CSIQ 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	4.69%	3.90%	4.10%	6.01%	6.04%	6.13%	13.29	15.00	12.51	15.93
周度	11.00%	10.92%	10.84%	14.38%	13.30%	13.50%	12.36	16.13	10.82	18.42
月度	22.13%	28.71%	22.00%	29.12%	27.68%	28.11%	10.71	18.62	8.12	24.56
季度	38.59%	58.14%	40.90%	49.20%	47.94%	48.68%	8.74	22.81	5.41	36.84
Annual	—	—	—	—	95.89%	97.36%	5.41	36.84	2.07	96.09
Option Time Horizon	—	—	—	—	36.54%	37.10%	9.80	20.35	6.80	29.32

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $14.12 | Strike (K): $15.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.7500 (Bid $1.6500 / Ask $1.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 95.89% (CRR binomial tree, American, n=20 steps) | BS IV: 96.89% (European Black-Scholes) | Yahoo IV (Annual): 97.36% → 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 0.43. Further, an Excess 峰度 of 4.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.97%	36	0.74%	0.74%
-13.97% to -10.46%	49	1.00%	1.74%
-10.46% to -6.93%	155	3.17%	4.91%
-6.93% to -3.41%	553	11.30%	16.21%
-3.41% to 0.11%	1720	35.16%	51.37%
0.11% to 3.63%	1568	32.05%	83.42%
3.63% to 7.15%	529	10.81%	94.24%
7.15% to 10.67%	162	3.31%	97.55%
10.67% to 14.19%	64	1.31%	98.86%
Greater than 14.19%	56	1.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.59%	4.80%	78.03%	68.27%
±2σ	-9.28%	9.49%	94.48%	95.45%
±3σ	-13.98%	14.19%	98.12%	99.73%

Descriptive Statistics

均值	0.107%
Standard Error	0.067%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.694%
Sample Variance	22.037%
峰度	4.56
偏度	0.43
Range	60.428%
Minimum	-26.944%
Maximum	33.484%
Count	4892

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.423%	2417	49.41%	1.691%
负向	-3.192%	2427	49.61%	-1.584%
Zero	0.000%	48	0.98%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.74%
20	1 Month	6.78%
60	1 Quarter	7.48%
250	1 Year	7.87%
750	3 Years	6.37%
1,250	5 Years	6.01%
2,500	10 Years	5.35%
5,000	20 Years	6.28%
12,500	50 Years	6.28%

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 2.71. Further, an Excess 峰度 of 12.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.57%	0	0.00%	0.00%
-5.57% to -2.65%	0	0.00%	0.00%
-2.65% to 0.28%	0	0.00%	0.00%
0.28% to 3.20%	837	17.11%	17.11%
3.20% to 6.13%	2255	46.09%	63.19%
6.13% to 9.06%	1040	21.25%	84.45%
9.06% to 11.98%	435	8.89%	93.34%
11.98% to 14.91%	168	3.43%	96.77%
14.91% to 17.83%	67	1.37%	98.14%
Greater than 17.83%	91	1.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.23%	10.03%	84.73%	68.27%
±2σ	-1.67%	13.93%	95.71%	95.45%
±3σ	-5.57%	17.83%	98.14%	99.73%

Descriptive Statistics

均值	6.130%
Standard Error	0.056%
中位数	5.100%
Mode	5.000%
Standard Deviation	3.901%
Sample Variance	15.220%
峰度	12.40
偏度	2.71
Range	41.729%
Minimum	1.059%
Maximum	42.788%
Count	4893

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.130%	4893	100.00%	6.130%
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 3.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.02%	37	0.76%	0.76%
-12.02% to -8.95%	49	1.00%	1.76%
-8.95% to -5.87%	172	3.52%	5.27%
-5.87% to -2.80%	599	12.24%	17.51%
-2.80% to 0.27%	1617	33.05%	50.56%
0.27% to 3.34%	1566	32.00%	82.57%
3.34% to 6.42%	579	11.83%	94.40%
6.42% to 9.49%	164	3.35%	97.75%
9.49% to 12.56%	65	1.33%	99.08%
Greater than 12.56%	45	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.83%	4.37%	76.86%	68.27%
±2σ	-7.92%	8.46%	94.62%	95.45%
±3σ	-12.02%	12.56%	98.32%	99.73%

Descriptive Statistics

均值	0.271%
Standard Error	0.059%
中位数	0.224%
Mode	0.000%
Standard Deviation	4.096%
Sample Variance	16.779%
峰度	3.50
偏度	0.18
Range	48.429%
Minimum	-20.448%
Maximum	27.981%
Count	4893

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.079%	2544	51.99%	1.601%
负向	-2.832%	2298	46.97%	-1.330%
Zero	0.000%	51	1.04%	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 3.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.43%	2	0.20%	0.20%
-32.43% to -24.18%	10	0.99%	1.18%
-24.18% to -15.93%	41	4.04%	5.22%
-15.93% to -7.67%	142	13.99%	19.21%
-7.67% to 0.58%	339	33.40%	52.61%
0.58% to 8.83%	303	29.85%	82.46%
8.83% to 17.09%	118	11.63%	94.09%
17.09% to 25.34%	34	3.35%	97.44%
25.34% to 33.59%	14	1.38%	98.82%
Greater than 33.59%	12	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.42%	11.58%	75.86%	68.27%
±2σ	-21.43%	22.59%	94.78%	95.45%
±3σ	-32.43%	33.59%	98.62%	99.73%

Descriptive Statistics

均值	0.580%
Standard Error	0.345%
中位数	0.165%
Mode	0.000%
Standard Deviation	11.004%
Sample Variance	121.089%
峰度	3.51
偏度	0.81
Range	100.623%
Minimum	-37.200%
Maximum	63.423%
Count	1015

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.410%	515	50.74%	4.267%
负向	-7.546%	496	48.87%	-3.688%
Zero	0.000%	4	0.39%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.70%
12	1 Quarter	16.61%
52	1 Year	18.88%
156	3 Years	15.53%
260	5 Years	14.38%
520	10 Years	12.74%
1,040	20 Years	15.00%
2,600	50 Years	15.00%

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 2.51. Further, an Excess 峰度 of 9.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.43%	0	0.00%	0.00%
-16.43% to -8.24%	0	0.00%	0.00%
-8.24% to -0.05%	0	0.00%	0.00%
-0.05% to 8.14%	165	16.24%	16.24%
8.14% to 16.33%	473	46.56%	62.80%
16.33% to 24.52%	230	22.64%	85.43%
24.52% to 32.71%	79	7.78%	93.21%
32.71% to 40.90%	35	3.44%	96.65%
40.90% to 49.09%	12	1.18%	97.83%
Greater than 49.09%	22	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.41%	27.25%	85.04%	68.27%
±2σ	-5.51%	38.17%	95.57%	95.45%
±3σ	-16.43%	49.09%	97.83%	99.73%

Descriptive Statistics

均值	16.331%
Standard Error	0.343%
中位数	13.298%
Mode	4.716%
Standard Deviation	10.919%
Sample Variance	119.233%
峰度	9.54
偏度	2.51
Range	90.141%
Minimum	2.464%
Maximum	92.605%
Count	1016

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.331%	1016	100.00%	16.331%
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 0.56. Further, an Excess 峰度 of 2.63 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.67%	7	0.69%	0.69%
-31.67% to -23.54%	8	0.79%	1.48%
-23.54% to -15.41%	31	3.05%	4.53%
-15.41% to -7.28%	144	14.17%	18.70%
-7.28% to 0.84%	358	35.24%	53.94%
0.84% to 8.97%	288	28.35%	82.28%
8.97% to 17.10%	113	11.12%	93.41%
17.10% to 25.23%	42	4.13%	97.54%
25.23% to 33.35%	15	1.48%	99.02%
Greater than 33.35%	10	0.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.99%	11.68%	75.98%	68.27%
±2σ	-20.83%	22.52%	94.19%	95.45%
±3σ	-31.67%	33.35%	98.33%	99.73%

Descriptive Statistics

均值	0.844%
Standard Error	0.340%
中位数	0.000%
Mode	-8.728%
Standard Deviation	10.837%
Sample Variance	117.450%
峰度	2.63
偏度	0.56
Range	90.972%
Minimum	-37.596%
Maximum	53.376%
Count	1016

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.710%	507	49.90%	4.346%
负向	-7.018%	507	49.90%	-3.502%
Zero	0.000%	2	0.20%	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 0.94. Further, an Excess 峰度 of 1.91 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.09%	0	0.00%	0.00%
-64.09% to -47.49%	1	0.43%	0.43%
-47.49% to -30.89%	5	2.15%	2.58%
-30.89% to -14.29%	45	19.31%	21.89%
-14.29% to 2.31%	78	33.48%	55.36%
2.31% to 18.91%	60	25.75%	81.12%
18.91% to 35.51%	27	11.59%	92.70%
35.51% to 52.12%	12	5.15%	97.85%
52.12% to 68.72%	3	1.29%	99.14%
Greater than 68.72%	2	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.82%	24.45%	72.53%	68.27%
±2σ	-41.95%	46.58%	94.85%	95.45%
±3σ	-64.09%	68.72%	99.14%	99.73%

Descriptive Statistics

均值	2.313%
Standard Error	1.450%
中位数	-0.412%
Mode	-50.435%
Standard Deviation	22.134%
Sample Variance	489.921%
峰度	1.91
偏度	0.94
Range	152.420%
Minimum	-50.435%
Maximum	101.985%
Count	233

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.287%	115	49.36%	9.519%
负向	-14.352%	117	50.22%	-7.207%
Zero	0.000%	1	0.43%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	30.31%
12	1 Year	35.80%
36	3 Years	30.76%
60	5 Years	29.12%
120	10 Years	26.70%
240	20 Years	32.40%
600	50 Years	32.40%

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 5.01. Further, an Excess 峰度 of 40.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.13%	0	0.00%	0.00%
-46.13% to -24.60%	0	0.00%	0.00%
-24.60% to -3.07%	0	0.00%	0.00%
-3.07% to 18.47%	30	12.82%	12.82%
18.47% to 40.00%	122	52.14%	64.96%
40.00% to 61.53%	56	23.93%	88.89%
61.53% to 83.06%	12	5.13%	94.02%
83.06% to 104.59%	9	3.85%	97.86%
104.59% to 126.12%	3	1.28%	99.15%
Greater than 126.12%	2	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.29%	68.71%	90.60%	68.27%
±2σ	-17.42%	97.42%	97.01%	95.45%
±3σ	-46.13%	126.12%	99.15%	99.73%

Descriptive Statistics

均值	39.998%
Standard Error	1.877%
中位数	35.052%
Mode	28.846%
Standard Deviation	28.709%
Sample Variance	824.223%
峰度	40.57
偏度	5.01
Range	307.657%
Minimum	10.028%
Maximum	317.685%
Count	234

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.998%	234	100.00%	39.998%
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 0.94. Further, an Excess 峰度 of 3.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -63.34%	0	0.00%	0.00%
-63.34% to -46.84%	1	0.43%	0.43%
-46.84% to -30.34%	10	4.27%	4.70%
-30.34% to -13.85%	42	17.95%	22.65%
-13.85% to 2.65%	66	28.21%	50.85%
2.65% to 19.15%	70	29.91%	80.77%
19.15% to 35.65%	34	14.53%	95.30%
35.65% to 52.15%	6	2.56%	97.86%
52.15% to 68.64%	2	0.85%	98.72%
Greater than 68.64%	3	1.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.34%	24.65%	71.79%	68.27%
±2σ	-41.34%	46.65%	96.15%	95.45%
±3σ	-63.34%	68.64%	98.72%	99.73%

Descriptive Statistics

均值	2.652%
Standard Error	1.438%
中位数	1.494%
Mode	8.451%
Standard Deviation	21.997%
Sample Variance	483.855%
峰度	3.10
偏度	0.94
Range	161.575%
Minimum	-49.282%
Maximum	112.293%
Count	234

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.862%	120	51.28%	9.673%
负向	-14.538%	113	48.29%	-7.021%
Zero	0.000%	1	0.43%	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 1.39. Further, an Excess 峰度 of 3.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -109.32%	0	0.00%	0.00%
-109.32% to -80.38%	0	0.00%	0.00%
-80.38% to -51.43%	2	2.60%	2.60%
-51.43% to -22.49%	13	16.88%	19.48%
-22.49% to 6.45%	34	44.16%	63.64%
6.45% to 35.40%	15	19.48%	83.12%
35.40% to 64.34%	6	7.79%	90.91%
64.34% to 93.28%	5	6.49%	97.40%
93.28% to 122.23%	1	1.30%	98.70%
Greater than 122.23%	1	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.14%	45.05%	76.62%	68.27%
±2σ	-70.73%	83.64%	97.40%	95.45%
±3σ	-109.32%	122.23%	98.70%	99.73%

Descriptive Statistics

均值	6.454%
Standard Error	4.398%
中位数	-2.401%
Mode	-66.354%
Standard Deviation	38.591%
Sample Variance	1489.273%
峰度	3.21
偏度	1.39
Range	229.054%
Minimum	-66.354%
Maximum	162.700%
Count	77

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.011%	37	48.05%	16.823%
负向	-19.962%	40	51.95%	-10.370%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	71.89%
12	3 Years	53.96%
20	5 Years	49.20%
40	10 Years	47.03%
80	20 Years	58.87%
200	50 Years	58.87%

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 2.68. Further, an Excess 峰度 of 9.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -92.15%	0	0.00%	0.00%
-92.15% to -48.55%	0	0.00%	0.00%
-48.55% to -4.94%	0	0.00%	0.00%
-4.94% to 38.67%	12	15.38%	15.38%
38.67% to 82.27%	39	50.00%	65.38%
82.27% to 125.88%	16	20.51%	85.90%
125.88% to 169.49%	6	7.69%	93.59%
169.49% to 213.09%	2	2.56%	96.15%
213.09% to 256.70%	1	1.28%	97.44%
Greater than 256.70%	2	2.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.13%	140.41%	85.90%	68.27%
±2σ	-34.01%	198.56%	94.87%	95.45%
±3σ	-92.15%	256.70%	97.44%	99.73%

Descriptive Statistics

均值	82.273%
Standard Error	6.583%
中位数	70.406%
Mode	20.755%
Standard Deviation	58.142%
Sample Variance	3380.518%
峰度	9.27
偏度	2.68
Range	340.912%
Minimum	20.755%
Maximum	361.667%
Count	78

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	82.273%	78	100.00%	82.273%
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 2.01. Further, an Excess 峰度 of 7.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -115.66%	0	0.00%	0.00%
-115.66% to -84.98%	0	0.00%	0.00%
-84.98% to -54.31%	1	1.28%	1.28%
-54.31% to -23.64%	13	16.67%	17.95%
-23.64% to 7.04%	28	35.90%	53.85%
7.04% to 37.71%	25	32.05%	85.90%
37.71% to 68.39%	7	8.97%	94.87%
68.39% to 99.06%	2	2.56%	97.44%
99.06% to 129.74%	0	0.00%	97.44%
Greater than 129.74%	2	2.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.86%	47.94%	79.49%	68.27%
±2σ	-74.76%	88.84%	97.44%	95.45%
±3σ	-115.66%	129.74%	97.44%	99.73%

Descriptive Statistics

均值	7.039%
Standard Error	4.631%
中位数	2.942%
Mode	8.230%
Standard Deviation	40.899%
Sample Variance	1672.754%
峰度	7.41
偏度	2.01
Range	261.994%
Minimum	-62.407%
Maximum	199.587%
Count	78

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.716%	44	56.41%	17.327%
负向	-23.602%	34	43.59%	-10.288%
Zero	0.000%	0	0.00%	0.000%

CSIQ 深度分析报告