COIN 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%	3.94%	4.61%	7.27%	—	4.86%	190.39	209.61	181.45	219.94
周度	12.50%	12.55%	11.87%	17.42%	—	10.70%	179.70	222.08	161.65	246.88
月度	25.61%	30.21%	24.50%	38.91%	—	22.28%	160.26	249.02	128.56	310.41
季度	43.79%	49.10%	41.50%	69.35%	—	38.59%	136.38	292.61	93.11	428.61
Annual	—	—	—	—	—	77.19%	93.11	428.61	43.40	919.59
Option Time Horizon	—	—	—	—	—	29.41%	149.35	267.22	111.65	357.43

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $199.77 | Strike (K): $200.00 (first OTM call ≥ spot) | Observed Mid-价格: $23.4750 (Bid $23.3000 / Ask $23.6500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 模型不可用 / 模型不可用 (CRR binomial tree, American, n=20 steps) | BS IV: 76.34% (European Black-Scholes) | Yahoo IV (Annual): 77.19% → 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 0.50. Further, an Excess 峰度 of 2.73 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.10%	5	0.40%	0.40%
-16.10% to -12.05%	10	0.79%	1.19%
-12.05% to -8.00%	43	3.40%	4.59%
-8.00% to -3.95%	181	14.33%	18.92%
-3.95% to 0.10%	446	35.31%	54.24%
0.10% to 4.16%	340	26.92%	81.16%
4.16% to 8.21%	157	12.43%	93.59%
8.21% to 12.26%	51	4.04%	97.62%
12.26% to 16.31%	18	1.43%	99.05%
Greater than 16.31%	12	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.30%	5.51%	74.74%	68.27%
±2σ	-10.70%	10.91%	94.77%	95.45%
±3σ	-16.10%	16.31%	98.65%	99.73%

Descriptive Statistics

均值	0.105%
Standard Error	0.152%
中位数	-0.322%
Mode	-1.520%
Standard Deviation	5.402%
Sample Variance	29.183%
峰度	2.73
偏度	0.50
Range	57.516%
Minimum	-26.401%
Maximum	31.115%
Count	1263

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.348%	592	46.87%	2.038%
负向	-3.639%	671	53.13%	-1.933%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.22%
20	1 Month	6.30%
60	1 Quarter	6.93%
250	1 Year	5.70%
750	3 Years	6.62%
1,250	5 Years	7.27%
2,500	10 Years	7.25%
5,000	20 Years	7.25%
12,500	50 Years	7.25%

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 2.89. Further, an Excess 峰度 of 16.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.89%	0	0.00%	0.00%
-4.89% to -1.94%	0	0.00%	0.00%
-1.94% to 1.02%	0	0.00%	0.00%
1.02% to 3.97%	229	18.12%	18.12%
3.97% to 6.92%	547	43.28%	61.39%
6.92% to 9.87%	295	23.34%	84.73%
9.87% to 12.82%	108	8.54%	93.28%
12.82% to 15.77%	47	3.72%	96.99%
15.77% to 18.72%	18	1.42%	98.42%
Greater than 18.72%	20	1.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.98%	10.85%	82.04%	68.27%
±2σ	-0.95%	14.79%	96.60%	95.45%
±3σ	-4.89%	18.72%	98.42%	99.73%

Descriptive Statistics

均值	6.918%
Standard Error	0.111%
中位数	6.048%
Mode	5.699%
Standard Deviation	3.935%
Sample Variance	15.484%
峰度	16.94
偏度	2.89
Range	46.199%
Minimum	1.487%
Maximum	47.686%
Count	1264

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.918%	1264	100.00%	6.918%
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 0.05. Further, an Excess 峰度 of 1.80 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.65%	9	0.71%	0.71%
-13.65% to -10.19%	10	0.79%	1.50%
-10.19% to -6.74%	58	4.59%	6.09%
-6.74% to -3.28%	173	13.69%	19.78%
-3.28% to 0.17%	383	30.30%	50.08%
0.17% to 3.63%	396	31.33%	81.41%
3.63% to 7.09%	153	12.10%	93.51%
7.09% to 10.54%	61	4.83%	98.34%
10.54% to 14.00%	11	0.87%	99.21%
Greater than 14.00%	10	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.43%	4.78%	74.37%	68.27%
±2σ	-9.04%	9.39%	94.78%	95.45%
±3σ	-13.65%	14.00%	98.50%	99.73%

Descriptive Statistics

均值	0.175%
Standard Error	0.130%
中位数	0.164%
Mode	-0.548%
Standard Deviation	4.608%
Sample Variance	21.236%
峰度	1.80
偏度	0.05
Range	39.582%
Minimum	-20.234%
Maximum	19.348%
Count	1264

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.455%	658	52.06%	1.799%
负向	-3.391%	605	47.86%	-1.623%
Zero	0.000%	1	0.08%	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 1.21. Further, an Excess 峰度 of 5.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.97%	0	0.00%	0.00%
-36.97% to -27.59%	1	0.38%	0.38%
-27.59% to -18.22%	9	3.44%	3.82%
-18.22% to -8.84%	41	15.65%	19.47%
-8.84% to 0.54%	90	34.35%	53.82%
0.54% to 9.91%	71	27.10%	80.92%
9.91% to 19.29%	38	14.50%	95.42%
19.29% to 28.67%	6	2.29%	97.71%
28.67% to 38.04%	4	1.53%	99.24%
Greater than 38.04%	2	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.97%	13.04%	72.90%	68.27%
±2σ	-24.47%	25.54%	95.04%	95.45%
±3σ	-36.97%	38.04%	99.24%	99.73%

Descriptive Statistics

均值	0.536%
Standard Error	0.772%
中位数	-0.270%
Mode	-31.177%
Standard Deviation	12.502%
Sample Variance	156.296%
峰度	5.27
偏度	1.21
Range	105.247%
Minimum	-31.177%
Maximum	74.070%
Count	262

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.998%	126	48.09%	4.808%
负向	-8.230%	136	51.91%	-4.272%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.57%
12	1 Quarter	16.17%
52	1 Year	13.77%
156	3 Years	15.86%
260	5 Years	17.42%
520	10 Years	17.37%
1,040	20 Years	17.37%
2,600	50 Years	17.37%

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 3.62. Further, an Excess 峰度 of 20.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.36%	0	0.00%	0.00%
-18.36% to -8.95%	0	0.00%	0.00%
-8.95% to 0.47%	0	0.00%	0.00%
0.47% to 9.88%	35	13.31%	13.31%
9.88% to 19.29%	131	49.81%	63.12%
19.29% to 28.71%	65	24.71%	87.83%
28.71% to 38.12%	18	6.84%	94.68%
38.12% to 47.53%	7	2.66%	97.34%
47.53% to 56.94%	2	0.76%	98.10%
Greater than 56.94%	5	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.74%	31.84%	88.97%	68.27%
±2σ	-5.81%	44.39%	97.34%	95.45%
±3σ	-18.36%	56.94%	98.10%	99.73%

Descriptive Statistics

均值	19.293%
Standard Error	0.774%
中位数	16.851%
Mode	8.115%
Standard Deviation	12.550%
Sample Variance	157.495%
峰度	20.77
偏度	3.62
Range	113.897%
Minimum	5.011%
Maximum	118.908%
Count	263

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.293%	263	100.00%	19.293%
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 0.29. Further, an Excess 峰度 of 1.53 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.62%	2	0.76%	0.76%
-34.62% to -25.72%	0	0.00%	0.76%
-25.72% to -16.82%	8	3.04%	3.80%
-16.82% to -7.93%	42	15.97%	19.77%
-7.93% to 0.97%	91	34.60%	54.37%
0.97% to 9.87%	69	26.24%	80.61%
9.87% to 18.77%	32	12.17%	92.78%
18.77% to 27.67%	12	4.56%	97.34%
27.67% to 36.57%	5	1.90%	99.24%
Greater than 36.57%	2	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.89%	12.84%	73.38%	68.27%
±2σ	-22.76%	24.70%	95.06%	95.45%
±3σ	-34.62%	36.57%	98.48%	99.73%

Descriptive Statistics

均值	0.972%
Standard Error	0.732%
中位数	0.151%
Mode	-7.838%
Standard Deviation	11.865%
Sample Variance	140.774%
峰度	1.53
偏度	0.29
Range	86.733%
Minimum	-42.762%
Maximum	43.971%
Count	263

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.652%	134	50.95%	4.918%
负向	-8.045%	129	49.05%	-3.946%
Zero	0.000%	0	0.00%	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 0.78. Further, an Excess 峰度 of 0.24 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.53%	0	0.00%	0.00%
-74.53% to -55.32%	0	0.00%	0.00%
-55.32% to -36.12%	2	3.33%	3.33%
-36.12% to -16.91%	16	26.67%	30.00%
-16.91% to 2.30%	16	26.67%	56.67%
2.30% to 21.51%	15	25.00%	81.67%
21.51% to 40.72%	6	10.00%	91.67%
40.72% to 59.92%	2	3.33%	95.00%
59.92% to 79.13%	3	5.00%	100.00%
Greater than 79.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.31%	27.91%	71.67%	68.27%
±2σ	-48.92%	53.52%	93.33%	95.45%
±3σ	-74.53%	79.13%	100.00%	99.73%

Descriptive Statistics

均值	2.300%
Standard Error	3.306%
中位数	-0.075%
Mode	65.244%
Standard Deviation	25.610%
Sample Variance	655.863%
峰度	0.24
偏度	0.78
Range	105.879%
Minimum	-40.635%
Maximum	65.244%
Count	60

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.768%	30	50.00%	10.884%
负向	-17.168%	30	50.00%	-8.584%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	30.22%
12	1 Year	31.83%
36	3 Years	36.63%
60	5 Years	38.91%
120	10 Years	38.91%
240	20 Years	38.91%
600	50 Years	38.91%

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 3.60. Further, an Excess 峰度 of 19.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.24%	0	0.00%	0.00%
-42.24% to -19.59%	0	0.00%	0.00%
-19.59% to 3.07%	0	0.00%	0.00%
3.07% to 25.72%	7	11.48%	11.48%
25.72% to 48.38%	32	52.46%	63.93%
48.38% to 71.03%	12	19.67%	83.61%
71.03% to 93.69%	6	9.84%	93.44%
93.69% to 116.34%	3	4.92%	98.36%
116.34% to 139.00%	0	0.00%	98.36%
Greater than 139.00%	1	1.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.17%	78.58%	91.80%	68.27%
±2σ	-12.03%	108.79%	98.36%	95.45%
±3σ	-42.24%	139.00%	98.36%	99.73%

Descriptive Statistics

均值	48.378%
Standard Error	3.868%
中位数	40.942%
Mode	18.503%
Standard Deviation	30.206%
Sample Variance	912.420%
峰度	19.05
偏度	3.60
Range	206.773%
Minimum	18.503%
Maximum	225.276%
Count	61

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	48.378%	61	100.00%	48.378%
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 0.40. Further, an Excess 峰度 of 0.01 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -69.36%	0	0.00%	0.00%
-69.36% to -50.98%	0	0.00%	0.00%
-50.98% to -32.60%	4	6.56%	6.56%
-32.60% to -14.22%	9	14.75%	21.31%
-14.22% to 4.15%	22	36.07%	57.38%
4.15% to 22.53%	10	16.39%	73.77%
22.53% to 40.91%	12	19.67%	93.44%
40.91% to 59.29%	2	3.28%	96.72%
59.29% to 77.67%	2	3.28%	100.00%
Greater than 77.67%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.35%	28.66%	70.49%	68.27%
±2σ	-44.86%	53.16%	96.72%	95.45%
±3σ	-69.36%	77.67%	100.00%	99.73%

Descriptive Statistics

均值	4.154%
Standard Error	3.138%
中位数	1.854%
Mode	-39.230%
Standard Deviation	24.505%
Sample Variance	600.490%
峰度	0.01
偏度	0.40
Range	107.680%
Minimum	-39.230%
Maximum	68.450%
Count	61

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.639%	33	54.10%	11.706%
负向	-16.454%	28	45.90%	-7.553%
Zero	0.000%	0	0.00%	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 0.69. Further, an Excess 峰度 of -0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -125.36%	0	0.00%	0.00%
-125.36% to -92.52%	0	0.00%	0.00%
-92.52% to -59.68%	0	0.00%	0.00%
-59.68% to -26.84%	5	25.00%	25.00%
-26.84% to 6.00%	8	40.00%	65.00%
6.00% to 38.84%	2	10.00%	75.00%
38.84% to 71.68%	3	15.00%	90.00%
71.68% to 104.52%	2	10.00%	100.00%
104.52% to 137.36%	0	0.00%	100.00%
Greater than 137.36%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.79%	49.79%	55.00%	68.27%
±2σ	-81.57%	93.57%	100.00%	95.45%
±3σ	-125.36%	137.36%	100.00%	99.73%

Descriptive Statistics

均值	5.999%
Standard Error	9.791%
中位数	-8.508%
Mode	-44.140%
Standard Deviation	43.786%
Sample Variance	1917.206%
峰度	-0.90
偏度	0.69
Range	130.330%
Minimum	-44.140%
Maximum	86.190%
Count	20

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.577%	9	45.00%	20.510%
负向	-26.382%	11	55.00%	-14.510%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	59.71%
12	3 Years	75.15%
20	5 Years	69.35%
40	10 Years	69.35%
80	20 Years	69.35%
200	50 Years	69.35%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.90. Further, an Excess 峰度 of 0.81 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.55%	0	0.00%	0.00%
-53.55% to -16.72%	0	0.00%	0.00%
-16.72% to 20.11%	0	0.00%	0.00%
20.11% to 56.94%	8	38.10%	38.10%
56.94% to 93.76%	2	9.52%	47.62%
93.76% to 130.59%	7	33.33%	80.95%
130.59% to 167.42%	3	14.29%	95.24%
167.42% to 204.25%	0	0.00%	95.24%
204.25% to 241.08%	1	4.76%	100.00%
Greater than 241.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	44.66%	142.87%	66.67%	68.27%
±2σ	-4.44%	191.97%	95.24%	95.45%
±3σ	-53.55%	241.08%	100.00%	99.73%

Descriptive Statistics

均值	93.764%
Standard Error	10.715%
中位数	93.945%
Mode	37.800%
Standard Deviation	49.104%
Sample Variance	2411.195%
峰度	0.81
偏度	0.90
Range	187.476%
Minimum	37.800%
Maximum	225.276%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	93.764%	21	100.00%	93.764%
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 0.31. Further, an Excess 峰度 of -0.97 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -114.35%	0	0.00%	0.00%
-114.35% to -83.23%	0	0.00%	0.00%
-83.23% to -52.11%	0	0.00%	0.00%
-52.11% to -20.98%	6	28.57%	28.57%
-20.98% to 10.14%	5	23.81%	52.38%
10.14% to 41.26%	6	28.57%	80.95%
41.26% to 72.39%	1	4.76%	85.71%
72.39% to 103.51%	3	14.29%	100.00%
103.51% to 134.63%	0	0.00%	100.00%
Greater than 134.63%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.36%	51.64%	57.14%	68.27%
±2σ	-72.85%	93.13%	100.00%	95.45%
±3σ	-114.35%	134.63%	100.00%	99.73%

Descriptive Statistics

均值	10.140%
Standard Error	9.055%
中位数	9.835%
Mode	-46.081%
Standard Deviation	41.497%
Sample Variance	1721.963%
峰度	-0.97
偏度	0.31
Range	125.671%
Minimum	-46.081%
Maximum	79.590%
Count	21

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.790%	11	52.38%	22.414%
负向	-25.774%	10	47.62%	-12.273%
Zero	0.000%	0	0.00%	0.000%

COIN 深度分析报告