CTXR 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	6.71%	9.59%	6.55%	8.65%	11.03%	10.83%	0.68	0.85	0.61	0.94
周度	14.53%	24.36%	14.65%	20.11%	24.28%	23.83%	0.59	0.97	0.47	1.23
月度	29.40%	62.94%	31.42%	44.61%	50.54%	49.62%	0.46	1.26	0.28	2.08
季度	41.56%	101.48%	67.00%	73.05%	87.55%	85.94%	0.32	1.82	0.13	4.36
Annual	—	—	—	—	175.09%	171.88%	0.13	4.36	0.02	25.14
Option Time Horizon	—	—	—	—	66.09%	64.87%	0.39	1.47	0.20	2.84

Calculation Notes: Computed at 2026-03-23T17:46 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot 价格 (S): $0.76 | Strike (K): $1.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.1250 (Bid $0.1000 / Ask $0.1500) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 175.09% (CRR binomial tree, American, n=20 steps) | BS IV: 173.75% (European Black-Scholes) | Yahoo IV (Annual): 171.88% → 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 1.17. Further, an Excess 峰度 of 12.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.18%	17	0.68%	0.68%
-20.18% to -15.15%	16	0.64%	1.33%
-15.15% to -10.11%	73	2.93%	4.26%
-10.11% to -5.07%	258	10.37%	14.62%
-5.07% to -0.04%	923	37.08%	51.71%
-0.04% to 5.00%	827	33.23%	84.93%
5.00% to 10.04%	237	9.52%	94.46%
10.04% to 15.07%	90	3.62%	98.07%
15.07% to 20.11%	24	0.96%	99.04%
Greater than 20.11%	24	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.75%	6.68%	80.35%	68.27%
±2σ	-13.47%	13.39%	95.38%	95.45%
±3σ	-20.18%	20.11%	98.35%	99.73%

Descriptive Statistics

均值	-0.037%
Standard Error	0.135%
中位数	-0.407%
Mode	0.000%
Standard Deviation	6.715%
Sample Variance	45.090%
峰度	12.28
偏度	1.17
Range	109.378%
Minimum	-39.024%
Maximum	70.354%
Count	2489

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.136%	1063	42.71%	2.193%
负向	-4.310%	1288	51.75%	-2.230%
Zero	0.000%	138	5.54%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	14.14%
20	1 Month	10.67%
60	1 Quarter	10.67%
250	1 Year	11.37%
750	3 Years	9.80%
1,250	5 Years	8.65%
2,500	10 Years	9.83%
5,000	20 Years	9.83%
12,500	50 Years	9.83%

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 6.20. Further, an Excess 峰度 of 73.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.72%	0	0.00%	0.00%
-18.72% to -11.52%	0	0.00%	0.00%
-11.52% to -4.33%	0	0.00%	0.00%
-4.33% to 2.86%	136	5.46%	5.46%
2.86% to 10.05%	1528	61.37%	66.83%
10.05% to 17.25%	534	21.45%	88.27%
17.25% to 24.44%	164	6.59%	94.86%
24.44% to 31.63%	61	2.45%	97.31%
31.63% to 38.82%	25	1.00%	98.31%
Greater than 38.82%	42	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.46%	19.64%	91.16%	68.27%
±2σ	-9.13%	29.23%	96.71%	95.45%
±3σ	-18.72%	38.82%	98.31%	99.73%

Descriptive Statistics

均值	10.054%
Standard Error	0.192%
中位数	7.570%
Mode	5.000%
Standard Deviation	9.590%
Sample Variance	91.969%
峰度	73.93
偏度	6.20
Range	170.470%
Minimum	0.118%
Maximum	170.588%
Count	2490

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.054%	2490	100.00%	10.054%
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 0.97. Further, an Excess 峰度 of 11.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.13%	18	0.72%	0.72%
-19.13% to -14.21%	21	0.84%	1.57%
-14.21% to -9.30%	79	3.17%	4.74%
-9.30% to -4.38%	271	10.88%	15.62%
-4.38% to 0.53%	888	35.66%	51.29%
0.53% to 5.45%	860	34.54%	85.82%
5.45% to 10.36%	223	8.96%	94.78%
10.36% to 15.28%	84	3.37%	98.15%
15.28% to 20.20%	26	1.04%	99.20%
Greater than 20.20%	20	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.02%	7.09%	80.12%	68.27%
±2σ	-12.58%	13.64%	95.22%	95.45%
±3σ	-19.13%	20.20%	98.47%	99.73%

Descriptive Statistics

均值	0.533%
Standard Error	0.131%
中位数	0.319%
Mode	0.000%
Standard Deviation	6.554%
Sample Variance	42.960%
峰度	11.51
偏度	0.97
Range	93.500%
Minimum	-34.000%
Maximum	59.500%
Count	2490

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.734%	1277	51.28%	2.428%
负向	-4.415%	1069	42.93%	-1.895%
Zero	0.000%	144	5.78%	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 1.20. Further, an Excess 峰度 of 5.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.76%	1	0.19%	0.19%
-43.76% to -32.87%	6	1.12%	1.30%
-32.87% to -21.97%	12	2.23%	3.54%
-21.97% to -11.08%	54	10.06%	13.59%
-11.08% to -0.18%	231	43.02%	56.61%
-0.18% to 10.71%	150	27.93%	84.54%
10.71% to 21.61%	49	9.12%	93.67%
21.61% to 32.51%	19	3.54%	97.21%
32.51% to 43.40%	8	1.49%	98.70%
Greater than 43.40%	7	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.71%	14.35%	79.89%	68.27%
±2σ	-29.23%	28.87%	94.23%	95.45%
±3σ	-43.76%	43.40%	98.51%	99.73%

Descriptive Statistics

均值	-0.181%
Standard Error	0.627%
中位数	-1.942%
Mode	0.000%
Standard Deviation	14.527%
Sample Variance	211.037%
峰度	5.45
偏度	1.20
Range	128.033%
Minimum	-50.111%
Maximum	77.922%
Count	537

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.610%	223	41.53%	4.821%
负向	-8.778%	306	56.98%	-5.002%
Zero	0.000%	8	1.49%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	25.13%
12	1 Quarter	23.88%
52	1 Year	29.72%
156	3 Years	23.34%
260	5 Years	20.11%
520	10 Years	22.38%
1,040	20 Years	22.49%
2,600	50 Years	22.49%

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 4.07. Further, an Excess 峰度 of 24.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -47.68%	0	0.00%	0.00%
-47.68% to -29.41%	0	0.00%	0.00%
-29.41% to -11.13%	0	0.00%	0.00%
-11.13% to 7.14%	35	6.51%	6.51%
7.14% to 25.41%	340	63.20%	69.70%
25.41% to 43.69%	97	18.03%	87.73%
43.69% to 61.96%	36	6.69%	94.42%
61.96% to 80.23%	13	2.42%	96.84%
80.23% to 98.51%	8	1.49%	98.33%
Greater than 98.51%	9	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.05%	49.78%	90.71%	68.27%
±2σ	-23.32%	74.14%	96.28%	95.45%
±3σ	-47.68%	98.51%	98.33%	99.73%

Descriptive Statistics

均值	25.414%
Standard Error	1.050%
中位数	18.843%
Mode	20.000%
Standard Deviation	24.365%
Sample Variance	593.675%
峰度	24.08
偏度	4.07
Range	223.628%
Minimum	0.962%
Maximum	224.590%
Count	538

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.414%	538	100.00%	25.414%
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 1.38. Further, an Excess 峰度 of 8.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.01%	2	0.37%	0.37%
-42.01% to -31.02%	6	1.12%	1.49%
-31.02% to -20.03%	18	3.35%	4.83%
-20.03% to -9.04%	65	12.08%	16.91%
-9.04% to 1.95%	184	34.20%	51.12%
1.95% to 12.94%	193	35.87%	86.99%
12.94% to 23.93%	39	7.25%	94.24%
23.93% to 34.92%	20	3.72%	97.96%
34.92% to 45.92%	5	0.93%	98.88%
Greater than 45.92%	6	1.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.70%	16.61%	78.62%	68.27%
±2σ	-27.36%	31.26%	95.35%	95.45%
±3σ	-42.01%	45.92%	98.51%	99.73%

Descriptive Statistics

均值	1.951%
Standard Error	0.632%
中位数	1.770%
Mode	0.000%
Standard Deviation	14.655%
Sample Variance	214.783%
峰度	8.59
偏度	1.38
Range	155.076%
Minimum	-45.255%
Maximum	109.821%
Count	538

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.369%	306	56.88%	5.898%
负向	-9.831%	216	40.15%	-3.947%
Zero	0.000%	16	2.97%	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 1.50. 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 -89.07%	0	0.00%	0.00%
-89.07% to -67.03%	0	0.00%	0.00%
-67.03% to -44.98%	5	3.91%	3.91%
-44.98% to -22.93%	19	14.84%	18.75%
-22.93% to -0.88%	53	41.41%	60.16%
-0.88% to 21.17%	30	23.44%	83.59%
21.17% to 43.22%	13	10.16%	93.75%
43.22% to 65.27%	4	3.12%	96.88%
65.27% to 87.31%	2	1.56%	98.44%
Greater than 87.31%	2	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.28%	28.52%	78.91%	68.27%
±2σ	-59.68%	57.92%	96.09%	95.45%
±3σ	-89.07%	87.31%	98.44%	99.73%

Descriptive Statistics

均值	-0.880%
Standard Error	2.598%
中位数	-5.614%
Mode	-11.111%
Standard Deviation	29.398%
Sample Variance	864.243%
峰度	4.83
偏度	1.50
Range	198.221%
Minimum	-64.397%
Maximum	133.824%
Count	128

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.919%	50	39.06%	10.124%
负向	-18.294%	77	60.16%	-11.005%
Zero	0.000%	1	0.78%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	45.37%
12	1 Year	61.90%
36	3 Years	50.35%
60	5 Years	44.61%
120	10 Years	50.81%
240	20 Years	50.21%
600	50 Years	50.21%

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 3.87. Further, an Excess 峰度 of 20.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -122.05%	0	0.00%	0.00%
-122.05% to -74.84%	0	0.00%	0.00%
-74.84% to -27.64%	0	0.00%	0.00%
-27.64% to 19.56%	7	5.43%	5.43%
19.56% to 66.76%	78	60.47%	65.89%
66.76% to 113.97%	29	22.48%	88.37%
113.97% to 161.17%	9	6.98%	95.35%
161.17% to 208.37%	2	1.55%	96.90%
208.37% to 255.57%	2	1.55%	98.45%
Greater than 255.57%	2	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.83%	129.70%	92.25%	68.27%
±2σ	-59.11%	192.64%	96.90%	95.45%
±3σ	-122.05%	255.57%	98.45%	99.73%

Descriptive Statistics

均值	66.763%
Standard Error	5.541%
中位数	49.275%
Mode	27.083%
Standard Deviation	62.937%
Sample Variance	3961.079%
峰度	20.39
偏度	3.87
Range	475.354%
Minimum	6.999%
Maximum	482.353%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	66.763%	129	100.00%	66.763%
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 1.62. Further, an Excess 峰度 of 6.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -86.30%	0	0.00%	0.00%
-86.30% to -62.73%	0	0.00%	0.00%
-62.73% to -39.16%	4	3.10%	3.10%
-39.16% to -15.60%	24	18.60%	21.71%
-15.60% to 7.97%	45	34.88%	56.59%
7.97% to 31.54%	35	27.13%	83.72%
31.54% to 55.11%	11	8.53%	92.25%
55.11% to 78.68%	5	3.88%	96.12%
78.68% to 102.24%	4	3.10%	99.22%
Greater than 102.24%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.45%	39.40%	79.07%	68.27%
±2σ	-54.88%	70.82%	96.12%	95.45%
±3σ	-86.30%	102.24%	99.22%	99.73%

Descriptive Statistics

均值	7.972%
Standard Error	2.767%
中位数	3.687%
Mode	0.000%
Standard Deviation	31.424%
Sample Variance	987.481%
峰度	6.38
偏度	1.62
Range	234.837%
Minimum	-54.717%
Maximum	180.120%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.022%	73	56.59%	15.291%
负向	-17.485%	54	41.86%	-7.319%
Zero	0.000%	2	1.55%	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 0.73. Further, an Excess 峰度 of 0.66 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -129.10%	0	0.00%	0.00%
-129.10% to -97.92%	0	0.00%	0.00%
-97.92% to -66.75%	2	4.55%	4.55%
-66.75% to -35.58%	7	15.91%	20.45%
-35.58% to -4.40%	15	34.09%	54.55%
-4.40% to 26.77%	12	27.27%	81.82%
26.77% to 57.94%	5	11.36%	93.18%
57.94% to 89.12%	2	4.55%	97.73%
89.12% to 120.29%	1	2.27%	100.00%
Greater than 120.29%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-45.97%	37.16%	72.73%	68.27%
±2σ	-87.53%	78.73%	93.18%	95.45%
±3σ	-129.10%	120.29%	100.00%	99.73%

Descriptive Statistics

均值	-4.404%
Standard Error	6.266%
中位数	-11.348%
Mode	-71.561%
Standard Deviation	41.565%
Sample Variance	1727.642%
峰度	0.66
偏度	0.73
Range	190.080%
Minimum	-71.561%
Maximum	118.519%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.570%	18	40.91%	14.551%
负向	-32.078%	26	59.09%	-18.955%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	108.50%
12	3 Years	82.62%
20	5 Years	73.05%
40	10 Years	78.37%
80	20 Years	76.48%
200	50 Years	76.48%

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 3.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -173.64%	0	0.00%	0.00%
-173.64% to -97.53%	0	0.00%	0.00%
-97.53% to -21.42%	0	0.00%	0.00%
-21.42% to 54.69%	10	22.22%	22.22%
54.69% to 130.79%	19	42.22%	64.44%
130.79% to 206.90%	8	17.78%	82.22%
206.90% to 283.01%	5	11.11%	93.33%
283.01% to 359.12%	1	2.22%	95.56%
359.12% to 435.22%	1	2.22%	97.78%
Greater than 435.22%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.32%	232.27%	84.44%	68.27%
±2σ	-72.16%	333.75%	93.33%	95.45%
±3σ	-173.64%	435.22%	97.78%	99.73%

Descriptive Statistics

均值	130.793%
Standard Error	15.127%
中位数	92.208%
Mode	25.000%
Standard Deviation	101.477%
Sample Variance	10297.566%
峰度	3.33
偏度	1.75
Range	457.353%
Minimum	25.000%
Maximum	482.353%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	130.793%	45	100.00%	130.793%
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 1.80. Further, an Excess 峰度 of 3.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -174.26%	0	0.00%	0.00%
-174.26% to -124.01%	0	0.00%	0.00%
-124.01% to -73.76%	0	0.00%	0.00%
-73.76% to -23.51%	8	17.78%	17.78%
-23.51% to 26.74%	20	44.44%	62.22%
26.74% to 76.99%	10	22.22%	84.44%
76.99% to 127.24%	3	6.67%	91.11%
127.24% to 177.49%	2	4.44%	95.56%
177.49% to 227.74%	0	0.00%	95.56%
Greater than 227.74%	2	4.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.26%	93.74%	77.78%	68.27%
±2σ	-107.26%	160.74%	95.56%	95.45%
±3σ	-174.26%	227.74%	95.56%	99.73%

Descriptive Statistics

均值	26.736%
Standard Error	9.988%
中位数	11.982%
Mode	-52.542%
Standard Deviation	67.000%
Sample Variance	4488.966%
峰度	3.57
偏度	1.80
Range	298.947%
Minimum	-52.542%
Maximum	246.405%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	65.624%	25	55.56%	36.458%
负向	-21.875%	20	44.44%	-9.722%
Zero	0.000%	0	0.00%	0.000%

CTXR 深度分析报告