CROX 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	4.11%	3.75%	3.35%	4.47%	3.58%	3.66%	98.72	106.05	95.25	109.91
周度	9.30%	12.39%	10.04%	10.71%	7.88%	8.06%	94.57	110.71	87.41	119.78
月度	17.22%	32.12%	17.83%	22.56%	16.40%	16.78%	86.85	120.55	73.71	142.03
季度	33.41%	67.08%	43.68%	37.72%	28.40%	29.07%	77.02	135.93	57.98	180.57
Annual	—	—	—	—	56.80%	58.13%	57.98	180.57	32.85	318.66
Option Time Horizon	—	—	—	—	21.64%	22.15%	82.41	127.05	66.37	157.75

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $102.32 | Strike (K): $105.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.9500 (Bid $7.4000 / Ask $8.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 56.80% (CRR binomial tree, American, n=20 steps) | BS IV: 57.19% (European Black-Scholes) | Yahoo IV (Annual): 58.13% → 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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.53. Further, an Excess 峰度 of 20.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.19%	43	0.85%	0.85%
-12.19% to -9.11%	39	0.77%	1.61%
-9.11% to -6.03%	105	2.07%	3.68%
-6.03% to -2.95%	469	9.23%	12.91%
-2.95% to 0.13%	1912	37.62%	50.52%
0.13% to 3.21%	1842	36.24%	86.76%
3.21% to 6.29%	463	9.11%	95.87%
6.29% to 9.36%	122	2.40%	98.27%
9.36% to 12.44%	40	0.79%	99.06%
Greater than 12.44%	48	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.98%	4.23%	83.18%	68.27%
±2σ	-8.09%	8.34%	95.75%	95.45%
±3σ	-12.19%	12.44%	98.21%	99.73%

Descriptive Statistics

均值	0.126%
Standard Error	0.058%
中位数	0.100%
Mode	0.000%
Standard Deviation	4.106%
Sample Variance	16.861%
峰度	20.36
偏度	-0.53
Range	86.658%
Minimum	-44.737%
Maximum	41.921%
Count	5083

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.607%	2603	51.21%	1.335%
负向	-2.531%	2428	47.77%	-1.209%
Zero	0.000%	52	1.02%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.37%
20	1 Month	4.37%
60	1 Quarter	4.32%
250	1 Year	3.86%
750	3 Years	3.93%
1,250	5 Years	4.47%
2,500	10 Years	4.45%
5,000	20 Years	4.88%
12,500	50 Years	4.89%

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 4.50. Further, an Excess 峰度 of 36.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.54%	0	0.00%	0.00%
-6.54% to -3.72%	0	0.00%	0.00%
-3.72% to -0.91%	0	0.00%	0.00%
-0.91% to 1.91%	349	6.86%	6.86%
1.91% to 4.73%	3062	60.23%	67.09%
4.73% to 7.54%	1063	20.91%	88.00%
7.54% to 10.36%	310	6.10%	94.10%
10.36% to 13.18%	130	2.56%	96.66%
13.18% to 15.99%	66	1.30%	97.95%
Greater than 15.99%	104	2.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.97%	8.48%	90.79%	68.27%
±2σ	-2.78%	12.24%	96.13%	95.45%
±3σ	-6.54%	15.99%	97.95%	99.73%

Descriptive Statistics

均值	4.726%
Standard Error	0.053%
中位数	3.707%
Mode	1.966%
Standard Deviation	3.755%
Sample Variance	14.099%
峰度	36.97
偏度	4.50
Range	60.673%
Minimum	0.756%
Maximum	61.429%
Count	5084

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.726%	5084	100.00%	4.726%
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 0.72. Further, an Excess 峰度 of 11.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.98%	36	0.71%	0.71%
-9.98% to -7.46%	43	0.85%	1.55%
-7.46% to -4.95%	147	2.89%	4.45%
-4.95% to -2.44%	579	11.39%	15.83%
-2.44% to 0.08%	1768	34.78%	50.61%
0.08% to 2.59%	1757	34.56%	85.17%
2.59% to 5.11%	520	10.23%	95.40%
5.11% to 7.62%	122	2.40%	97.80%
7.62% to 10.13%	64	1.26%	99.06%
Greater than 10.13%	48	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.27%	3.43%	79.82%	68.27%
±2σ	-6.63%	6.78%	95.20%	95.45%
±3σ	-9.98%	10.13%	98.35%	99.73%

Descriptive Statistics

均值	0.077%
Standard Error	0.047%
中位数	0.033%
Mode	0.000%
Standard Deviation	3.352%
Sample Variance	11.237%
峰度	11.40
偏度	0.72
Range	63.518%
Minimum	-27.077%
Maximum	36.441%
Count	5084

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.307%	2551	50.18%	1.158%
负向	-2.215%	2479	48.76%	-1.080%
Zero	0.000%	54	1.06%	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 0.63. Further, an Excess 峰度 of 13.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.26%	6	0.57%	0.57%
-27.26% to -20.29%	21	1.99%	2.56%
-20.29% to -13.32%	24	2.28%	4.84%
-13.32% to -6.34%	91	8.63%	13.47%
-6.34% to 0.63%	389	36.91%	50.38%
0.63% to 7.60%	364	34.54%	84.91%
7.60% to 14.57%	118	11.20%	96.11%
14.57% to 21.55%	25	2.37%	98.48%
21.55% to 28.52%	9	0.85%	99.34%
Greater than 28.52%	7	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.67%	9.93%	81.78%	68.27%
±2σ	-17.97%	19.22%	94.12%	95.45%
±3σ	-27.26%	28.52%	98.77%	99.73%

Descriptive Statistics

均值	0.628%
Standard Error	0.286%
中位数	0.599%
Mode	0.000%
Standard Deviation	9.297%
Sample Variance	86.440%
峰度	13.01
偏度	0.63
Range	140.988%
Minimum	-52.893%
Maximum	88.095%
Count	1054

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.257%	561	53.23%	3.330%
负向	-5.850%	487	46.20%	-2.703%
Zero	0.000%	6	0.57%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.26%
12	1 Quarter	10.62%
52	1 Year	9.33%
156	3 Years	9.21%
260	5 Years	10.71%
520	10 Years	10.54%
1,040	20 Years	11.64%
2,600	50 Years	11.66%

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 6.45. Further, an Excess 峰度 of 71.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.49%	0	0.00%	0.00%
-24.49% to -15.20%	0	0.00%	0.00%
-15.20% to -5.91%	0	0.00%	0.00%
-5.91% to 3.38%	9	0.85%	0.85%
3.38% to 12.67%	717	67.96%	68.82%
12.67% to 21.96%	208	19.72%	88.53%
21.96% to 31.25%	70	6.64%	95.17%
31.25% to 40.54%	23	2.18%	97.35%
40.54% to 49.83%	14	1.33%	98.67%
Greater than 49.83%	14	1.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.28%	25.06%	91.66%	68.27%
±2σ	-12.10%	37.44%	96.87%	95.45%
±3σ	-24.49%	49.83%	98.67%	99.73%

Descriptive Statistics

均值	12.670%
Standard Error	0.381%
中位数	9.192%
Mode	4.767%
Standard Deviation	12.386%
Sample Variance	153.408%
峰度	71.16
偏度	6.45
Range	199.951%
Minimum	2.581%
Maximum	202.532%
Count	1055

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.670%	1055	100.00%	12.670%
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 3.32. Further, an Excess 峰度 of 31.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.77%	3	0.28%	0.28%
-29.77% to -22.24%	5	0.47%	0.76%
-22.24% to -14.72%	23	2.18%	2.94%
-14.72% to -7.19%	102	9.67%	12.61%
-7.19% to 0.34%	446	42.27%	54.88%
0.34% to 7.87%	356	33.74%	88.63%
7.87% to 15.40%	73	6.92%	95.55%
15.40% to 22.92%	17	1.61%	97.16%
22.92% to 30.45%	14	1.33%	98.48%
Greater than 30.45%	16	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.70%	10.38%	85.40%	68.27%
±2σ	-19.73%	20.41%	95.73%	95.45%
±3σ	-29.77%	30.45%	98.20%	99.73%

Descriptive Statistics

均值	0.340%
Standard Error	0.309%
中位数	-0.471%
Mode	0.000%
Standard Deviation	10.037%
Sample Variance	100.740%
峰度	31.07
偏度	3.32
Range	154.847%
Minimum	-44.620%
Maximum	110.227%
Count	1055

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.810%	494	46.83%	3.189%
负向	-5.405%	556	52.70%	-2.848%
Zero	0.000%	5	0.47%	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 0.81. Further, an Excess 峰度 of 4.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -49.39%	1	0.41%	0.41%
-49.39% to -36.48%	3	1.24%	1.65%
-36.48% to -23.56%	9	3.72%	5.37%
-23.56% to -10.65%	25	10.33%	15.70%
-10.65% to 2.27%	91	37.60%	53.31%
2.27% to 15.18%	73	30.17%	83.47%
15.18% to 28.09%	28	11.57%	95.04%
28.09% to 41.01%	6	2.48%	97.52%
41.01% to 53.92%	4	1.65%	99.17%
Greater than 53.92%	2	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.95%	19.48%	78.51%	68.27%
±2σ	-32.17%	36.70%	95.04%	95.45%
±3σ	-49.39%	53.92%	98.76%	99.73%

Descriptive Statistics

均值	2.265%
Standard Error	1.107%
中位数	1.058%
Mode	-49.402%
Standard Deviation	17.218%
Sample Variance	296.457%
峰度	4.83
偏度	0.81
Range	138.478%
Minimum	-49.402%
Maximum	89.076%
Count	242

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.379%	130	53.72%	7.187%
负向	-10.730%	111	45.87%	-4.922%
Zero	0.000%	1	0.41%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.28%
12	1 Year	19.42%
36	3 Years	20.08%
60	5 Years	22.56%
120	10 Years	23.05%
240	20 Years	25.25%
600	50 Years	25.26%

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 5.94. Further, an Excess 峰度 of 48.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.67%	0	0.00%	0.00%
-65.67% to -41.59%	0	0.00%	0.00%
-41.59% to -17.50%	0	0.00%	0.00%
-17.50% to 6.59%	2	0.82%	0.82%
6.59% to 30.68%	173	71.19%	72.02%
30.68% to 54.77%	46	18.93%	90.95%
54.77% to 78.85%	12	4.94%	95.88%
78.85% to 102.94%	3	1.23%	97.12%
102.94% to 127.03%	4	1.65%	98.77%
Greater than 127.03%	3	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.44%	62.79%	94.65%	68.27%
±2σ	-33.56%	94.91%	96.30%	95.45%
±3σ	-65.67%	127.03%	98.77%	99.73%

Descriptive Statistics

均值	30.677%
Standard Error	2.060%
中位数	23.457%
Mode	6.209%
Standard Deviation	32.117%
Sample Variance	1031.529%
峰度	48.81
偏度	5.94
Range	345.690%
Minimum	6.209%
Maximum	351.899%
Count	243

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.677%	243	100.00%	30.677%
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 1.69. Further, an Excess 峰度 of 6.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.82%	0	0.00%	0.00%
-52.82% to -39.45%	2	0.82%	0.82%
-39.45% to -26.07%	5	2.06%	2.88%
-26.07% to -12.70%	34	13.99%	16.87%
-12.70% to 0.68%	97	39.92%	56.79%
0.68% to 14.05%	72	29.63%	86.42%
14.05% to 27.43%	17	7.00%	93.42%
27.43% to 40.80%	9	3.70%	97.12%
40.80% to 54.18%	3	1.23%	98.35%
Greater than 54.18%	4	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.15%	18.51%	79.84%	68.27%
±2σ	-34.99%	36.34%	95.06%	95.45%
±3σ	-52.82%	54.18%	98.35%	99.73%

Descriptive Statistics

均值	0.678%
Standard Error	1.144%
中位数	-0.805%
Mode	5.081%
Standard Deviation	17.833%
Sample Variance	318.019%
峰度	6.94
偏度	1.69
Range	150.866%
Minimum	-45.354%
Maximum	105.512%
Count	243

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.937%	111	45.68%	6.366%
负向	-10.551%	131	53.91%	-5.688%
Zero	0.000%	1	0.41%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.28. Further, an Excess 峰度 of 0.65 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -92.19%	0	0.00%	0.00%
-92.19% to -67.13%	1	1.25%	1.25%
-67.13% to -42.08%	5	6.25%	7.50%
-42.08% to -17.02%	12	15.00%	22.50%
-17.02% to 8.03%	22	27.50%	50.00%
8.03% to 33.08%	25	31.25%	81.25%
33.08% to 58.14%	11	13.75%	95.00%
58.14% to 83.19%	2	2.50%	97.50%
83.19% to 108.25%	1	1.25%	98.75%
Greater than 108.25%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.38%	41.44%	71.25%	68.27%
±2σ	-58.78%	74.84%	95.00%	95.45%
±3σ	-92.19%	108.25%	98.75%	99.73%

Descriptive Statistics

均值	8.030%
Standard Error	3.735%
中位数	7.942%
Mode	-70.652%
Standard Deviation	33.405%
Sample Variance	1115.884%
峰度	0.65
偏度	0.28
Range	182.964%
Minimum	-70.652%
Maximum	112.312%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.964%	48	60.00%	17.378%
负向	-23.371%	32	40.00%	-9.348%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	32.57%
12	3 Years	32.30%
20	5 Years	37.72%
40	10 Years	41.74%
80	20 Years	46.80%
200	50 Years	46.80%

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 3.04. Further, an Excess 峰度 of 9.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -133.87%	0	0.00%	0.00%
-133.87% to -83.57%	0	0.00%	0.00%
-83.57% to -33.26%	0	0.00%	0.00%
-33.26% to 17.05%	2	2.47%	2.47%
17.05% to 67.36%	57	70.37%	72.84%
67.36% to 117.67%	13	16.05%	88.89%
117.67% to 167.97%	4	4.94%	93.83%
167.97% to 218.28%	1	1.23%	95.06%
218.28% to 268.59%	1	1.23%	96.30%
Greater than 268.59%	3	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.28%	134.43%	91.36%	68.27%
±2σ	-66.80%	201.51%	95.06%	95.45%
±3σ	-133.87%	268.59%	96.30%	99.73%

Descriptive Statistics

均值	67.357%
Standard Error	7.453%
中位数	46.113%
Mode	14.488%
Standard Deviation	67.077%
Sample Variance	4499.314%
峰度	9.97
偏度	3.04
Range	359.083%
Minimum	14.488%
Maximum	373.571%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	67.357%	81	100.00%	67.357%
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 2.85. Further, an Excess 峰度 of 12.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -127.18%	0	0.00%	0.00%
-127.18% to -94.42%	0	0.00%	0.00%
-94.42% to -61.67%	0	0.00%	0.00%
-61.67% to -28.91%	9	11.11%	11.11%
-28.91% to 3.85%	44	54.32%	65.43%
3.85% to 36.61%	16	19.75%	85.19%
36.61% to 69.37%	7	8.64%	93.83%
69.37% to 102.13%	2	2.47%	96.30%
102.13% to 134.88%	2	2.47%	98.77%
Greater than 134.88%	1	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-39.83%	47.53%	82.72%	68.27%
±2σ	-83.50%	91.21%	96.30%	95.45%
±3σ	-127.18%	134.88%	98.77%	99.73%

Descriptive Statistics

均值	3.851%
Standard Error	4.853%
中位数	-6.742%
Mode	-53.195%
Standard Deviation	43.678%
Sample Variance	1907.810%
峰度	12.10
偏度	2.85
Range	300.893%
Minimum	-53.195%
Maximum	247.698%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.494%	33	40.74%	15.683%
负向	-19.967%	48	59.26%	-11.832%
Zero	0.000%	0	0.00%	0.000%

CROX 深度分析报告