APPN 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	4.14%	3.34%	3.67%	5.28%	4.61%	4.66%	21.15	23.19	20.19	24.28
周度	9.28%	8.35%	9.12%	12.33%	10.15%	10.25%	20.01	24.51	18.08	27.13
月度	19.81%	25.66%	16.07%	24.61%	21.13%	21.34%	17.93	27.36	14.51	33.79
季度	45.73%	50.56%	26.89%	38.61%	36.60%	36.96%	15.36	31.93	10.65	46.05
Annual	—	—	—	—	73.20%	73.93%	10.65	46.05	5.12	95.74
Option Time Horizon	—	—	—	—	27.89%	28.17%	16.75	29.27	12.68	38.69

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $22.15 | Strike (K): $22.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.3500 (Bid $2.2500 / Ask $2.4500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 73.20% (CRR binomial tree, American, n=20 steps) | BS IV: 73.09% (European Black-Scholes) | Yahoo IV (Annual): 73.93% → 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 0.61. Further, an Excess 峰度 of 8.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.33%	9	0.40%	0.40%
-12.33% to -9.22%	24	1.07%	1.47%
-9.22% to -6.11%	89	3.97%	5.45%
-6.11% to -3.00%	274	12.23%	17.68%
-3.00% to 0.10%	722	32.23%	49.91%
0.10% to 3.21%	753	33.62%	83.53%
3.21% to 6.32%	265	11.83%	95.36%
6.32% to 9.42%	68	3.04%	98.39%
9.42% to 12.53%	19	0.85%	99.24%
Greater than 12.53%	17	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.04%	4.25%	76.74%	68.27%
±2σ	-8.18%	8.39%	95.54%	95.45%
±3σ	-12.33%	12.53%	98.84%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.088%
中位数	0.110%
Mode	0.000%
Standard Deviation	4.143%
Sample Variance	17.163%
峰度	8.94
偏度	0.61
Range	66.374%
Minimum	-27.787%
Maximum	38.587%
Count	2240

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.928%	1150	51.34%	1.503%
负向	-2.900%	1082	48.30%	-1.401%
Zero	0.000%	8	0.36%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.89%
20	1 Month	5.34%
60	1 Quarter	5.41%
250	1 Year	4.26%
750	3 Years	4.42%
1,250	5 Years	5.28%
2,500	10 Years	5.60%
5,000	20 Years	5.60%
12,500	50 Years	5.60%

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 2.90. Further, an Excess 峰度 of 15.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.52%	0	0.00%	0.00%
-4.52% to -2.02%	0	0.00%	0.00%
-2.02% to 0.49%	0	0.00%	0.00%
0.49% to 3.00%	399	17.80%	17.80%
3.00% to 5.51%	984	43.91%	61.71%
5.51% to 8.02%	527	23.52%	85.23%
8.02% to 10.52%	196	8.75%	93.98%
10.52% to 13.03%	68	3.03%	97.01%
13.03% to 15.54%	29	1.29%	98.30%
Greater than 15.54%	38	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.16%	8.85%	84.38%	68.27%
±2σ	-1.18%	12.20%	96.12%	95.45%
±3σ	-4.52%	15.54%	98.30%	99.73%

Descriptive Statistics

均值	5.508%
Standard Error	0.071%
中位数	4.713%
Mode	3.296%
Standard Deviation	3.344%
Sample Variance	11.181%
峰度	15.54
偏度	2.90
Range	38.380%
Minimum	1.075%
Maximum	39.455%
Count	2241

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.508%	2241	100.00%	5.508%
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 0.39. Further, an Excess 峰度 of 7.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.94%	13	0.58%	0.58%
-10.94% to -8.18%	20	0.89%	1.47%
-8.18% to -5.43%	67	2.99%	4.46%
-5.43% to -2.67%	328	14.64%	19.10%
-2.67% to 0.09%	723	32.26%	51.36%
0.09% to 2.84%	694	30.97%	82.33%
2.84% to 5.60%	259	11.56%	93.89%
5.60% to 8.36%	102	4.55%	98.44%
8.36% to 11.11%	24	1.07%	99.51%
Greater than 11.11%	11	0.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.59%	3.76%	75.15%	68.27%
±2σ	-7.26%	7.44%	95.40%	95.45%
±3σ	-10.94%	11.11%	98.93%	99.73%

Descriptive Statistics

均值	0.087%
Standard Error	0.078%
中位数	-0.037%
Mode	0.000%
Standard Deviation	3.675%
Sample Variance	13.509%
峰度	7.58
偏度	0.39
Range	60.531%
Minimum	-24.052%
Maximum	36.479%
Count	2241

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.771%	1102	49.17%	1.363%
负向	-2.537%	1127	50.29%	-1.276%
Zero	0.000%	12	0.54%	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 0.71. Further, an Excess 峰度 of 3.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.35%	0	0.00%	0.00%
-27.35% to -20.40%	8	1.72%	1.72%
-20.40% to -13.44%	17	3.66%	5.38%
-13.44% to -6.48%	64	13.76%	19.14%
-6.48% to 0.47%	151	32.47%	51.61%
0.47% to 7.43%	136	29.25%	80.86%
7.43% to 14.39%	64	13.76%	94.62%
14.39% to 21.34%	11	2.37%	96.99%
21.34% to 28.30%	9	1.94%	98.92%
Greater than 28.30%	5	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.80%	9.75%	77.63%	68.27%
±2σ	-18.08%	19.02%	94.84%	95.45%
±3σ	-27.35%	28.30%	98.92%	99.73%

Descriptive Statistics

均值	0.473%
Standard Error	0.430%
中位数	0.000%
Mode	0.000%
Standard Deviation	9.275%
Sample Variance	86.022%
峰度	3.03
偏度	0.71
Range	74.144%
Minimum	-26.655%
Maximum	47.489%
Count	465

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.343%	230	49.46%	3.632%
负向	-6.332%	232	49.89%	-3.159%
Zero	0.000%	3	0.65%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.22%
12	1 Quarter	11.70%
52	1 Year	10.42%
156	3 Years	10.66%
260	5 Years	12.33%
520	10 Years	13.26%
1,040	20 Years	13.26%
2,600	50 Years	13.26%

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 2.22. Further, an Excess 峰度 of 8.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.78%	0	0.00%	0.00%
-10.78% to -4.52%	0	0.00%	0.00%
-4.52% to 1.74%	0	0.00%	0.00%
1.74% to 8.01%	89	19.10%	19.10%
8.01% to 14.27%	199	42.70%	61.80%
14.27% to 20.53%	107	22.96%	84.76%
20.53% to 26.79%	36	7.73%	92.49%
26.79% to 33.06%	17	3.65%	96.14%
33.06% to 39.32%	8	1.72%	97.85%
Greater than 39.32%	10	2.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.92%	22.62%	81.33%	68.27%
±2σ	-2.43%	30.97%	94.85%	95.45%
±3σ	-10.78%	39.32%	97.85%	99.73%

Descriptive Statistics

均值	14.269%
Standard Error	0.387%
中位数	12.104%
Mode	7.418%
Standard Deviation	8.350%
Sample Variance	69.726%
峰度	8.02
偏度	2.22
Range	69.428%
Minimum	3.010%
Maximum	72.438%
Count	466

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.269%	466	100.00%	14.269%
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 2.49 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.90%	3	0.64%	0.64%
-26.90% to -20.05%	6	1.29%	1.93%
-20.05% to -13.21%	13	2.79%	4.72%
-13.21% to -6.37%	69	14.81%	19.53%
-6.37% to 0.48%	151	32.40%	51.93%
0.48% to 7.32%	141	30.26%	82.19%
7.32% to 14.16%	48	10.30%	92.49%
14.16% to 21.01%	25	5.36%	97.85%
21.01% to 27.85%	5	1.07%	98.93%
Greater than 27.85%	5	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.65%	9.60%	75.32%	68.27%
±2σ	-17.77%	18.73%	94.42%	95.45%
±3σ	-26.90%	27.85%	98.28%	99.73%

Descriptive Statistics

均值	0.477%
Standard Error	0.423%
中位数	0.039%
Mode	-9.086%
Standard Deviation	9.125%
Sample Variance	83.265%
峰度	2.49
偏度	0.52
Range	71.817%
Minimum	-31.588%
Maximum	40.229%
Count	466

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.138%	235	50.43%	3.600%
负向	-6.299%	231	49.57%	-3.122%
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 2.46. Further, an Excess 峰度 of 11.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -57.64%	0	0.00%	0.00%
-57.64% to -42.78%	0	0.00%	0.00%
-42.78% to -27.92%	0	0.00%	0.00%
-27.92% to -13.06%	20	18.69%	18.69%
-13.06% to 1.79%	42	39.25%	57.94%
1.79% to 16.65%	28	26.17%	84.11%
16.65% to 31.51%	10	9.35%	93.46%
31.51% to 46.37%	4	3.74%	97.20%
46.37% to 61.23%	2	1.87%	99.07%
Greater than 61.23%	1	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.02%	21.61%	80.37%	68.27%
±2σ	-37.83%	41.42%	96.26%	95.45%
±3σ	-57.64%	61.23%	99.07%	99.73%

Descriptive Statistics

均值	1.795%
Standard Error	1.915%
中位数	-0.858%
Mode	-25.334%
Standard Deviation	19.812%
Sample Variance	392.523%
峰度	11.72
偏度	2.46
Range	146.503%
Minimum	-25.334%
Maximum	121.169%
Count	107

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.104%	48	44.86%	7.673%
负向	-10.660%	59	55.14%	-5.878%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.94%
12	1 Year	21.77%
36	3 Years	21.63%
60	5 Years	24.61%
120	10 Years	28.69%
240	20 Years	28.69%
600	50 Years	28.69%

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 5.53. Further, an Excess 峰度 of 42.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.85%	0	0.00%	0.00%
-43.85% to -24.61%	0	0.00%	0.00%
-24.61% to -5.36%	0	0.00%	0.00%
-5.36% to 13.89%	3	2.78%	2.78%
13.89% to 33.13%	74	68.52%	71.30%
33.13% to 52.38%	19	17.59%	88.89%
52.38% to 71.63%	7	6.48%	95.37%
71.63% to 90.87%	3	2.78%	98.15%
90.87% to 110.12%	1	0.93%	99.07%
Greater than 110.12%	1	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.47%	58.80%	91.67%	68.27%
±2σ	-18.19%	84.46%	98.15%	95.45%
±3σ	-43.85%	110.12%	99.07%	99.73%

Descriptive Statistics

均值	33.133%
Standard Error	2.469%
中位数	27.131%
Mode	12.112%
Standard Deviation	25.662%
Sample Variance	658.562%
峰度	42.23
偏度	5.53
Range	231.341%
Minimum	12.112%
Maximum	243.453%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.133%	108	100.00%	33.133%
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 0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -47.11%	1	0.93%	0.93%
-47.11% to -35.05%	0	0.00%	0.93%
-35.05% to -23.00%	6	5.56%	6.48%
-23.00% to -10.95%	18	16.67%	23.15%
-10.95% to 1.10%	30	27.78%	50.93%
1.10% to 13.15%	27	25.00%	75.93%
13.15% to 25.20%	17	15.74%	91.67%
25.20% to 37.26%	9	8.33%	100.00%
37.26% to 49.31%	0	0.00%	100.00%
Greater than 49.31%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.97%	17.17%	73.15%	68.27%
±2σ	-31.04%	33.24%	95.37%	95.45%
±3σ	-47.11%	49.31%	99.07%	99.73%

Descriptive Statistics

均值	1.100%
Standard Error	1.546%
中位数	0.306%
Mode	-0.098%
Standard Deviation	16.069%
Sample Variance	258.217%
峰度	0.51
偏度	-0.26
Range	88.591%
Minimum	-53.766%
Maximum	34.825%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.341%	56	51.85%	6.918%
负向	-12.082%	52	48.15%	-5.817%
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 4.38. Further, an Excess 峰度 of 23.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -131.43%	0	0.00%	0.00%
-131.43% to -97.14%	0	0.00%	0.00%
-97.14% to -62.85%	0	0.00%	0.00%
-62.85% to -28.55%	2	5.71%	5.71%
-28.55% to 5.74%	19	54.29%	60.00%
5.74% to 40.04%	13	37.14%	97.14%
40.04% to 74.33%	0	0.00%	97.14%
74.33% to 108.62%	0	0.00%	97.14%
108.62% to 142.92%	0	0.00%	97.14%
Greater than 142.92%	1	2.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.98%	51.47%	91.43%	68.27%
±2σ	-85.71%	97.19%	97.14%	95.45%
±3σ	-131.43%	142.92%	97.14%	99.73%

Descriptive Statistics

均值	5.742%
Standard Error	7.729%
中位数	-1.846%
Mode	-44.530%
Standard Deviation	45.725%
Sample Variance	2090.760%
峰度	23.21
偏度	4.38
Range	289.648%
Minimum	-44.530%
Maximum	245.118%
Count	35

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.281%	16	45.71%	13.843%
负向	-14.922%	19	54.29%	-8.101%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.62%
12	3 Years	35.89%
20	5 Years	38.61%
40	10 Years	51.91%
80	20 Years	51.91%
200	50 Years	51.91%

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 3.61. Further, an Excess 峰度 of 16.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.09%	0	0.00%	0.00%
-87.09% to -49.16%	0	0.00%	0.00%
-49.16% to -11.24%	0	0.00%	0.00%
-11.24% to 26.68%	1	2.78%	2.78%
26.68% to 64.60%	21	58.33%	61.11%
64.60% to 102.52%	9	25.00%	86.11%
102.52% to 140.44%	4	11.11%	97.22%
140.44% to 178.36%	0	0.00%	97.22%
178.36% to 216.29%	0	0.00%	97.22%
Greater than 216.29%	1	2.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.04%	115.16%	88.89%	68.27%
±2σ	-36.52%	165.72%	97.22%	95.45%
±3σ	-87.09%	216.29%	97.22%	99.73%

Descriptive Statistics

均值	64.600%
Standard Error	8.427%
中位数	53.580%
Mode	22.852%
Standard Deviation	50.562%
Sample Variance	2556.503%
峰度	16.63
偏度	3.61
Range	289.781%
Minimum	22.852%
Maximum	312.633%
Count	36

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	64.600%	36	100.00%	64.600%
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 0.68. Further, an Excess 峰度 of 3.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -78.15%	0	0.00%	0.00%
-78.15% to -57.98%	1	2.78%	2.78%
-57.98% to -37.81%	0	0.00%	2.78%
-37.81% to -17.64%	5	13.89%	16.67%
-17.64% to 2.52%	14	38.89%	55.56%
2.52% to 22.69%	12	33.33%	88.89%
22.69% to 42.86%	2	5.56%	94.44%
42.86% to 63.03%	0	0.00%	94.44%
63.03% to 83.20%	2	5.56%	100.00%
Greater than 83.20%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.37%	29.42%	83.33%	68.27%
±2σ	-51.26%	56.31%	91.67%	95.45%
±3σ	-78.15%	83.20%	100.00%	99.73%

Descriptive Statistics

均值	2.525%
Standard Error	4.482%
中位数	0.501%
Mode	-70.371%
Standard Deviation	26.892%
Sample Variance	723.192%
峰度	3.13
偏度	0.68
Range	150.772%
Minimum	-70.371%
Maximum	80.401%
Count	36

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.364%	18	50.00%	10.682%
负向	-17.273%	17	47.22%	-8.157%
Zero	0.000%	1	2.78%	0.000%

APPN 深度分析报告