%	20.65%
-9.04% to 0.87%	92	33.33%	53.99%
0.87% to 10.78%	77	27.90%	81.88%
10.78% to 20.69%	28	10.14%	92.03%
20.69% to 30.59%	16	5.80%	97.83%
30.59% to 40.50%	3	1.09%	98.91%
Greater than 40.50%	3	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.34%	14.08%	70.29%	68.27%
±2σ	-25.55%	27.29%	94.57%	95.45%
±3σ	-38.76%	40.50%	98.91%	99.73%

Descriptive Statistics

均值	0.871%
Standard Error	0.795%
中位数	-0.106%
Mode	-8.985%
Standard Deviation	13.210%
Sample Variance	174.506%
峰度	0.77
偏度	0.47
Range	82.726%
Minimum	-36.296%
Maximum	46.430%
Count	276

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.917%	138	50.00%	5.458%
负向	-9.176%	138	50.00%	-4.588%
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 1.12. Further, an Excess 峰度 of 1.01 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -83.95%	0	0.00%	0.00%
-83.95% to -62.25%	0	0.00%	0.00%
-62.25% to -40.55%	0	0.00%	0.00%
-40.55% to -18.85%	13	20.63%	20.63%
-18.85% to 2.85%	25	39.68%	60.32%
2.85% to 24.55%	12	19.05%	79.37%
24.55% to 46.25%	6	9.52%	88.89%
46.25% to 67.95%	5	7.94%	96.83%
67.95% to 89.65%	1	1.59%	98.41%
Greater than 89.65%	1	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.08%	31.79%	71.43%	68.27%
±2σ	-55.01%	60.72%	95.24%	95.45%
±3σ	-83.95%	89.65%	98.41%	99.73%

Descriptive Statistics

均值	2.852%
Standard Error	3.645%
中位数	-1.294%
Mode	-37.986%
Standard Deviation	28.933%
Sample Variance	837.102%
峰度	1.01
偏度	1.12
Range	133.386%
Minimum	-37.986%
Maximum	95.400%
Count	63

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.978%	27	42.86%	11.991%
负向	-15.993%	36	57.14%	-9.139%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	36.76%
12	1 Year	30.58%
36	3 Years	37.25%
60	5 Years	41.99%
120	10 Years	41.78%
240	20 Years	41.78%
600	50 Years	41.78%

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 1.27. Further, an Excess 峰度 of 1.83 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.52%	0	0.00%	0.00%
-34.52% to -12.45%	0	0.00%	0.00%
-12.45% to 9.63%	0	0.00%	0.00%
9.63% to 31.71%	16	25.00%	25.00%
31.71% to 53.79%	21	32.81%	57.81%
53.79% to 75.86%	14	21.88%	79.69%
75.86% to 97.94%	8	12.50%	92.19%
97.94% to 120.02%	3	4.69%	96.88%
120.02% to 142.10%	1	1.56%	98.44%
Greater than 142.10%	1	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.35%	83.22%	75.00%	68.27%
±2σ	-5.09%	112.66%	96.88%	95.45%
±3σ	-34.53%	142.10%	98.44%	99.73%

Descriptive Statistics

均值	53.786%
Standard Error	3.680%
中位数	48.007%
Mode	17.573%
Standard Deviation	29.437%
Sample Variance	866.537%
峰度	1.83
偏度	1.27
Range	141.238%
Minimum	17.573%
Maximum	158.811%
Count	64

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.786%	64	100.00%	53.786%
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 0.26. Further, an Excess 峰度 of -0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.56%	0	0.00%	0.00%
-74.56% to -54.90%	0	0.00%	0.00%
-54.90% to -35.23%	5	7.81%	7.81%
-35.23% to -15.57%	9	14.06%	21.88%
-15.57% to 4.09%	20	31.25%	53.12%
4.09% to 23.76%	17	26.56%	79.69%
23.76% to 43.42%	6	9.38%	89.06%
43.42% to 63.09%	7	10.94%	100.00%
63.09% to 82.75%	0	0.00%	100.00%
Greater than 82.75%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.12%	30.31%	68.75%	68.27%
±2σ	-48.34%	56.53%	93.75%	95.45%
±3σ	-74.56%	82.75%	100.00%	99.73%

Descriptive Statistics

均值	4.095%
Standard Error	3.277%
中位数	1.570%
Mode	-48.561%
Standard Deviation	26.218%
Sample Variance	687.377%
峰度	-0.21
偏度	0.26
Range	110.965%
Minimum	-48.561%
Maximum	62.404%
Count	64

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.430%	35	54.69%	12.267%
负向	-18.034%	29	45.31%	-8.172%
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 1.62. Further, an Excess 峰度 of 2.47 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -175.66%	0	0.00%	0.00%
-175.66% to -129.05%	0	0.00%	0.00%
-129.05% to -82.44%	0	0.00%	0.00%
-82.44% to -35.84%	3	14.29%	14.29%
-35.84% to 10.77%	12	57.14%	71.43%
10.77% to 57.38%	3	14.29%	85.71%
57.38% to 103.98%	1	4.76%	90.48%
103.98% to 150.59%	1	4.76%	95.24%
150.59% to 197.20%	1	4.76%	100.00%
Greater than 197.20%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-51.37%	72.91%	76.19%	68.27%
±2σ	-113.51%	135.06%	95.24%	95.45%
±3σ	-175.66%	197.20%	100.00%	99.73%

Descriptive Statistics

均值	10.771%
Standard Error	13.560%
中位数	-11.261%
Mode	-60.572%
Standard Deviation	62.142%
Sample Variance	3861.621%
峰度	2.47
偏度	1.62
Range	249.102%
Minimum	-60.572%
Maximum	188.530%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	69.724%	8	38.09%	26.561%
负向	-25.508%	13	61.91%	-15.791%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	47.62%
12	3 Years	76.36%
20	5 Years	80.60%
40	10 Years	80.76%
80	20 Years	80.76%
200	50 Years	80.76%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.66. Further, an Excess 峰度 of -0.39 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.44%	0	0.00%	0.00%
-72.44% to -24.38%	0	0.00%	0.00%
-24.38% to 23.68%	0	0.00%	0.00%
23.68% to 71.74%	8	36.36%	36.36%
71.74% to 119.81%	2	9.09%	45.45%
119.81% to 167.87%	8	36.36%	81.82%
167.87% to 215.93%	2	9.09%	90.91%
215.93% to 263.99%	1	4.55%	95.45%
263.99% to 312.05%	1	4.55%	100.00%
Greater than 312.05%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	55.72%	183.89%	63.64%	68.27%
±2σ	-8.36%	247.97%	95.45%	95.45%
±3σ	-72.44%	312.05%	100.00%	99.73%

Descriptive Statistics

均值	119.805%
Standard Error	13.662%
中位数	123.812%
Mode	41.816%
Standard Deviation	64.081%
Sample Variance	4106.332%
峰度	-0.39
偏度	0.66
Range	224.914%
Minimum	41.816%
Maximum	266.730%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	119.805%	22	100.00%	119.805%
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 1.12. Further, an Excess 峰度 of 1.86 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -145.28%	0	0.00%	0.00%
-145.28% to -105.81%	0	0.00%	0.00%
-105.81% to -66.34%	0	0.00%	0.00%
-66.34% to -26.86%	5	22.73%	22.73%
-26.86% to 12.61%	7	31.82%	54.55%
12.61% to 52.08%	7	31.82%	86.36%
52.08% to 91.55%	1	4.55%	90.91%
91.55% to 131.03%	1	4.55%	95.45%
131.03% to 170.50%	1	4.55%	100.00%
Greater than 170.50%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.02%	65.24%	77.27%	68.27%
±2σ	-92.65%	117.87%	90.91%	95.45%
±3σ	-145.28%	170.50%	100.00%	99.73%

Descriptive Statistics

均值	12.608%
Standard Error	11.221%
中位数	9.638%
Mode	-64.382%
Standard Deviation	52.630%
Sample Variance	2769.946%
峰度	1.86
偏度	1.12
Range	218.791%
Minimum	-64.382%
Maximum	154.409%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.109%	13	59.09%	25.474%
负向	-31.448%	9	40.91%	-12.865%
Zero	0.000%	0	0.00%	0.000%

AFRM 深度分析报告