CVNA 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	6.28%	5.83%	5.29%	8.44%	4.87%	4.87%	389.65	429.48	371.14	450.90
周度	13.80%	16.74%	14.02%	20.41%	10.71%	10.72%	367.52	455.35	330.17	506.84
月度	30.58%	42.84%	29.19%	45.12%	22.30%	22.31%	327.30	511.30	261.86	639.06
季度	101.62%	139.29%	52.91%	106.89%	38.63%	38.64%	277.99	601.98	188.91	885.85
Annual	—	—	—	—	77.26%	77.27%	188.91	885.85	87.24	1918.29
Option Time Horizon	—	—	—	—	29.44%	29.44%	304.75	549.13	227.03	737.12

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $409.08 | Strike (K): $410.00 (first OTM call ≥ spot) | Observed Mid-价格: $47.9250 (Bid $46.5500 / Ask $49.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 77.26% (CRR binomial tree, American, n=20 steps) | BS IV: 76.43% (European Black-Scholes) | Yahoo IV (Annual): 77.27% → 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 1.21. Further, an Excess 峰度 of 10.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.49%	9	0.40%	0.40%
-18.49% to -13.78%	20	0.89%	1.28%
-13.78% to -9.07%	65	2.88%	4.16%
-9.07% to -4.36%	249	11.02%	15.18%
-4.36% to 0.35%	859	38.03%	53.21%
0.35% to 5.06%	748	33.11%	86.32%
5.06% to 9.77%	205	9.07%	95.40%
9.77% to 14.48%	53	2.35%	97.74%
14.48% to 19.19%	20	0.89%	98.63%
Greater than 19.19%	31	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.93%	6.63%	81.50%	68.27%
±2σ	-12.21%	12.91%	95.22%	95.45%
±3σ	-18.49%	19.19%	98.23%	99.73%

Descriptive Statistics

均值	0.351%
Standard Error	0.132%
中位数	0.112%
Mode	-0.071%
Standard Deviation	6.281%
Sample Variance	39.448%
峰度	10.94
偏度	1.21
Range	98.942%
Minimum	-42.921%
Maximum	56.021%
Count	2259

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.271%	1164	51.53%	2.201%
负向	-3.827%	1092	48.34%	-1.850%
Zero	0.000%	3	0.13%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.53%
20	1 Month	6.31%
60	1 Quarter	6.74%
250	1 Year	5.38%
750	3 Years	7.23%
1,250	5 Years	8.44%
2,500	10 Years	7.77%
5,000	20 Years	7.77%
12,500	50 Years	7.77%

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 3.33. Further, an Excess 峰度 of 18.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.78%	0	0.00%	0.00%
-9.78% to -5.41%	0	0.00%	0.00%
-5.41% to -1.04%	0	0.00%	0.00%
-1.04% to 3.33%	306	13.54%	13.54%
3.33% to 7.71%	1135	50.22%	63.76%
7.71% to 12.08%	522	23.10%	86.86%
12.08% to 16.45%	161	7.12%	93.98%
16.45% to 20.82%	65	2.88%	96.86%
20.82% to 25.20%	31	1.37%	98.23%
Greater than 25.20%	40	1.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.88%	13.54%	88.58%	68.27%
±2σ	-3.95%	19.37%	96.19%	95.45%
±3σ	-9.78%	25.20%	98.23%	99.73%

Descriptive Statistics

均值	7.706%
Standard Error	0.123%
中位数	6.093%
Mode	2.987%
Standard Deviation	5.830%
Sample Variance	33.991%
峰度	18.40
偏度	3.33
Range	60.154%
Minimum	1.136%
Maximum	61.290%
Count	2260

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.706%	2260	100.00%	7.706%
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 0.30. Further, an Excess 峰度 of 6.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.80%	20	0.88%	0.88%
-15.80% to -11.83%	26	1.15%	2.04%
-11.83% to -7.87%	58	2.57%	4.60%
-7.87% to -3.90%	260	11.50%	16.11%
-3.90% to 0.07%	798	35.31%	51.42%
0.07% to 4.04%	738	32.65%	84.07%
4.04% to 8.01%	237	10.49%	94.56%
8.01% to 11.97%	76	3.36%	97.92%
11.97% to 15.94%	29	1.28%	99.20%
Greater than 15.94%	18	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.22%	5.36%	78.89%	68.27%
±2σ	-10.51%	10.65%	94.56%	95.45%
±3σ	-15.80%	15.94%	98.32%	99.73%

Descriptive Statistics

均值	0.070%
Standard Error	0.111%
中位数	-0.035%
Mode	0.000%
Standard Deviation	5.290%
Sample Variance	27.982%
峰度	6.99
偏度	0.30
Range	78.746%
Minimum	-29.888%
Maximum	48.858%
Count	2260

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.735%	1114	49.29%	1.841%
负向	-3.518%	1138	50.35%	-1.771%
Zero	0.000%	8	0.35%	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 0.75. Further, an Excess 峰度 of 2.78 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.70%	1	0.21%	0.21%
-39.70% to -29.35%	5	1.07%	1.28%
-29.35% to -19.01%	19	4.05%	5.33%
-19.01% to -8.66%	52	11.09%	16.42%
-8.66% to 1.69%	180	38.38%	54.80%
1.69% to 12.04%	138	29.42%	84.22%
12.04% to 22.38%	41	8.74%	92.96%
22.38% to 32.73%	18	3.84%	96.80%
32.73% to 43.08%	9	1.92%	98.72%
Greater than 43.08%	6	1.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.11%	15.48%	77.61%	68.27%
±2σ	-25.90%	29.28%	93.60%	95.45%
±3σ	-39.70%	43.08%	98.51%	99.73%

Descriptive Statistics

均值	1.688%
Standard Error	0.637%
中位数	0.724%
Mode	-4.867%
Standard Deviation	13.796%
Sample Variance	190.322%
峰度	2.78
偏度	0.75
Range	108.440%
Minimum	-45.381%
Maximum	63.059%
Count	469

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.594%	251	53.52%	5.670%
负向	-8.566%	218	46.48%	-3.982%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.14%
12	1 Quarter	13.55%
52	1 Year	12.05%
156	3 Years	17.36%
260	5 Years	20.41%
520	10 Years	18.55%
1,040	20 Years	18.55%
2,600	50 Years	18.55%

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 2.77. Further, an Excess 峰度 of 11.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.41%	0	0.00%	0.00%
-29.41% to -16.86%	0	0.00%	0.00%
-16.86% to -4.30%	0	0.00%	0.00%
-4.30% to 8.26%	62	13.19%	13.19%
8.26% to 20.81%	250	53.19%	66.38%
20.81% to 33.37%	83	17.66%	84.04%
33.37% to 45.92%	46	9.79%	93.83%
45.92% to 58.48%	10	2.13%	95.96%
58.48% to 71.04%	8	1.70%	97.66%
Greater than 71.04%	11	2.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.07%	37.55%	87.87%	68.27%
±2σ	-12.67%	54.30%	95.11%	95.45%
±3σ	-29.41%	71.04%	97.66%	99.73%

Descriptive Statistics

均值	20.812%
Standard Error	0.772%
中位数	15.735%
Mode	8.664%
Standard Deviation	16.742%
Sample Variance	280.298%
峰度	11.15
偏度	2.77
Range	136.512%
Minimum	4.057%
Maximum	140.569%
Count	470

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.812%	470	100.00%	20.812%
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 1.44. Further, an Excess 峰度 of 8.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.63%	0	0.00%	0.00%
-41.63% to -31.11%	5	1.06%	1.06%
-31.11% to -20.59%	17	3.62%	4.68%
-20.59% to -10.08%	55	11.70%	16.38%
-10.08% to 0.44%	183	38.94%	55.32%
0.44% to 10.96%	142	30.21%	85.53%
10.96% to 21.48%	38	8.09%	93.62%
21.48% to 31.99%	16	3.40%	97.02%
31.99% to 42.51%	9	1.91%	98.94%
Greater than 42.51%	5	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.58%	14.46%	78.72%	68.27%
±2σ	-27.61%	28.49%	94.47%	95.45%
±3σ	-41.63%	42.51%	98.94%	99.73%

Descriptive Statistics

均值	0.440%
Standard Error	0.647%
中位数	-0.613%
Mode	-6.565%
Standard Deviation	14.023%
Sample Variance	196.634%
峰度	8.13
偏度	1.44
Range	146.407%
Minimum	-39.912%
Maximum	106.495%
Count	470

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.692%	219	46.60%	4.982%
负向	-8.539%	250	53.19%	-4.542%
Zero	0.000%	1	0.21%	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 1.10. Further, an Excess 峰度 of 2.19 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.35%	0	0.00%	0.00%
-84.35% to -61.42%	0	0.00%	0.00%
-61.42% to -38.48%	4	3.70%	3.70%
-38.48% to -15.55%	20	18.52%	22.22%
-15.55% to 7.39%	33	30.56%	52.78%
7.39% to 30.32%	37	34.26%	87.04%
30.32% to 53.26%	7	6.48%	93.52%
53.26% to 76.19%	1	0.93%	94.44%
76.19% to 99.12%	3	2.78%	97.22%
Greater than 99.12%	3	2.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.19%	37.97%	76.85%	68.27%
±2σ	-53.77%	68.55%	93.52%	95.45%
±3σ	-84.35%	99.12%	97.22%	99.73%

Descriptive Statistics

均值	7.387%
Standard Error	2.942%
中位数	4.273%
Mode	-51.413%
Standard Deviation	30.579%
Sample Variance	935.068%
峰度	2.19
偏度	1.10
Range	165.970%
Minimum	-51.413%
Maximum	114.557%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.917%	62	57.41%	14.878%
负向	-17.588%	46	42.59%	-7.491%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	28.32%
12	1 Year	25.95%
36	3 Years	42.24%
60	5 Years	45.12%
120	10 Years	42.03%
240	20 Years	42.03%
600	50 Years	42.03%

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 2.50. Further, an Excess 峰度 of 8.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.85%	0	0.00%	0.00%
-74.85% to -42.71%	0	0.00%	0.00%
-42.71% to -10.58%	0	0.00%	0.00%
-10.58% to 21.55%	10	9.17%	9.17%
21.55% to 53.69%	68	62.39%	71.56%
53.69% to 85.82%	15	13.76%	85.32%
85.82% to 117.96%	6	5.50%	90.83%
117.96% to 150.09%	6	5.50%	96.33%
150.09% to 182.22%	3	2.75%	99.08%
Greater than 182.22%	1	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.84%	96.53%	84.40%	68.27%
±2σ	-32.00%	139.38%	93.58%	95.45%
±3σ	-74.85%	182.22%	99.08%	99.73%

Descriptive Statistics

均值	53.688%
Standard Error	4.104%
中位数	40.890%
Mode	10.004%
Standard Deviation	42.845%
Sample Variance	1835.692%
峰度	8.38
偏度	2.50
Range	278.899%
Minimum	10.004%
Maximum	288.903%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.688%	109	100.00%	53.688%
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 1.18. Further, an Excess 峰度 of 2.35 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -86.54%	0	0.00%	0.00%
-86.54% to -64.65%	0	0.00%	0.00%
-64.65% to -42.75%	5	4.59%	4.59%
-42.75% to -20.86%	15	13.76%	18.35%
-20.86% to 1.03%	43	39.45%	57.80%
1.03% to 22.93%	29	26.61%	84.40%
22.93% to 44.82%	8	7.34%	91.74%
44.82% to 66.71%	6	5.50%	97.25%
66.71% to 88.61%	0	0.00%	97.25%
Greater than 88.61%	3	2.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.16%	30.22%	77.98%	68.27%
±2σ	-57.35%	59.42%	96.33%	95.45%
±3σ	-86.54%	88.61%	97.25%	99.73%

Descriptive Statistics

均值	1.034%
Standard Error	2.796%
中位数	-3.560%
Mode	-52.704%
Standard Deviation	29.191%
Sample Variance	852.117%
峰度	2.35
偏度	1.18
Range	159.519%
Minimum	-52.704%
Maximum	106.815%
Count	109

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.769%	49	44.95%	11.135%
负向	-18.349%	60	55.05%	-10.100%
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 4.28. Further, an Excess 峰度 of 22.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -275.19%	0	0.00%	0.00%
-275.19% to -198.97%	0	0.00%	0.00%
-198.97% to -122.76%	0	0.00%	0.00%
-122.76% to -46.55%	4	11.11%	11.11%
-46.55% to 29.67%	18	50.00%	61.11%
29.67% to 105.88%	13	36.11%	97.22%
105.88% to 182.10%	0	0.00%	97.22%
182.10% to 258.31%	0	0.00%	97.22%
258.31% to 334.52%	0	0.00%	97.22%
Greater than 334.52%	1	2.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-71.95%	131.29%	97.22%	68.27%
±2σ	-173.57%	232.91%	97.22%	95.45%
±3σ	-275.19%	334.52%	97.22%	99.73%

Descriptive Statistics

均值	29.668%
Standard Error	16.937%
中位数	5.601%
Mode	-64.235%
Standard Deviation	101.619%
Sample Variance	10326.436%
峰度	22.40
偏度	4.28
Range	626.339%
Minimum	-64.235%
Maximum	562.104%
Count	36

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	69.888%	21	58.33%	40.768%
负向	-26.640%	15	41.67%	-11.100%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	49.67%
12	3 Years	124.64%
20	5 Years	106.89%
40	10 Years	92.64%
80	20 Years	92.64%
200	50 Years	92.64%

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 2.93. Further, an Excess 峰度 of 10.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -282.09%	0	0.00%	0.00%
-282.09% to -177.62%	0	0.00%	0.00%
-177.62% to -73.15%	0	0.00%	0.00%
-73.15% to 31.32%	1	2.70%	2.70%
31.32% to 135.79%	25	67.57%	70.27%
135.79% to 240.26%	7	18.92%	89.19%
240.26% to 344.73%	0	0.00%	89.19%
344.73% to 449.20%	3	8.11%	97.30%
449.20% to 553.67%	0	0.00%	97.30%
Greater than 553.67%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.50%	275.09%	89.19%	68.27%
±2σ	-142.80%	414.38%	94.59%	95.45%
±3σ	-282.09%	553.67%	97.30%	99.73%

Descriptive Statistics

均值	135.792%
Standard Error	22.900%
中位数	95.693%
Mode	30.280%
Standard Deviation	139.294%
Sample Variance	19402.719%
峰度	10.47
偏度	2.93
Range	723.302%
Minimum	30.280%
Maximum	753.582%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	135.792%	37	100.00%	135.792%
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 1.42. Further, an Excess 峰度 of 2.67 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -154.99%	0	0.00%	0.00%
-154.99% to -115.31%	0	0.00%	0.00%
-115.31% to -75.63%	1	2.70%	2.70%
-75.63% to -35.95%	9	24.32%	27.03%
-35.95% to 3.73%	12	32.43%	59.46%
3.73% to 43.40%	8	21.62%	81.08%
43.40% to 83.08%	3	8.11%	89.19%
83.08% to 122.76%	3	8.11%	97.30%
122.76% to 162.44%	0	0.00%	97.30%
Greater than 162.44%	1	2.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-49.18%	56.63%	81.08%	68.27%
±2σ	-102.09%	109.53%	94.59%	95.45%
±3σ	-154.99%	162.44%	97.30%	99.73%

Descriptive Statistics

均值	3.725%
Standard Error	8.697%
中位数	-4.373%
Mode	-84.135%
Standard Deviation	52.905%
Sample Variance	2798.893%
峰度	2.67
偏度	1.42
Range	267.123%
Minimum	-84.135%
Maximum	182.988%
Count	37

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	47.864%	16	43.24%	20.698%
负向	-29.905%	21	56.76%	-16.973%
Zero	0.000%	0	0.00%	0.000%

CVNA 深度分析报告