CTRM 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	6.41%	11.51%	5.50%	6.01%	6.23%	6.27%	1.81	2.05	1.70	2.19
周度	12.58%	31.61%	13.82%	13.48%	13.71%	13.81%	1.68	2.21	1.47	2.54
月度	33.22%	75.68%	26.01%	28.58%	28.54%	28.75%	1.45	2.57	1.09	3.42
季度	88.61%	152.91%	66.99%	52.20%	49.44%	49.80%	1.18	3.16	0.72	5.19
Annual	—	—	—	—	98.88%	99.61%	0.72	5.19	0.27	13.94
Option Time Horizon	—	—	—	—	37.68%	37.96%	1.32	2.81	0.91	4.10

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $1.93 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.1250 (Bid $0.0500 / Ask $0.2000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 98.88% (CRR binomial tree, American, n=20 steps) | BS IV: 99.91% (European Black-Scholes) | Yahoo IV (Annual): 99.61% → 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 4.41. Further, an Excess 峰度 of 62.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.35%	7	0.39%	0.39%
-19.35% to -14.55%	12	0.67%	1.06%
-14.55% to -9.74%	32	1.78%	2.84%
-9.74% to -4.93%	149	8.31%	11.15%
-4.93% to -0.13%	774	43.17%	54.32%
-0.13% to 4.68%	638	35.58%	89.91%
4.68% to 9.49%	114	6.36%	96.26%
9.49% to 14.29%	35	1.95%	98.22%
14.29% to 19.10%	14	0.78%	99.00%
Greater than 19.10%	18	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.54%	6.28%	85.89%	68.27%
±2σ	-12.95%	12.69%	96.32%	95.45%
±3σ	-19.35%	19.10%	98.61%	99.73%

Descriptive Statistics

均值	-0.127%
Standard Error	0.151%
中位数	-0.559%
Mode	0.000%
Standard Deviation	6.409%
Sample Variance	41.078%
峰度	62.10
偏度	4.41
Range	139.365%
Minimum	-32.222%
Maximum	107.143%
Count	1793

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.309%	734	40.94%	1.764%
负向	-3.481%	974	54.32%	-1.891%
Zero	0.000%	85	4.74%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.92%
20	1 Month	5.42%
60	1 Quarter	5.40%
250	1 Year	4.68%
750	3 Years	5.42%
1,250	5 Years	6.01%
2,500	10 Years	8.15%
5,000	20 Years	8.15%
12,500	50 Years	8.15%

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 12.33. Further, an Excess 峰度 of 239.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.23%	0	0.00%	0.00%
-26.23% to -17.60%	0	0.00%	0.00%
-17.60% to -8.97%	0	0.00%	0.00%
-8.97% to -0.34%	0	0.00%	0.00%
-0.34% to 8.29%	1268	70.68%	70.68%
8.29% to 16.93%	396	22.07%	92.75%
16.93% to 25.56%	82	4.57%	97.32%
25.56% to 34.19%	19	1.06%	98.38%
34.19% to 42.83%	6	0.33%	98.72%
Greater than 42.83%	23	1.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.21%	19.80%	95.04%	68.27%
±2σ	-14.72%	31.31%	98.10%	95.45%
±3σ	-26.23%	42.83%	98.72%	99.73%

Descriptive Statistics

均值	8.295%
Standard Error	0.272%
中位数	5.937%
Mode	6.667%
Standard Deviation	11.510%
Sample Variance	132.486%
峰度	239.42
偏度	12.33
Range	287.270%
Minimum	0.465%
Maximum	287.735%
Count	1794

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.295%	1794	100.00%	8.295%
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 1.12. Further, an Excess 峰度 of 26.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.05%	9	0.50%	0.50%
-16.05% to -11.92%	16	0.89%	1.39%
-11.92% to -7.80%	51	2.84%	4.24%
-7.80% to -3.67%	150	8.36%	12.60%
-3.67% to 0.45%	673	37.51%	50.11%
0.45% to 4.57%	666	37.12%	87.24%
4.57% to 8.70%	176	9.81%	97.05%
8.70% to 12.82%	32	1.78%	98.83%
12.82% to 16.94%	9	0.50%	99.33%
Greater than 16.94%	12	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.05%	5.95%	83.39%	68.27%
±2σ	-10.55%	11.45%	96.66%	95.45%
±3σ	-16.04%	16.94%	98.83%	99.73%

Descriptive Statistics

均值	0.449%
Standard Error	0.130%
中位数	0.445%
Mode	0.000%
Standard Deviation	5.498%
Sample Variance	30.225%
峰度	26.65
偏度	1.12
Range	106.965%
Minimum	-52.739%
Maximum	54.226%
Count	1794

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.544%	955	53.23%	1.887%
负向	-3.537%	729	40.63%	-1.437%
Zero	0.000%	110	6.13%	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 1.72. Further, an Excess 峰度 of 11.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.47%	2	0.53%	0.53%
-38.47% to -29.04%	2	0.53%	1.07%
-29.04% to -19.60%	7	1.87%	2.94%
-19.60% to -10.17%	46	12.30%	15.24%
-10.17% to -0.73%	138	36.90%	52.14%
-0.73% to 8.70%	130	34.76%	86.90%
8.70% to 18.14%	33	8.82%	95.72%
18.14% to 27.57%	7	1.87%	97.59%
27.57% to 37.01%	2	0.53%	98.13%
Greater than 37.01%	7	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.31%	11.85%	82.09%	68.27%
±2σ	-25.89%	24.43%	95.72%	95.45%
±3σ	-38.47%	37.01%	97.59%	99.73%

Descriptive Statistics

均值	-0.732%
Standard Error	0.650%
中位数	-1.215%
Mode	0.000%
Standard Deviation	12.579%
Sample Variance	158.239%
峰度	11.67
偏度	1.72
Range	136.352%
Minimum	-50.000%
Maximum	86.352%
Count	374

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.676%	158	42.25%	3.665%
负向	-8.022%	205	54.81%	-4.397%
Zero	0.000%	11	2.94%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.15%
12	1 Quarter	11.58%
52	1 Year	10.47%
156	3 Years	12.04%
260	5 Years	13.48%
520	10 Years	19.71%
1,040	20 Years	19.71%
2,600	50 Years	19.71%

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 6.12. Further, an Excess 峰度 of 47.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.22%	0	0.00%	0.00%
-72.22% to -48.51%	0	0.00%	0.00%
-48.51% to -24.80%	0	0.00%	0.00%
-24.80% to -1.09%	0	0.00%	0.00%
-1.09% to 22.62%	274	73.07%	73.07%
22.62% to 46.33%	74	19.73%	92.80%
46.33% to 70.04%	12	3.20%	96.00%
70.04% to 93.75%	4	1.07%	97.07%
93.75% to 117.46%	4	1.07%	98.13%
Greater than 117.46%	7	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.99%	54.23%	93.87%	68.27%
±2σ	-40.61%	85.85%	96.80%	95.45%
±3σ	-72.22%	117.46%	98.13%	99.73%

Descriptive Statistics

均值	22.620%
Standard Error	1.633%
中位数	14.579%
Mode	14.286%
Standard Deviation	31.614%
Sample Variance	999.429%
峰度	47.01
偏度	6.12
Range	304.519%
Minimum	2.970%
Maximum	307.489%
Count	375

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.620%	375	100.00%	22.620%
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 2.10. Further, an Excess 峰度 of 13.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.92%	2	0.53%	0.53%
-38.92% to -28.56%	3	0.80%	1.33%
-28.56% to -18.19%	4	1.07%	2.40%
-18.19% to -7.82%	44	11.73%	14.13%
-7.82% to 2.54%	155	41.33%	55.47%
2.54% to 12.91%	118	31.47%	86.93%
12.91% to 23.28%	31	8.27%	95.20%
23.28% to 33.65%	8	2.13%	97.33%
33.65% to 44.01%	5	1.33%	98.67%
Greater than 44.01%	5	1.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.28%	16.37%	83.20%	68.27%
±2σ	-25.10%	30.19%	95.47%	95.45%
±3σ	-38.93%	44.01%	98.13%	99.73%

Descriptive Statistics

均值	2.544%
Standard Error	0.714%
中位数	1.290%
Mode	0.000%
Standard Deviation	13.823%
Sample Variance	191.072%
峰度	13.05
偏度	2.10
Range	145.235%
Minimum	-44.789%
Maximum	100.446%
Count	375

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.106%	207	55.20%	5.579%
负向	-7.201%	158	42.13%	-3.034%
Zero	0.000%	10	2.67%	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 4.47. Further, an Excess 峰度 of 30.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -102.30%	0	0.00%	0.00%
-102.30% to -77.38%	0	0.00%	0.00%
-77.38% to -52.47%	0	0.00%	0.00%
-52.47% to -27.56%	10	11.63%	11.63%
-27.56% to -2.65%	38	44.19%	55.81%
-2.65% to 22.27%	30	34.88%	90.70%
22.27% to 47.18%	5	5.81%	96.51%
47.18% to 72.09%	2	2.33%	98.84%
72.09% to 97.00%	0	0.00%	98.84%
Greater than 97.00%	1	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.86%	30.57%	84.88%	68.27%
±2σ	-69.08%	63.79%	98.84%	95.45%
±3σ	-102.30%	97.00%	98.84%	99.73%

Descriptive Statistics

均值	-2.646%
Standard Error	3.582%
中位数	-5.744%
Mode	-49.000%
Standard Deviation	33.217%
Sample Variance	1103.399%
峰度	30.62
偏度	4.47
Range	284.135%
Minimum	-49.000%
Maximum	235.135%
Count	86

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.357%	29	33.72%	8.213%
负向	-16.677%	56	65.12%	-10.859%
Zero	0.000%	1	1.16%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.41%
12	1 Year	19.29%
36	3 Years	24.26%
60	5 Years	28.58%
120	10 Years	46.10%
240	20 Years	46.10%
600	50 Years	46.10%

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 3.80. Further, an Excess 峰度 of 15.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -167.40%	0	0.00%	0.00%
-167.40% to -110.64%	0	0.00%	0.00%
-110.64% to -53.88%	0	0.00%	0.00%
-53.88% to 2.87%	0	0.00%	0.00%
2.87% to 59.63%	63	72.41%	72.41%
59.63% to 116.39%	17	19.54%	91.95%
116.39% to 173.15%	3	3.45%	95.40%
173.15% to 229.91%	1	1.15%	96.55%
229.91% to 286.67%	0	0.00%	96.55%
Greater than 286.67%	3	3.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.05%	135.31%	93.10%	68.27%
±2σ	-91.72%	210.99%	95.40%	95.45%
±3σ	-167.40%	286.67%	96.55%	99.73%

Descriptive Statistics

均值	59.632%
Standard Error	8.113%
中位数	40.594%
Mode	31.579%
Standard Deviation	75.678%
Sample Variance	5727.110%
峰度	15.58
偏度	3.80
Range	430.723%
Minimum	8.696%
Maximum	439.419%
Count	87

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	59.632%	87	100.00%	59.632%
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 0.43. Further, an Excess 峰度 of 1.05 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.93%	1	1.15%	1.15%
-67.93% to -48.42%	0	0.00%	1.15%
-48.42% to -28.91%	2	2.30%	3.45%
-28.91% to -9.40%	11	12.64%	16.09%
-9.40% to 10.11%	36	41.38%	57.47%
10.11% to 29.61%	18	20.69%	78.16%
29.61% to 49.12%	11	12.64%	90.80%
49.12% to 68.63%	7	8.05%	98.85%
68.63% to 88.14%	0	0.00%	98.85%
Greater than 88.14%	1	1.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.90%	36.12%	75.86%	68.27%
±2σ	-41.92%	62.13%	93.10%	95.45%
±3σ	-67.93%	88.14%	97.70%	99.73%

Descriptive Statistics

均值	10.106%
Standard Error	2.789%
中位数	4.563%
Mode	-69.355%
Standard Deviation	26.011%
Sample Variance	676.576%
峰度	1.05
偏度	0.43
Range	160.531%
Minimum	-69.355%
Maximum	91.176%
Count	87

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.843%	55	63.22%	15.073%
负向	-13.506%	32	36.78%	-4.968%
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 4.03. Further, an Excess 峰度 of 18.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -267.41%	0	0.00%	0.00%
-267.41% to -200.95%	0	0.00%	0.00%
-200.95% to -134.49%	0	0.00%	0.00%
-134.49% to -68.03%	1	3.57%	3.57%
-68.03% to -1.57%	18	64.29%	67.86%
-1.57% to 64.89%	7	25.00%	92.86%
64.89% to 131.35%	1	3.57%	96.43%
131.35% to 197.81%	0	0.00%	96.43%
197.81% to 264.27%	0	0.00%	96.43%
Greater than 264.27%	1	3.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-90.19%	87.04%	96.43%	68.27%
±2σ	-178.80%	175.66%	96.43%	95.45%
±3σ	-267.41%	264.27%	96.43%	99.73%

Descriptive Statistics

均值	-1.572%
Standard Error	16.746%
中位数	-21.482%
Mode	-70.088%
Standard Deviation	88.614%
Sample Variance	7852.375%
峰度	18.76
偏度	4.03
Range	482.485%
Minimum	-70.088%
Maximum	412.397%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	80.294%	8	28.57%	22.941%
负向	-34.318%	20	71.43%	-24.513%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	28.67%
12	3 Years	45.29%
20	5 Years	52.20%
40	10 Years	88.70%
80	20 Years	88.70%
200	50 Years	88.70%

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 1.93. Further, an Excess 峰度 of 3.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -307.12%	0	0.00%	0.00%
-307.12% to -192.43%	0	0.00%	0.00%
-192.43% to -77.75%	0	0.00%	0.00%
-77.75% to 36.94%	2	6.90%	6.90%
36.94% to 151.62%	19	65.52%	72.41%
151.62% to 266.31%	3	10.34%	82.76%
266.31% to 380.99%	3	10.34%	93.10%
380.99% to 495.67%	1	3.45%	96.55%
495.67% to 610.36%	0	0.00%	96.55%
Greater than 610.36%	1	3.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.29%	304.53%	82.76%	68.27%
±2σ	-154.20%	457.45%	96.55%	95.45%
±3σ	-307.12%	610.36%	96.55%	99.73%

Descriptive Statistics

均值	151.621%
Standard Error	28.395%
中位数	81.558%
Mode	18.848%
Standard Deviation	152.912%
Sample Variance	23382.008%
峰度	3.71
偏度	1.93
Range	650.383%
Minimum	18.848%
Maximum	669.231%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	151.621%	29	100.00%	151.621%
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 0.95. Further, an Excess 峰度 of 1.21 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -161.88%	0	0.00%	0.00%
-161.88% to -111.64%	0	0.00%	0.00%
-111.64% to -61.39%	1	3.45%	3.45%
-61.39% to -11.15%	5	17.24%	20.69%
-11.15% to 39.10%	11	37.93%	58.62%
39.10% to 89.34%	6	20.69%	79.31%
89.34% to 139.59%	3	10.34%	89.66%
139.59% to 189.83%	2	6.90%	96.55%
189.83% to 240.08%	1	3.45%	100.00%
Greater than 240.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.89%	106.09%	75.86%	68.27%
±2σ	-94.89%	173.08%	93.10%	95.45%
±3σ	-161.88%	240.08%	100.00%	99.73%

Descriptive Statistics

均值	39.098%
Standard Error	12.440%
中位数	30.081%
Mode	-80.645%
Standard Deviation	66.993%
Sample Variance	4488.052%
峰度	1.21
偏度	0.95
Range	303.684%
Minimum	-80.645%
Maximum	223.039%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	65.041%	21	72.41%	47.099%
负向	-29.003%	8	27.59%	-8.001%
Zero	0.000%	0	0.00%	0.000%

CTRM 深度分析报告