CZR 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	3.69%	3.55%	3.17%	4.59%	2.78%	3.18%	27.35	28.91	26.60	29.73
周度	7.62%	11.38%	8.90%	10.51%	6.12%	7.01%	26.45	29.90	24.88	31.78
月度	17.01%	62.55%	25.75%	22.10%	12.74%	14.59%	24.76	31.94	21.79	36.28
季度	26.75%	152.53%	34.79%	37.54%	22.07%	25.27%	22.55	35.07	18.08	43.73
Annual	—	—	—	—	44.15%	50.54%	18.08	43.73	11.63	67.99
Option Time Horizon	—	—	—	—	16.82%	19.26%	23.77	33.27	20.09	39.37

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $28.12 | Strike (K): $29.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.5900 (Bid $1.3800 / Ask $1.8000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 44.15% (CRR binomial tree, American, n=20 steps) | BS IV: 44.65% (European Black-Scholes) | Yahoo IV (Annual): 50.54% → 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 20.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.93%	18	0.62%	0.62%
-10.93% to -8.16%	18	0.62%	1.24%
-8.16% to -5.40%	73	2.51%	3.74%
-5.40% to -2.63%	319	10.95%	14.70%
-2.63% to 0.13%	1064	36.54%	51.24%
0.13% to 2.90%	995	34.17%	85.41%
2.90% to 5.66%	298	10.23%	95.64%
5.66% to 8.43%	73	2.51%	98.15%
8.43% to 11.19%	33	1.13%	99.28%
Greater than 11.19%	21	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.55%	3.82%	80.80%	68.27%
±2σ	-7.24%	7.50%	95.98%	95.45%
±3σ	-10.93%	11.19%	98.66%	99.73%

Descriptive Statistics

均值	0.132%
Standard Error	0.068%
中位数	0.037%
Mode	0.000%
Standard Deviation	3.686%
Sample Variance	13.588%
峰度	20.58
偏度	0.43
Range	81.662%
Minimum	-37.505%
Maximum	44.157%
Count	2912

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.504%	1464	50.27%	1.259%
负向	-2.340%	1402	48.15%	-1.127%
Zero	0.000%	46	1.58%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.12%
20	1 Month	3.42%
60	1 Quarter	5.09%
250	1 Year	4.36%
750	3 Years	4.13%
1,250	5 Years	4.59%
2,500	10 Years	4.75%
5,000	20 Years	4.77%
12,500	50 Years	4.77%

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 5.57. Further, an Excess 峰度 of 55.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.98%	0	0.00%	0.00%
-5.98% to -3.32%	0	0.00%	0.00%
-3.32% to -0.66%	0	0.00%	0.00%
-0.66% to 2.00%	211	7.24%	7.24%
2.00% to 4.66%	1683	57.78%	65.02%
4.66% to 7.33%	703	24.13%	89.15%
7.33% to 9.99%	184	6.32%	95.47%
9.99% to 12.65%	60	2.06%	97.53%
12.65% to 15.31%	21	0.72%	98.25%
Greater than 15.31%	51	1.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.11%	8.21%	91.49%	68.27%
±2σ	-2.43%	11.76%	96.64%	95.45%
±3σ	-5.98%	15.31%	98.25%	99.73%

Descriptive Statistics

均值	4.663%
Standard Error	0.066%
中位数	3.844%
Mode	3.226%
Standard Deviation	3.549%
Sample Variance	12.594%
峰度	55.47
偏度	5.57
Range	59.830%
Minimum	0.498%
Maximum	60.328%
Count	2913

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.663%	2913	100.00%	4.663%
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 1.96. Further, an Excess 峰度 of 27.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.45%	16	0.55%	0.55%
-9.45% to -7.07%	24	0.82%	1.37%
-7.07% to -4.69%	82	2.81%	4.19%
-4.69% to -2.31%	358	12.29%	16.48%
-2.31% to 0.07%	1037	35.60%	52.08%
0.07% to 2.44%	929	31.89%	83.97%
2.44% to 4.82%	325	11.16%	95.13%
4.82% to 7.20%	94	3.23%	98.35%
7.20% to 9.58%	26	0.89%	99.24%
Greater than 9.58%	22	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.11%	3.24%	78.37%	68.27%
±2σ	-6.28%	6.41%	95.98%	95.45%
±3σ	-9.45%	9.58%	98.70%	99.73%

Descriptive Statistics

均值	0.065%
Standard Error	0.059%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.171%
Sample Variance	10.058%
峰度	27.81
偏度	1.96
Range	65.283%
Minimum	-18.603%
Maximum	46.680%
Count	2913

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.279%	1410	48.40%	1.103%
负向	-2.080%	1454	49.91%	-1.038%
Zero	0.000%	49	1.68%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.44. Further, an Excess 峰度 of 6.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.24%	7	1.16%	1.16%
-22.24% to -16.53%	3	0.50%	1.65%
-16.53% to -10.81%	15	2.48%	4.13%
-10.81% to -5.10%	65	10.74%	14.88%
-5.10% to 0.61%	223	36.86%	51.74%
0.61% to 6.33%	186	30.74%	82.48%
6.33% to 12.04%	79	13.06%	95.54%
12.04% to 17.75%	15	2.48%	98.02%
17.75% to 23.47%	7	1.16%	99.17%
Greater than 23.47%	5	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.01%	8.23%	78.35%	68.27%
±2σ	-14.62%	15.85%	95.37%	95.45%
±3σ	-22.24%	23.47%	98.02%	99.73%

Descriptive Statistics

均值	0.613%
Standard Error	0.310%
中位数	0.417%
Mode	-4.329%
Standard Deviation	7.618%
Sample Variance	58.028%
峰度	6.28
偏度	-0.44
Range	83.073%
Minimum	-47.882%
Maximum	35.191%
Count	605

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.429%	326	53.88%	2.925%
负向	-5.016%	279	46.12%	-2.313%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	5.93%
12	1 Quarter	13.04%
52	1 Year	9.66%
156	3 Years	9.39%
260	5 Years	10.51%
520	10 Years	10.92%
1,040	20 Years	10.79%
2,600	50 Years	10.79%

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 6.97. Further, an Excess 峰度 of 69.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.32%	0	0.00%	0.00%
-22.32% to -13.78%	0	0.00%	0.00%
-13.78% to -5.24%	0	0.00%	0.00%
-5.24% to 3.29%	3	0.50%	0.50%
3.29% to 11.83%	401	66.17%	66.67%
11.83% to 20.36%	151	24.92%	91.58%
20.36% to 28.90%	30	4.95%	96.53%
28.90% to 37.43%	10	1.65%	98.18%
37.43% to 45.97%	3	0.50%	98.68%
Greater than 45.97%	8	1.32%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.45%	23.21%	94.06%	68.27%
±2σ	-10.94%	34.59%	97.52%	95.45%
±3σ	-22.32%	45.97%	98.68%	99.73%

Descriptive Statistics

均值	11.827%
Standard Error	0.462%
中位数	9.329%
Mode	6.211%
Standard Deviation	11.381%
Sample Variance	129.518%
峰度	69.88
偏度	6.97
Range	157.674%
Minimum	2.127%
Maximum	159.801%
Count	606

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.827%	606	100.00%	11.827%
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 4.12. Further, an Excess 峰度 of 39.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.39%	0	0.00%	0.00%
-26.39% to -19.71%	2	0.33%	0.33%
-19.71% to -13.04%	13	2.15%	2.48%
-13.04% to -6.37%	72	11.88%	14.36%
-6.37% to 0.30%	255	42.08%	56.44%
0.30% to 6.98%	196	32.34%	88.78%
6.98% to 13.65%	42	6.93%	95.71%
13.65% to 20.32%	15	2.48%	98.18%
20.32% to 27.00%	3	0.50%	98.68%
Greater than 27.00%	8	1.32%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.59%	9.20%	83.17%	68.27%
±2σ	-17.49%	18.10%	97.03%	95.45%
±3σ	-26.39%	27.00%	98.68%	99.73%

Descriptive Statistics

均值	0.304%
Standard Error	0.361%
中位数	-0.355%
Mode	0.000%
Standard Deviation	8.897%
Sample Variance	79.161%
峰度	39.33
偏度	4.12
Range	128.731%
Minimum	-24.667%
Maximum	104.064%
Count	606

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.019%	282	46.53%	2.801%
负向	-4.728%	320	52.80%	-2.497%
Zero	0.000%	4	0.66%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.15. Further, an Excess 峰度 of 3.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.12%	1	0.72%	0.72%
-48.12% to -35.36%	0	0.00%	0.72%
-35.36% to -22.60%	6	4.32%	5.04%
-22.60% to -9.84%	17	12.23%	17.27%
-9.84% to 2.92%	51	36.69%	53.96%
2.92% to 15.68%	39	28.06%	82.01%
15.68% to 28.44%	17	12.23%	94.24%
28.44% to 41.20%	4	2.88%	97.12%
41.20% to 53.96%	3	2.16%	99.28%
Greater than 53.96%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.09%	19.93%	75.54%	68.27%
±2σ	-31.11%	36.95%	95.68%	95.45%
±3σ	-48.12%	53.96%	98.56%	99.73%

Descriptive Statistics

均值	2.919%
Standard Error	1.443%
中位数	0.716%
Mode	-71.303%
Standard Deviation	17.014%
Sample Variance	289.488%
峰度	3.44
偏度	0.15
Range	136.695%
Minimum	-71.303%
Maximum	65.392%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.783%	77	55.40%	7.635%
负向	-10.573%	62	44.60%	-4.716%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.83%
12	1 Year	20.91%
36	3 Years	19.73%
60	5 Years	22.10%
120	10 Years	23.92%
240	20 Years	23.41%
600	50 Years	23.41%

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 10.42. Further, an Excess 峰度 of 116.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -156.40%	0	0.00%	0.00%
-156.40% to -109.48%	0	0.00%	0.00%
-109.48% to -62.57%	0	0.00%	0.00%
-62.57% to -15.65%	0	0.00%	0.00%
-15.65% to 31.26%	105	75.00%	75.00%
31.26% to 78.17%	32	22.86%	97.86%
78.17% to 125.08%	1	0.71%	98.57%
125.08% to 172.00%	1	0.71%	99.29%
172.00% to 218.91%	0	0.00%	99.29%
Greater than 218.91%	1	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.29%	93.81%	97.86%	68.27%
±2σ	-93.84%	156.36%	99.29%	95.45%
±3σ	-156.40%	218.91%	99.29%	99.73%

Descriptive Statistics

均值	31.258%
Standard Error	5.287%
中位数	21.450%
Mode	8.039%
Standard Deviation	62.551%
Sample Variance	3912.605%
峰度	116.68
偏度	10.42
Range	725.848%
Minimum	8.039%
Maximum	733.887%
Count	140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.258%	140	100.00%	31.258%
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 6.45. Further, an Excess 峰度 of 61.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.44%	0	0.00%	0.00%
-76.44% to -57.12%	0	0.00%	0.00%
-57.12% to -37.81%	1	0.71%	0.71%
-37.81% to -18.50%	10	7.14%	7.86%
-18.50% to 0.81%	67	47.86%	55.71%
0.81% to 20.12%	46	32.86%	88.57%
20.12% to 39.43%	15	10.71%	99.29%
39.43% to 58.74%	0	0.00%	99.29%
58.74% to 78.05%	0	0.00%	99.29%
Greater than 78.05%	1	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.94%	26.56%	90.00%	68.27%
±2σ	-50.69%	52.30%	99.29%	95.45%
±3σ	-76.44%	78.05%	99.29%	99.73%

Descriptive Statistics

均值	0.809%
Standard Error	2.176%
中位数	-1.353%
Mode	-0.823%
Standard Deviation	25.748%
Sample Variance	662.950%
峰度	61.40
偏度	6.45
Range	292.652%
Minimum	-44.388%
Maximum	248.264%
Count	140

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.519%	63	45.00%	6.984%
负向	-11.225%	77	55.00%	-6.174%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.01. Further, an Excess 峰度 of 0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.36%	0	0.00%	0.00%
-72.36% to -52.30%	1	2.17%	2.17%
-52.30% to -32.23%	1	2.17%	4.35%
-32.23% to -12.17%	9	19.57%	23.91%
-12.17% to 7.89%	13	28.26%	52.17%
7.89% to 27.95%	12	26.09%	78.26%
27.95% to 48.01%	8	17.39%	95.65%
48.01% to 68.08%	1	2.17%	97.83%
68.08% to 88.14%	1	2.17%	100.00%
Greater than 88.14%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.86%	34.64%	73.91%	68.27%
±2σ	-45.61%	61.39%	95.65%	95.45%
±3σ	-72.36%	88.14%	100.00%	99.73%

Descriptive Statistics

均值	7.890%
Standard Error	3.944%
中位数	6.283%
Mode	-64.135%
Standard Deviation	26.749%
Sample Variance	715.516%
峰度	0.51
偏度	-0.01
Range	141.941%
Minimum	-64.135%
Maximum	77.806%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.483%	28	60.87%	14.903%
负向	-17.921%	18	39.13%	-7.012%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	39.73%
12	3 Years	36.11%
20	5 Years	37.54%
40	10 Years	43.01%
80	20 Years	42.66%
200	50 Years	42.66%

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 6.49. Further, an Excess 峰度 of 43.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -387.31%	0	0.00%	0.00%
-387.31% to -272.92%	0	0.00%	0.00%
-272.92% to -158.52%	0	0.00%	0.00%
-158.52% to -44.13%	0	0.00%	0.00%
-44.13% to 70.27%	39	82.98%	82.98%
70.27% to 184.66%	7	14.89%	97.87%
184.66% to 299.06%	0	0.00%	97.87%
299.06% to 413.45%	0	0.00%	97.87%
413.45% to 527.85%	0	0.00%	97.87%
Greater than 527.85%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-82.26%	222.80%	97.87%	68.27%
±2σ	-234.78%	375.32%	97.87%	95.45%
±3σ	-387.31%	527.85%	97.87%	99.73%

Descriptive Statistics

均值	70.269%
Standard Error	22.248%
中位数	38.933%
Mode	15.789%
Standard Deviation	152.526%
Sample Variance	23264.146%
峰度	43.46
偏度	6.49
Range	1059.294%
Minimum	15.789%
Maximum	1075.083%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	70.269%	47	100.00%	70.269%
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 3.17. Further, an Excess 峰度 of 15.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -103.99%	0	0.00%	0.00%
-103.99% to -77.89%	0	0.00%	0.00%
-77.89% to -51.80%	0	0.00%	0.00%
-51.80% to -25.70%	6	12.77%	12.77%
-25.70% to 0.39%	22	46.81%	59.57%
0.39% to 26.48%	13	27.66%	87.23%
26.48% to 52.58%	5	10.64%	97.87%
52.58% to 78.67%	0	0.00%	97.87%
78.67% to 104.77%	0	0.00%	97.87%
Greater than 104.77%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.40%	35.18%	85.11%	68.27%
±2σ	-69.20%	69.97%	97.87%	95.45%
±3σ	-103.99%	104.77%	97.87%	99.73%

Descriptive Statistics

均值	0.389%
Standard Error	5.075%
中位数	-5.489%
Mode	-44.255%
Standard Deviation	34.792%
Sample Variance	1210.506%
峰度	15.31
偏度	3.17
Range	225.458%
Minimum	-44.255%
Maximum	181.203%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.811%	19	40.43%	11.243%
负向	-18.219%	28	59.57%	-10.854%
Zero	0.000%	0	0.00%	0.000%

CZR 深度分析报告