BLND 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	5.32%	4.55%	4.83%	7.94%	5.67%	5.61%	1.60	1.79	1.51	1.89
周度	11.74%	11.68%	12.11%	18.12%	12.47%	12.35%	1.49	1.91	1.32	2.17
月度	25.86%	25.38%	26.57%	38.78%	25.96%	25.71%	1.30	2.19	1.01	2.84
季度	50.49%	62.32%	53.34%	66.91%	44.97%	44.53%	1.08	2.65	0.69	4.15
Annual	—	—	—	—	89.93%	89.06%	0.69	4.15	0.28	10.21
Option Time Horizon	—	—	—	—	33.94%	33.62%	1.20	2.37	0.86	3.33

Calculation Notes: Computed at 2026-03-23T17:47 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot 价格 (S): $1.69 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.1250 (Bid $0.0000 / Ask $0.2500) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 89.93% (CRR binomial tree, American, n=20 steps) | BS IV: 89.53% (European Black-Scholes) | Yahoo IV (Annual): 89.06% → 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 Fairly Symmetrical with a 偏度 factor of 0.30. 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 -16.04%	3	0.25%	0.25%
-16.04% to -12.05%	12	1.00%	1.25%
-12.05% to -8.06%	49	4.09%	5.34%
-8.06% to -4.07%	144	12.02%	17.36%
-4.07% to -0.08%	405	33.81%	51.17%
-0.08% to 3.91%	371	30.97%	82.14%
3.91% to 7.90%	144	12.02%	94.16%
7.90% to 11.89%	43	3.59%	97.75%
11.89% to 15.88%	13	1.09%	98.83%
Greater than 15.88%	14	1.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.40%	5.24%	76.21%	68.27%
±2σ	-10.72%	10.56%	94.24%	95.45%
±3σ	-16.04%	15.88%	98.58%	99.73%

Descriptive Statistics

均值	-0.081%
Standard Error	0.154%
中位数	-0.290%
Mode	0.000%
Standard Deviation	5.320%
Sample Variance	28.304%
峰度	4.06
偏度	0.30
Range	63.997%
Minimum	-35.374%
Maximum	28.623%
Count	1198

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.195%	529	44.16%	1.852%
负向	-3.759%	616	51.42%	-1.933%
Zero	0.000%	53	4.42%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	7.18%
20	1 Month	8.54%
60	1 Quarter	8.36%
250	1 Year	6.02%
750	3 Years	7.61%
1,250	5 Years	7.94%
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 2.58. Further, an Excess 峰度 of 15.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.66%	0	0.00%	0.00%
-5.66% to -2.25%	0	0.00%	0.00%
-2.25% to 1.17%	0	0.00%	0.00%
1.17% to 4.58%	232	19.35%	19.35%
4.58% to 8.00%	519	43.29%	62.64%
8.00% to 11.41%	239	19.93%	82.57%
11.41% to 14.83%	127	10.59%	93.16%
14.83% to 18.24%	43	3.59%	96.75%
18.24% to 21.66%	22	1.83%	98.58%
Greater than 21.66%	17	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.44%	12.55%	79.90%	68.27%
±2σ	-1.11%	17.10%	95.75%	95.45%
±3σ	-5.66%	21.66%	98.58%	99.73%

Descriptive Statistics

均值	7.997%
Standard Error	0.131%
中位数	6.903%
Mode	4.762%
Standard Deviation	4.553%
Sample Variance	20.733%
峰度	15.35
偏度	2.58
Range	56.085%
Minimum	1.602%
Maximum	57.687%
Count	1199

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.997%	1199	100.00%	7.997%
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 0.15. Further, an Excess 峰度 of 1.11 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.27%	4	0.33%	0.33%
-14.27% to -10.65%	16	1.33%	1.67%
-10.65% to -7.04%	56	4.67%	6.34%
-7.04% to -3.42%	162	13.51%	19.85%
-3.42% to 0.20%	381	31.78%	51.63%
0.20% to 3.82%	360	30.03%	81.65%
3.82% to 7.44%	141	11.76%	93.41%
7.44% to 11.06%	48	4.00%	97.41%
11.06% to 14.68%	26	2.17%	99.58%
Greater than 14.68%	5	0.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.62%	5.03%	72.73%	68.27%
±2σ	-9.45%	9.85%	93.66%	95.45%
±3σ	-14.27%	14.68%	99.25%	99.73%

Descriptive Statistics

均值	0.202%
Standard Error	0.139%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.825%
Sample Variance	23.284%
峰度	1.11
偏度	0.15
Range	38.750%
Minimum	-18.750%
Maximum	20.000%
Count	1199

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.908%	583	48.62%	1.900%
负向	-3.603%	565	47.12%	-1.698%
Zero	0.000%	51	4.25%	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 2.56 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.53%	0	0.00%	0.00%
-35.53% to -26.73%	2	0.80%	0.80%
-26.73% to -17.93%	12	4.82%	5.62%
-17.93% to -9.13%	34	13.65%	19.28%
-9.13% to -0.33%	82	32.93%	52.21%
-0.33% to 8.47%	75	30.12%	82.33%
8.47% to 17.28%	30	12.05%	94.38%
17.28% to 26.08%	8	3.21%	97.59%
26.08% to 34.88%	4	1.61%	99.20%
Greater than 34.88%	2	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.06%	11.41%	74.70%	68.27%
±2σ	-23.80%	23.14%	94.38%	95.45%
±3σ	-35.53%	34.88%	99.20%	99.73%

Descriptive Statistics

均值	-0.327%
Standard Error	0.744%
中位数	-0.968%
Mode	0.000%
Standard Deviation	11.736%
Sample Variance	137.733%
峰度	2.56
偏度	0.62
Range	92.745%
Minimum	-35.075%
Maximum	57.670%
Count	249

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.368%	112	44.98%	4.214%
负向	-8.565%	132	53.01%	-4.540%
Zero	0.000%	5	2.01%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	23.69%
12	1 Quarter	20.69%
52	1 Year	13.82%
156	3 Years	17.26%
260	5 Years	18.12%
520	10 Years	18.12%
1,040	20 Years	18.12%
2,600	50 Years	18.12%

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 2.14. Further, an Excess 峰度 of 9.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.73%	0	0.00%	0.00%
-14.73% to -5.97%	0	0.00%	0.00%
-5.97% to 2.80%	0	0.00%	0.00%
2.80% to 11.56%	58	23.20%	23.20%
11.56% to 20.32%	94	37.60%	60.80%
20.32% to 29.08%	50	20.00%	80.80%
29.08% to 37.85%	30	12.00%	92.80%
37.85% to 46.61%	12	4.80%	97.60%
46.61% to 55.37%	3	1.20%	98.80%
Greater than 55.37%	3	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.64%	32.00%	77.20%	68.27%
±2σ	-3.04%	43.69%	96.40%	95.45%
±3σ	-14.73%	55.37%	98.80%	99.73%

Descriptive Statistics

均值	20.321%
Standard Error	0.739%
中位数	18.049%
Mode	16.667%
Standard Deviation	11.683%
Sample Variance	136.491%
峰度	9.31
偏度	2.14
Range	96.400%
Minimum	4.651%
Maximum	101.051%
Count	250

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.321%	250	100.00%	20.321%
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 0.78. Further, an Excess 峰度 of 2.86 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.68%	1	0.40%	0.40%
-34.68% to -25.60%	2	0.80%	1.20%
-25.60% to -16.51%	7	2.80%	4.00%
-16.51% to -7.43%	41	16.40%	20.40%
-7.43% to 1.66%	82	32.80%	53.20%
1.66% to 10.74%	75	30.00%	83.20%
10.74% to 19.83%	23	9.20%	92.40%
19.83% to 28.91%	12	4.80%	97.20%
28.91% to 38.00%	5	2.00%	99.20%
Greater than 38.00%	2	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.46%	13.77%	75.20%	68.27%
±2σ	-22.57%	25.88%	94.00%	95.45%
±3σ	-34.68%	38.00%	98.80%	99.73%

Descriptive Statistics

均值	1.657%
Standard Error	0.766%
中位数	0.440%
Mode	0.000%
Standard Deviation	12.113%
Sample Variance	146.727%
峰度	2.86
偏度	0.78
Range	98.353%
Minimum	-35.135%
Maximum	63.218%
Count	250

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.160%	130	52.00%	5.283%
负向	-7.951%	114	45.60%	-3.626%
Zero	0.000%	6	2.40%	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 1.30. Further, an Excess 峰度 of 3.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -78.86%	0	0.00%	0.00%
-78.86% to -59.47%	0	0.00%	0.00%
-59.47% to -40.08%	2	3.51%	3.51%
-40.08% to -20.69%	11	19.30%	22.81%
-20.69% to -1.30%	17	29.82%	52.63%
-1.30% to 18.09%	19	33.33%	85.96%
18.09% to 37.48%	4	7.02%	92.98%
37.48% to 56.87%	2	3.51%	96.49%
56.87% to 76.27%	1	1.75%	98.25%
Greater than 76.27%	1	1.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.16%	24.55%	75.44%	68.27%
±2σ	-53.01%	50.41%	96.49%	95.45%
±3σ	-78.86%	76.27%	98.25%	99.73%

Descriptive Statistics

均值	-1.300%
Standard Error	3.425%
中位数	-3.797%
Mode	-47.410%
Standard Deviation	25.855%
Sample Variance	668.476%
峰度	3.70
偏度	1.30
Range	148.197%
Minimum	-47.410%
Maximum	100.787%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.181%	26	45.61%	8.749%
负向	-19.094%	30	52.63%	-10.050%
Zero	0.000%	1	1.75%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	37.21%
12	1 Year	27.10%
36	3 Years	38.29%
60	5 Years	38.78%
120	10 Years	38.78%
240	20 Years	38.78%
600	50 Years	38.78%

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 1.40. Further, an Excess 峰度 of 2.03 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.56%	0	0.00%	0.00%
-27.56% to -8.53%	0	0.00%	0.00%
-8.53% to 10.51%	0	0.00%	0.00%
10.51% to 29.54%	10	17.24%	17.24%
29.54% to 48.57%	22	37.93%	55.17%
48.57% to 67.60%	17	29.31%	84.48%
67.60% to 86.63%	5	8.62%	93.10%
86.63% to 105.66%	0	0.00%	93.10%
105.66% to 124.69%	3	5.17%	98.28%
Greater than 124.69%	1	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.19%	73.94%	79.31%	68.27%
±2σ	-2.18%	99.32%	93.10%	95.45%
±3σ	-27.56%	124.69%	98.28%	99.73%

Descriptive Statistics

均值	48.569%
Standard Error	3.332%
中位数	42.389%
Mode	13.815%
Standard Deviation	25.375%
Sample Variance	643.899%
峰度	2.03
偏度	1.40
Range	113.458%
Minimum	13.815%
Maximum	127.273%
Count	58

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	48.569%	58	100.00%	48.569%
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 0.86. Further, an Excess 峰度 of 1.27 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.60%	0	0.00%	0.00%
-72.60% to -52.67%	0	0.00%	0.00%
-52.67% to -32.74%	2	3.45%	3.45%
-32.74% to -12.81%	7	12.07%	15.52%
-12.81% to 7.12%	24	41.38%	56.90%
7.12% to 27.05%	15	25.86%	82.76%
27.05% to 46.98%	5	8.62%	91.38%
46.98% to 66.92%	3	5.17%	96.55%
66.92% to 86.85%	1	1.72%	98.28%
Greater than 86.85%	1	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.45%	33.70%	75.86%	68.27%
±2σ	-46.02%	60.27%	93.10%	95.45%
±3σ	-72.60%	86.85%	98.28%	99.73%

Descriptive Statistics

均值	7.124%
Standard Error	3.489%
中位数	3.808%
Mode	-49.804%
Standard Deviation	26.574%
Sample Variance	706.176%
峰度	1.27
偏度	0.86
Range	142.228%
Minimum	-49.804%
Maximum	92.424%
Count	58

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.504%	32	55.17%	13.519%
负向	-14.267%	26	44.83%	-6.396%
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 1.75. Further, an Excess 峰度 of 2.99 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -154.28%	0	0.00%	0.00%
-154.28% to -116.41%	0	0.00%	0.00%
-116.41% to -78.54%	0	0.00%	0.00%
-78.54% to -40.67%	3	15.79%	15.79%
-40.67% to -2.81%	9	47.37%	63.16%
-2.81% to 35.06%	5	26.32%	89.47%
35.06% to 72.93%	0	0.00%	89.47%
72.93% to 110.80%	0	0.00%	89.47%
110.80% to 148.67%	2	10.53%	100.00%
Greater than 148.67%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-53.30%	47.69%	84.21%	68.27%
±2σ	-103.79%	98.18%	89.47%	95.45%
±3σ	-154.28%	148.67%	100.00%	99.73%

Descriptive Statistics

均值	-2.805%
Standard Error	11.584%
中位数	-10.256%
Mode	-64.337%
Standard Deviation	50.492%
Sample Variance	2549.440%
峰度	2.99
偏度	1.75
Range	189.957%
Minimum	-64.337%
Maximum	125.620%
Count	19

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	59.752%	5	26.32%	15.724%
负向	-27.082%	13	68.42%	-18.530%
Zero	0.000%	1	5.26%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	39.96%
12	3 Years	65.76%
20	5 Years	66.91%
40	10 Years	66.91%
80	20 Years	66.91%
200	50 Years	66.91%

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 1.29. Further, an Excess 峰度 of 1.85 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -86.64%	0	0.00%	0.00%
-86.64% to -39.90%	0	0.00%	0.00%
-39.90% to 6.84%	0	0.00%	0.00%
6.84% to 53.58%	4	20.00%	20.00%
53.58% to 100.32%	8	40.00%	60.00%
100.32% to 147.06%	3	15.00%	75.00%
147.06% to 193.79%	4	20.00%	95.00%
193.79% to 240.53%	0	0.00%	95.00%
240.53% to 287.27%	1	5.00%	100.00%
Greater than 287.27%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	38.00%	162.63%	80.00%	68.27%
±2σ	-24.32%	224.95%	95.00%	95.45%
±3σ	-86.64%	287.27%	100.00%	99.73%

Descriptive Statistics

均值	100.317%
Standard Error	13.935%
中位数	75.189%
Mode	23.625%
Standard Deviation	62.318%
Sample Variance	3883.564%
峰度	1.85
偏度	1.29
Range	252.237%
Minimum	23.625%
Maximum	275.862%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	100.317%	20	100.00%	100.317%
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 1.16. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -135.76%	0	0.00%	0.00%
-135.76% to -95.76%	0	0.00%	0.00%
-95.76% to -55.76%	1	5.00%	5.00%
-55.76% to -15.76%	2	10.00%	15.00%
-15.76% to 24.24%	9	45.00%	60.00%
24.24% to 64.24%	5	25.00%	85.00%
64.24% to 104.24%	2	10.00%	95.00%
104.24% to 144.25%	0	0.00%	95.00%
144.25% to 184.25%	1	5.00%	100.00%
Greater than 184.25%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.09%	77.58%	75.00%	68.27%
±2σ	-82.43%	130.91%	95.00%	95.45%
±3σ	-135.76%	184.25%	100.00%	99.73%

Descriptive Statistics

均值	24.242%
Standard Error	11.926%
中位数	10.743%
Mode	-56.777%
Standard Deviation	53.335%
Sample Variance	2844.615%
峰度	2.59
偏度	1.16
Range	235.493%
Minimum	-56.777%
Maximum	178.716%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.474%	14	70.00%	31.832%
负向	-25.298%	6	30.00%	-7.589%
Zero	0.000%	0	0.00%	0.000%

BLND 深度分析报告