DBX 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	2.42%	1.92%	2.10%	2.69%	2.69%	3.00%	23.38	24.67	22.76	25.35
周度	5.40%	4.95%	5.45%	6.23%	5.92%	6.60%	22.64	25.48	21.34	27.04
月度	8.66%	8.72%	9.26%	13.25%	12.32%	13.73%	21.24	27.17	18.78	30.73
季度	15.07%	13.12%	14.96%	24.77%	21.33%	23.78%	19.41	29.73	15.68	36.80
Annual	—	—	—	—	42.66%	47.56%	15.68	36.80	10.23	56.38
Option Time Horizon	—	—	—	—	16.26%	18.12%	20.42	28.26	17.35	33.25

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $24.02 | Strike (K): $26.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.8500 (Bid $0.7000 / Ask $1.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 42.66% (CRR binomial tree, American, n=20 steps) | BS IV: 42.41% (European Black-Scholes) | Yahoo IV (Annual): 47.56% → 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 -0.26. Further, an Excess 峰度 of 10.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.25%	16	0.79%	0.79%
-7.25% to -5.43%	22	1.08%	1.87%
-5.43% to -3.61%	56	2.76%	4.63%
-3.61% to -1.80%	241	11.86%	16.49%
-1.80% to 0.02%	650	31.99%	48.47%
0.02% to 1.84%	714	35.14%	83.61%
1.84% to 3.66%	251	12.35%	95.96%
3.66% to 5.47%	51	2.51%	98.47%
5.47% to 7.29%	16	0.79%	99.26%
Greater than 7.29%	15	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.40%	2.44%	78.15%	68.27%
±2σ	-4.83%	4.87%	95.57%	95.45%
±3σ	-7.25%	7.29%	98.47%	99.73%

Descriptive Statistics

均值	0.021%
Standard Error	0.054%
中位数	0.111%
Mode	0.000%
Standard Deviation	2.423%
Sample Variance	5.871%
峰度	10.86
偏度	-0.26
Range	42.883%
Minimum	-22.926%
Maximum	19.957%
Count	2032

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.633%	1047	51.53%	0.841%
负向	-1.733%	962	47.34%	-0.820%
Zero	0.000%	23	1.13%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.74%
20	1 Month	3.13%
60	1 Quarter	3.27%
250	1 Year	2.55%
750	3 Years	2.49%
1,250	5 Years	2.69%
2,500	10 Years	3.22%
5,000	20 Years	3.22%
12,500	50 Years	3.22%

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 2.66. Further, an Excess 峰度 of 10.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.66%	0	0.00%	0.00%
-2.66% to -1.22%	0	0.00%	0.00%
-1.22% to 0.23%	0	0.00%	0.00%
0.23% to 1.67%	305	15.00%	15.00%
1.67% to 3.11%	992	48.79%	63.80%
3.11% to 4.55%	437	21.50%	85.29%
4.55% to 5.99%	168	8.26%	93.56%
5.99% to 7.43%	56	2.75%	96.31%
7.43% to 8.87%	32	1.57%	97.88%
Greater than 8.87%	43	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.19%	5.03%	85.78%	68.27%
±2σ	-0.73%	6.95%	95.62%	95.45%
±3σ	-2.66%	8.87%	97.88%	99.73%

Descriptive Statistics

均值	3.107%
Standard Error	0.043%
中位数	2.590%
Mode	1.557%
Standard Deviation	1.921%
Sample Variance	3.692%
峰度	10.58
偏度	2.66
Range	17.524%
Minimum	0.750%
Maximum	18.274%
Count	2033

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.107%	2033	100.00%	3.107%
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 0.25. Further, an Excess 峰度 of 4.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.29%	15	0.74%	0.74%
-6.29% to -4.72%	25	1.23%	1.97%
-4.72% to -3.15%	57	2.80%	4.77%
-3.15% to -1.57%	268	13.18%	17.95%
-1.57% to -0.00%	659	32.42%	50.37%
-0.00% to 1.57%	661	32.51%	82.88%
1.57% to 3.14%	229	11.26%	94.15%
3.14% to 4.71%	82	4.03%	98.18%
4.71% to 6.28%	23	1.13%	99.31%
Greater than 6.28%	14	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.10%	2.09%	76.54%	68.27%
±2σ	-4.19%	4.19%	94.84%	95.45%
±3σ	-6.29%	6.28%	98.57%	99.73%

Descriptive Statistics

均值	-0.003%
Standard Error	0.046%
中位数	-0.043%
Mode	0.000%
Standard Deviation	2.095%
Sample Variance	4.390%
峰度	4.17
偏度	0.25
Range	23.239%
Minimum	-10.078%
Maximum	13.161%
Count	2033

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.541%	987	48.55%	0.748%
负向	-1.492%	1024	50.37%	-0.752%
Zero	0.000%	22	1.08%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.48. Further, an Excess 峰度 of 8.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.10%	4	0.95%	0.95%
-16.10% to -12.05%	3	0.71%	1.66%
-12.05% to -8.01%	17	4.03%	5.69%
-8.01% to -3.96%	54	12.80%	18.48%
-3.96% to 0.09%	125	29.62%	48.10%
0.09% to 4.13%	148	35.07%	83.18%
4.13% to 8.18%	54	12.80%	95.97%
8.18% to 12.23%	11	2.61%	98.58%
12.23% to 16.28%	3	0.71%	99.29%
Greater than 16.28%	3	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.31%	5.48%	77.49%	68.27%
±2σ	-10.70%	10.88%	95.97%	95.45%
±3σ	-16.10%	16.28%	98.34%	99.73%

Descriptive Statistics

均值	0.088%
Standard Error	0.263%
中位数	0.252%
Mode	-7.617%
Standard Deviation	5.396%
Sample Variance	29.114%
峰度	8.29
偏度	0.48
Range	62.223%
Minimum	-22.688%
Maximum	39.535%
Count	422

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.659%	221	52.37%	1.916%
负向	-3.876%	199	47.16%	-1.828%
Zero	0.000%	2	0.47%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	7.90%
12	1 Quarter	7.36%
52	1 Year	5.70%
156	3 Years	5.82%
260	5 Years	6.23%
520	10 Years	7.46%
1,040	20 Years	7.46%
2,600	50 Years	7.46%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.05%	0	0.00%	0.00%
-7.05% to -3.33%	0	0.00%	0.00%
-3.33% to 0.38%	0	0.00%	0.00%
0.38% to 4.10%	69	16.31%	16.31%
4.10% to 7.81%	191	45.15%	61.47%
7.81% to 11.53%	107	25.30%	86.76%
11.53% to 15.24%	33	7.80%	94.56%
15.24% to 18.96%	7	1.65%	96.22%
18.96% to 22.67%	7	1.65%	97.87%
Greater than 22.67%	9	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.86%	12.77%	87.23%	68.27%
±2σ	-2.10%	17.72%	95.74%	95.45%
±3σ	-7.05%	22.67%	97.87%	99.73%

Descriptive Statistics

均值	7.811%
Standard Error	0.241%
中位数	6.631%
Mode	3.974%
Standard Deviation	4.954%
Sample Variance	24.545%
峰度	13.37
偏度	2.93
Range	43.118%
Minimum	2.270%
Maximum	45.388%
Count	423

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.811%	423	100.00%	7.811%
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 0.74. Further, an Excess 峰度 of 5.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.14%	1	0.24%	0.24%
-16.14% to -12.04%	5	1.18%	1.42%
-12.04% to -7.96%	7	1.65%	3.07%
-7.96% to -3.87%	59	13.95%	17.02%
-3.87% to 0.22%	161	38.06%	55.08%
0.22% to 4.31%	118	27.90%	82.98%
4.31% to 8.40%	50	11.82%	94.80%
8.40% to 12.49%	13	3.07%	97.87%
12.49% to 16.58%	4	0.95%	98.82%
Greater than 16.58%	5	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.23%	5.68%	76.36%	68.27%
±2σ	-10.68%	11.13%	95.51%	95.45%
±3σ	-16.14%	16.58%	98.58%	99.73%

Descriptive Statistics

均值	0.224%
Standard Error	0.265%
中位数	-0.133%
Mode	0.000%
Standard Deviation	5.453%
Sample Variance	29.731%
峰度	5.34
偏度	0.74
Range	55.201%
Minimum	-28.048%
Maximum	27.153%
Count	423

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.243%	201	47.52%	2.016%
负向	-3.477%	218	51.54%	-1.792%
Zero	0.000%	4	0.95%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.32. Further, an Excess 峰度 of 0.55 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.87%	0	0.00%	0.00%
-25.87% to -19.37%	2	2.06%	2.06%
-19.37% to -12.88%	3	3.09%	5.15%
-12.88% to -6.38%	15	15.46%	20.62%
-6.38% to 0.11%	28	28.87%	49.48%
0.11% to 6.61%	26	26.80%	76.29%
6.61% to 13.10%	17	17.53%	93.81%
13.10% to 19.60%	5	5.15%	98.97%
19.60% to 26.09%	1	1.03%	100.00%
Greater than 26.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.55%	8.77%	76.29%	68.27%
±2σ	-17.21%	17.43%	92.78%	95.45%
±3σ	-25.87%	26.09%	100.00%	99.73%

Descriptive Statistics

均值	0.111%
Standard Error	0.879%
中位数	0.299%
Mode	-24.400%
Standard Deviation	8.660%
Sample Variance	74.988%
峰度	0.55
偏度	-0.32
Range	45.350%
Minimum	-24.400%
Maximum	20.950%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.766%	49	50.52%	3.418%
负向	-6.682%	48	49.48%	-3.307%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	14.47%
12	1 Year	11.21%
36	3 Years	12.70%
60	5 Years	13.25%
120	10 Years	15.80%
240	20 Years	15.80%
600	50 Years	15.80%

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 1.47. Further, an Excess 峰度 of 2.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.70%	0	0.00%	0.00%
-8.70% to -2.16%	0	0.00%	0.00%
-2.16% to 4.38%	0	0.00%	0.00%
4.38% to 10.92%	21	21.43%	21.43%
10.92% to 17.46%	41	41.84%	63.27%
17.46% to 24.01%	19	19.39%	82.65%
24.01% to 30.55%	9	9.18%	91.84%
30.55% to 37.09%	2	2.04%	93.88%
37.09% to 43.63%	4	4.08%	97.96%
Greater than 43.63%	2	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.74%	26.19%	75.51%	68.27%
±2σ	0.02%	34.91%	93.88%	95.45%
±3σ	-8.70%	43.63%	97.96%	99.73%

Descriptive Statistics

均值	17.465%
Standard Error	0.881%
中位数	14.976%
Mode	5.501%
Standard Deviation	8.722%
Sample Variance	76.068%
峰度	2.08
偏度	1.47
Range	42.358%
Minimum	5.501%
Maximum	47.859%
Count	98

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.465%	98	100.00%	17.465%
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 0.92. Further, an Excess 峰度 of 1.88 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.13%	0	0.00%	0.00%
-27.13% to -20.19%	0	0.00%	0.00%
-20.19% to -13.24%	4	4.08%	4.08%
-13.24% to -6.30%	18	18.37%	22.45%
-6.30% to 0.65%	31	31.63%	54.08%
0.65% to 7.59%	28	28.57%	82.65%
7.59% to 14.54%	11	11.22%	93.88%
14.54% to 21.48%	3	3.06%	96.94%
21.48% to 28.43%	1	1.02%	97.96%
Greater than 28.43%	2	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.61%	9.91%	78.57%	68.27%
±2σ	-17.87%	19.17%	93.88%	95.45%
±3σ	-27.13%	28.43%	97.96%	99.73%

Descriptive Statistics

均值	0.648%
Standard Error	0.935%
中位数	-0.024%
Mode	-19.223%
Standard Deviation	9.260%
Sample Variance	85.739%
峰度	1.88
偏度	0.92
Range	52.250%
Minimum	-19.223%
Maximum	33.027%
Count	98

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.729%	48	48.98%	3.786%
负向	-6.276%	49	50.00%	-3.138%
Zero	0.000%	1	1.02%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.41. Further, an Excess 峰度 of -0.62 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.83%	0	0.00%	0.00%
-44.83% to -33.53%	0	0.00%	0.00%
-33.53% to -22.23%	1	3.12%	3.12%
-22.23% to -10.93%	10	31.25%	34.38%
-10.93% to 0.37%	7	21.88%	56.25%
0.37% to 11.67%	7	21.88%	78.12%
11.67% to 22.97%	3	9.38%	87.50%
22.97% to 34.27%	4	12.50%	100.00%
34.27% to 45.57%	0	0.00%	100.00%
Greater than 45.57%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.70%	15.44%	68.75%	68.27%
±2σ	-29.76%	30.50%	96.88%	95.45%
±3σ	-44.83%	45.57%	100.00%	99.73%

Descriptive Statistics

均值	0.370%
Standard Error	2.663%
中位数	-2.794%
Mode	-26.894%
Standard Deviation	15.067%
Sample Variance	227.003%
峰度	-0.62
偏度	0.41
Range	59.392%
Minimum	-26.894%
Maximum	32.498%
Count	32

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.558%	14	43.75%	6.369%
负向	-10.666%	18	56.25%	-6.000%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	20.42%
12	3 Years	25.42%
20	5 Years	24.77%
40	10 Years	28.50%
80	20 Years	28.50%
200	50 Years	28.50%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.93. Further, an Excess 峰度 of 0.68 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.24%	0	0.00%	0.00%
-6.24% to 3.60%	0	0.00%	0.00%
3.60% to 13.45%	1	3.03%	3.03%
13.45% to 23.29%	4	12.12%	15.15%
23.29% to 33.14%	15	45.45%	60.61%
33.14% to 42.98%	7	21.21%	81.82%
42.98% to 52.82%	3	9.09%	90.91%
52.82% to 62.67%	0	0.00%	90.91%
62.67% to 72.51%	3	9.09%	100.00%
Greater than 72.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.01%	46.26%	66.67%	68.27%
±2σ	6.89%	59.39%	90.91%	95.45%
±3σ	-6.24%	72.51%	100.00%	99.73%

Descriptive Statistics

均值	33.136%
Standard Error	2.285%
中位数	30.976%
Mode	11.471%
Standard Deviation	13.125%
Sample Variance	172.268%
峰度	0.68
偏度	0.93
Range	52.153%
Minimum	11.471%
Maximum	63.624%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.136%	33	100.00%	33.136%
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 0.22. Further, an Excess 峰度 of -0.40 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.21%	0	0.00%	0.00%
-43.21% to -31.98%	0	0.00%	0.00%
-31.98% to -20.76%	1	3.03%	3.03%
-20.76% to -9.54%	7	21.21%	24.24%
-9.54% to 1.69%	8	24.24%	48.48%
1.69% to 12.91%	7	21.21%	69.70%
12.91% to 24.13%	8	24.24%	93.94%
24.13% to 35.36%	1	3.03%	96.97%
35.36% to 46.58%	1	3.03%	100.00%
Greater than 46.58%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.28%	16.65%	63.64%	68.27%
±2σ	-28.24%	31.62%	96.97%	95.45%
±3σ	-43.21%	46.58%	100.00%	99.73%

Descriptive Statistics

均值	1.686%
Standard Error	2.605%
中位数	2.053%
Mode	-24.972%
Standard Deviation	14.965%
Sample Variance	223.947%
峰度	-0.40
偏度	0.22
Range	62.537%
Minimum	-24.972%
Maximum	37.565%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.808%	18	54.55%	6.986%
负向	-11.660%	15	45.45%	-5.300%
Zero	0.000%	0	0.00%	0.000%

DBX 深度分析报告