CLOV 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	5.40%	4.51%	4.63%	7.06%	5.62%	5.66%	2.30	2.57	2.17	2.72
周度	11.26%	11.99%	10.33%	16.50%	12.37%	12.46%	2.15	2.75	1.90	3.11
月度	26.13%	36.78%	24.78%	41.09%	25.75%	25.94%	1.88	3.14	1.45	4.07
季度	58.22%	79.81%	52.62%	76.16%	44.60%	44.92%	1.56	3.80	1.00	5.93
Annual	—	—	—	—	89.20%	89.84%	1.00	5.93	0.41	14.47
Option Time Horizon	—	—	—	—	33.99%	34.24%	1.73	3.41	1.23	4.80

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $2.43 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.3050 (Bid $0.2800 / Ask $0.3300) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 89.20% (CRR binomial tree, American, n=20 steps) | BS IV: 89.42% (European Black-Scholes) | Yahoo IV (Annual): 89.84% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 3.25. Further, an Excess 峰度 of 45.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.16%	4	0.27%	0.27%
-16.16% to -12.11%	13	0.88%	1.15%
-12.11% to -8.06%	35	2.38%	3.53%
-8.06% to -4.01%	179	12.15%	15.68%
-4.01% to 0.04%	578	39.24%	54.92%
0.04% to 4.09%	441	29.94%	84.86%
4.09% to 8.14%	148	10.05%	94.91%
8.14% to 12.19%	44	2.99%	97.90%
12.19% to 16.24%	18	1.22%	99.12%
Greater than 16.24%	13	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.36%	5.44%	80.86%	68.27%
±2σ	-10.76%	10.84%	95.79%	95.45%
±3σ	-16.16%	16.24%	98.85%	99.73%

Descriptive Statistics

均值	0.038%
Standard Error	0.141%
中位数	-0.222%
Mode	0.000%
Standard Deviation	5.401%
Sample Variance	29.175%
峰度	45.72
偏度	3.25
Range	109.434%
Minimum	-23.612%
Maximum	85.822%
Count	1473

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.909%	664	45.08%	1.762%
负向	-3.346%	759	51.53%	-1.724%
Zero	0.000%	50	3.39%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.10%
20	1 Month	5.75%
60	1 Quarter	5.02%
250	1 Year	5.49%
750	3 Years	6.54%
1,250	5 Years	7.06%
2,500	10 Years	6.92%
5,000	20 Years	6.92%
12,500	50 Years	6.92%

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 4.28. Further, an Excess 峰度 of 40.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.64%	0	0.00%	0.00%
-6.64% to -3.26%	0	0.00%	0.00%
-3.26% to 0.12%	0	0.00%	0.00%
0.12% to 3.50%	200	13.57%	13.57%
3.50% to 6.88%	698	47.35%	60.92%
6.88% to 10.26%	367	24.90%	85.82%
10.26% to 13.64%	128	8.68%	94.50%
13.64% to 17.02%	44	2.99%	97.49%
17.02% to 20.41%	16	1.09%	98.58%
Greater than 20.41%	21	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.37%	11.39%	84.60%	68.27%
±2σ	-2.13%	15.90%	96.74%	95.45%
±3σ	-6.64%	20.41%	98.58%	99.73%

Descriptive Statistics

均值	6.882%
Standard Error	0.117%
中位数	5.964%
Mode	6.667%
Standard Deviation	4.508%
Sample Variance	20.322%
峰度	40.87
偏度	4.28
Range	71.225%
Minimum	0.501%
Maximum	71.726%
Count	1474

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.882%	1474	100.00%	6.882%
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 1.66. Further, an Excess 峰度 of 28.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.53%	10	0.68%	0.68%
-13.53% to -10.06%	10	0.68%	1.36%
-10.06% to -6.59%	51	3.46%	4.82%
-6.59% to -3.11%	178	12.08%	16.89%
-3.11% to 0.36%	491	33.31%	50.20%
0.36% to 3.83%	500	33.92%	84.12%
3.83% to 7.31%	166	11.26%	95.39%
7.31% to 10.78%	46	3.12%	98.51%
10.78% to 14.25%	15	1.02%	99.53%
Greater than 14.25%	7	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.27%	4.99%	78.09%	68.27%
±2σ	-8.90%	9.62%	95.73%	95.45%
±3σ	-13.53%	14.25%	98.85%	99.73%

Descriptive Statistics

均值	0.359%
Standard Error	0.121%
中位数	0.346%
Mode	0.000%
Standard Deviation	4.631%
Sample Variance	21.451%
峰度	28.63
偏度	1.66
Range	90.383%
Minimum	-24.898%
Maximum	65.485%
Count	1474

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.354%	775	52.58%	1.763%
负向	-3.239%	639	43.35%	-1.404%
Zero	0.000%	60	4.07%	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 6.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.65%	0	0.00%	0.00%
-33.65% to -25.20%	3	0.98%	0.98%
-25.20% to -16.76%	10	3.27%	4.25%
-16.76% to -8.32%	40	13.07%	17.32%
-8.32% to 0.12%	111	36.27%	53.59%
0.12% to 8.57%	92	30.07%	83.66%
8.57% to 17.01%	33	10.78%	94.44%
17.01% to 25.45%	9	2.94%	97.39%
25.45% to 33.90%	6	1.96%	99.35%
Greater than 33.90%	2	0.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.13%	11.38%	75.82%	68.27%
±2σ	-22.39%	22.64%	94.44%	95.45%
±3σ	-33.65%	33.90%	99.35%	99.73%

Descriptive Statistics

均值	0.124%
Standard Error	0.644%
中位数	-0.783%
Mode	-4.412%
Standard Deviation	11.257%
Sample Variance	126.718%
峰度	6.53
偏度	1.30
Range	99.401%
Minimum	-29.348%
Maximum	70.053%
Count	306

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.508%	143	46.73%	3.976%
负向	-7.321%	161	52.61%	-3.852%
Zero	0.000%	2	0.65%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.51%
12	1 Quarter	11.07%
52	1 Year	12.46%
156	3 Years	15.22%
260	5 Years	16.50%
520	10 Years	16.08%
1,040	20 Years	16.08%
2,600	50 Years	16.08%

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 3.06. Further, an Excess 峰度 of 17.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.50%	0	0.00%	0.00%
-18.50% to -9.51%	0	0.00%	0.00%
-9.51% to -0.52%	0	0.00%	0.00%
-0.52% to 8.47%	47	15.31%	15.31%
8.47% to 17.46%	152	49.51%	64.82%
17.46% to 26.45%	59	19.22%	84.04%
26.45% to 35.44%	30	9.77%	93.81%
35.44% to 44.43%	11	3.58%	97.39%
44.43% to 53.42%	3	0.98%	98.37%
Greater than 53.42%	5	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.47%	29.45%	82.08%	68.27%
±2σ	-6.52%	41.43%	97.07%	95.45%
±3σ	-18.50%	53.42%	98.37%	99.73%

Descriptive Statistics

均值	17.458%
Standard Error	0.684%
中位数	14.510%
Mode	8.511%
Standard Deviation	11.987%
Sample Variance	143.696%
峰度	17.32
偏度	3.06
Range	113.103%
Minimum	1.715%
Maximum	114.818%
Count	307

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.458%	307	100.00%	17.458%
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 0.10. Further, an Excess 峰度 of 2.01 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.86%	2	0.65%	0.65%
-29.86% to -22.11%	3	0.98%	1.63%
-22.11% to -14.37%	12	3.91%	5.54%
-14.37% to -6.62%	39	12.70%	18.24%
-6.62% to 1.14%	102	33.22%	51.47%
1.14% to 8.88%	97	31.60%	83.06%
8.88% to 16.64%	31	10.10%	93.16%
16.64% to 24.38%	12	3.91%	97.07%
24.38% to 32.13%	7	2.28%	99.35%
Greater than 32.13%	2	0.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.20%	11.47%	74.59%	68.27%
±2σ	-19.53%	21.80%	93.16%	95.45%
±3σ	-29.86%	32.13%	98.70%	99.73%

Descriptive Statistics

均值	1.135%
Standard Error	0.590%
中位数	0.820%
Mode	0.000%
Standard Deviation	10.333%
Sample Variance	106.779%
峰度	2.01
偏度	0.10
Range	79.272%
Minimum	-41.195%
Maximum	38.077%
Count	307

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.851%	168	54.72%	4.296%
负向	-7.190%	135	43.97%	-3.162%
Zero	0.000%	4	1.30%	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 1.01. Further, an Excess 峰度 of 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -77.52%	0	0.00%	0.00%
-77.52% to -57.92%	0	0.00%	0.00%
-57.92% to -38.33%	1	1.43%	1.43%
-38.33% to -18.73%	14	20.00%	21.43%
-18.73% to 0.87%	28	40.00%	61.43%
0.87% to 20.46%	14	20.00%	81.43%
20.46% to 40.06%	7	10.00%	91.43%
40.06% to 59.66%	3	4.29%	95.71%
59.66% to 79.25%	3	4.29%	100.00%
Greater than 79.25%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.26%	27.00%	70.00%	68.27%
±2σ	-51.39%	53.12%	94.29%	95.45%
±3σ	-77.52%	79.25%	100.00%	99.73%

Descriptive Statistics

均值	0.866%
Standard Error	3.123%
中位数	-5.628%
Mode	-39.414%
Standard Deviation	26.129%
Sample Variance	682.746%
峰度	0.70
偏度	1.01
Range	114.017%
Minimum	-39.414%
Maximum	74.603%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.734%	28	40.00%	10.294%
负向	-15.712%	42	60.00%	-9.427%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	32.24%
12	1 Year	31.04%
36	3 Years	37.13%
60	5 Years	41.09%
120	10 Years	39.66%
240	20 Years	39.66%
600	50 Years	39.66%

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 4.04. Further, an Excess 峰度 of 23.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.63%	0	0.00%	0.00%
-62.63% to -35.04%	0	0.00%	0.00%
-35.04% to -7.45%	0	0.00%	0.00%
-7.45% to 20.13%	8	11.27%	11.27%
20.13% to 47.72%	34	47.89%	59.15%
47.72% to 75.31%	24	33.80%	92.96%
75.31% to 102.90%	3	4.23%	97.18%
102.90% to 130.49%	0	0.00%	97.18%
130.49% to 158.08%	1	1.41%	98.59%
Greater than 158.08%	1	1.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.94%	84.51%	91.55%	68.27%
±2σ	-25.85%	121.29%	97.18%	95.45%
±3σ	-62.63%	158.08%	98.59%	99.73%

Descriptive Statistics

均值	47.723%
Standard Error	4.366%
中位数	38.672%
Mode	3.865%
Standard Deviation	36.785%
Sample Variance	1353.155%
峰度	23.41
偏度	4.04
Range	277.245%
Minimum	3.865%
Maximum	281.110%
Count	71

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	47.723%	71	100.00%	47.723%
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 0.18. Further, an Excess 峰度 of -0.33 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -69.10%	0	0.00%	0.00%
-69.10% to -50.52%	0	0.00%	0.00%
-50.52% to -31.93%	5	7.04%	7.04%
-31.93% to -13.35%	11	15.49%	22.54%
-13.35% to 5.23%	19	26.76%	49.30%
5.23% to 23.81%	18	25.35%	74.65%
23.81% to 42.39%	12	16.90%	91.55%
42.39% to 60.98%	5	7.04%	98.59%
60.98% to 79.56%	1	1.41%	100.00%
Greater than 79.56%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.55%	30.01%	64.79%	68.27%
±2σ	-44.32%	54.78%	97.18%	95.45%
±3σ	-69.10%	79.56%	100.00%	99.73%

Descriptive Statistics

均值	5.230%
Standard Error	2.940%
中位数	5.290%
Mode	-42.568%
Standard Deviation	24.776%
Sample Variance	613.828%
峰度	-0.33
偏度	0.18
Range	106.261%
Minimum	-42.568%
Maximum	63.693%
Count	71

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.067%	42	59.16%	12.462%
负向	-18.337%	28	39.44%	-7.232%
Zero	0.000%	1	1.41%	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 2.18. Further, an Excess 峰度 of 5.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -169.79%	0	0.00%	0.00%
-169.79% to -126.12%	0	0.00%	0.00%
-126.12% to -82.45%	0	0.00%	0.00%
-82.45% to -38.79%	3	13.04%	13.04%
-38.79% to 4.88%	13	56.52%	69.57%
4.88% to 48.55%	4	17.39%	86.96%
48.55% to 92.21%	1	4.35%	91.30%
92.21% to 135.88%	1	4.35%	95.65%
135.88% to 179.55%	0	0.00%	95.65%
Greater than 179.55%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-53.34%	63.10%	82.61%	68.27%
±2σ	-111.57%	121.33%	95.65%	95.45%
±3σ	-169.79%	179.55%	95.65%	99.73%

Descriptive Statistics

均值	4.880%
Standard Error	12.140%
中位数	-7.063%
Mode	-65.600%
Standard Deviation	58.223%
Sample Variance	3389.939%
峰度	5.69
偏度	2.18
Range	268.775%
Minimum	-65.600%
Maximum	203.175%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	47.331%	10	43.48%	20.579%
负向	-27.775%	13	56.52%	-15.699%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	47.54%
12	3 Years	73.26%
20	5 Years	76.16%
40	10 Years	73.42%
80	20 Years	73.42%
200	50 Years	73.42%

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 1.75. Further, an Excess 峰度 of 2.62 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -132.56%	0	0.00%	0.00%
-132.56% to -72.70%	0	0.00%	0.00%
-72.70% to -12.85%	0	0.00%	0.00%
-12.85% to 47.01%	3	12.50%	12.50%
47.01% to 106.87%	15	62.50%	75.00%
106.87% to 166.73%	2	8.33%	83.33%
166.73% to 226.58%	2	8.33%	91.67%
226.58% to 286.44%	1	4.17%	95.83%
286.44% to 346.30%	1	4.17%	100.00%
Greater than 346.30%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.06%	186.68%	79.17%	68.27%
±2σ	-52.75%	266.49%	91.67%	95.45%
±3σ	-132.56%	346.30%	100.00%	99.73%

Descriptive Statistics

均值	106.869%
Standard Error	16.291%
中位数	76.278%
Mode	24.330%
Standard Deviation	79.810%
Sample Variance	6369.574%
峰度	2.62
偏度	1.75
Range	318.223%
Minimum	24.330%
Maximum	342.553%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	106.869%	24	100.00%	106.869%
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 1.49. Further, an Excess 峰度 of 4.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -140.90%	0	0.00%	0.00%
-140.90% to -101.43%	0	0.00%	0.00%
-101.43% to -61.96%	1	4.17%	4.17%
-61.96% to -22.49%	3	12.50%	16.67%
-22.49% to 16.98%	9	37.50%	54.17%
16.98% to 56.44%	7	29.17%	83.33%
56.44% to 95.91%	3	12.50%	95.83%
95.91% to 135.38%	0	0.00%	95.83%
135.38% to 174.85%	0	0.00%	95.83%
Greater than 174.85%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.65%	69.60%	75.00%	68.27%
±2σ	-88.27%	122.22%	95.83%	95.45%
±3σ	-140.90%	174.85%	95.83%	99.73%

Descriptive Statistics

均值	16.975%
Standard Error	10.742%
中位数	7.862%
Mode	-66.754%
Standard Deviation	52.624%
Sample Variance	2769.265%
峰度	4.32
偏度	1.49
Range	258.227%
Minimum	-66.754%
Maximum	191.473%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	49.405%	13	54.17%	26.761%
负向	-21.350%	11	45.83%	-9.785%
Zero	0.000%	0	0.00%	0.000%

CLOV 深度分析报告