DOCU 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	3.56%	2.44%	2.88%	4.41%	4.02%	4.10%	44.40	48.11	42.65	50.09
周度	7.67%	8.11%	8.34%	10.75%	8.84%	9.02%	42.31	50.49	38.73	55.16
月度	13.81%	14.06%	14.52%	22.61%	18.40%	18.77%	38.45	55.56	31.99	66.78
季度	31.58%	30.33%	32.12%	39.86%	31.87%	32.51%	33.61	63.57	24.43	87.43
Annual	—	—	—	—	63.74%	65.01%	24.43	87.43	12.92	165.39
Option Time Horizon	—	—	—	—	24.29%	24.77%	36.25	58.93	28.43	75.13

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $46.22 | Strike (K): $47.50 (first OTM call ≥ spot) | Observed Mid-价格: $4.0500 (Bid $3.7000 / Ask $4.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 63.74% (CRR binomial tree, American, n=20 steps) | BS IV: 64.13% (European Black-Scholes) | Yahoo IV (Annual): 65.01% → 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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.64. Further, an Excess 峰度 of 16.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.61%	10	0.50%	0.50%
-10.61% to -7.94%	18	0.90%	1.39%
-7.94% to -5.27%	66	3.29%	4.68%
-5.27% to -2.60%	241	12.00%	16.68%
-2.60% to 0.07%	669	33.32%	50.00%
0.07% to 2.74%	673	33.52%	83.52%
2.74% to 5.41%	245	12.20%	95.72%
5.41% to 8.09%	59	2.94%	98.66%
8.09% to 10.76%	11	0.55%	99.20%
Greater than 10.76%	16	0.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.49%	3.63%	78.59%	68.27%
±2σ	-7.05%	7.20%	96.31%	95.45%
±3σ	-10.61%	10.76%	98.71%	99.73%

Descriptive Statistics

均值	0.073%
Standard Error	0.079%
中位数	0.072%
Mode	0.000%
Standard Deviation	3.561%
Sample Variance	12.684%
峰度	16.62
偏度	-0.64
Range	70.081%
Minimum	-42.225%
Maximum	27.856%
Count	2008

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.425%	1023	50.95%	1.235%
负向	-2.382%	980	48.80%	-1.163%
Zero	0.000%	5	0.25%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.67%
20	1 Month	5.06%
60	1 Quarter	5.31%
250	1 Year	3.82%
750	3 Years	3.61%
1,250	5 Years	4.41%
2,500	10 Years	4.55%
5,000	20 Years	4.55%
12,500	50 Years	4.55%

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 2.08. Further, an Excess 峰度 of 8.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.00%	0	0.00%	0.00%
-3.00% to -1.17%	0	0.00%	0.00%
-1.17% to 0.66%	0	0.00%	0.00%
0.66% to 2.50%	443	22.05%	22.05%
2.50% to 4.33%	784	39.02%	61.08%
4.33% to 6.16%	435	21.65%	82.73%
6.16% to 8.00%	192	9.56%	92.28%
8.00% to 9.83%	82	4.08%	96.37%
9.83% to 11.66%	38	1.89%	98.26%
Greater than 11.66%	35	1.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.89%	6.77%	79.49%	68.27%
±2σ	-0.56%	9.22%	95.62%	95.45%
±3σ	-3.00%	11.66%	98.26%	99.73%

Descriptive Statistics

均值	4.330%
Standard Error	0.055%
中位数	3.739%
Mode	2.469%
Standard Deviation	2.444%
Sample Variance	5.974%
峰度	8.99
偏度	2.08
Range	28.909%
Minimum	0.779%
Maximum	29.688%
Count	2009

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.330%	2009	100.00%	4.330%
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 0.16. 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 -8.65%	9	0.45%	0.45%
-8.65% to -6.49%	23	1.14%	1.59%
-6.49% to -4.33%	77	3.83%	5.43%
-4.33% to -2.16%	273	13.59%	19.01%
-2.16% to 0.00%	646	32.16%	51.17%
0.00% to 2.16%	609	30.31%	81.48%
2.16% to 4.33%	247	12.29%	93.78%
4.33% to 6.49%	82	4.08%	97.86%
6.49% to 8.65%	31	1.54%	99.40%
Greater than 8.65%	12	0.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.88%	2.88%	73.37%	68.27%
±2σ	-5.77%	5.77%	94.52%	95.45%
±3σ	-8.65%	8.65%	98.95%	99.73%

Descriptive Statistics

均值	0.000%
Standard Error	0.064%
中位数	-0.080%
Mode	0.000%
Standard Deviation	2.885%
Sample Variance	8.322%
峰度	2.08
偏度	0.16
Range	27.741%
Minimum	-13.151%
Maximum	14.590%
Count	2009

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.182%	975	48.53%	1.059%
负向	-2.070%	1028	51.17%	-1.059%
Zero	0.000%	6	0.30%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.29. Further, an Excess 峰度 of 3.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.68%	3	0.72%	0.72%
-22.68% to -16.92%	6	1.44%	2.16%
-16.92% to -11.16%	17	4.08%	6.24%
-11.16% to -5.41%	51	12.23%	18.47%
-5.41% to 0.35%	123	29.50%	47.96%
0.35% to 6.10%	146	35.01%	82.97%
6.10% to 11.86%	52	12.47%	95.44%
11.86% to 17.61%	12	2.88%	98.32%
17.61% to 23.37%	3	0.72%	99.04%
Greater than 23.37%	4	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.33%	8.02%	77.70%	68.27%
±2σ	-15.00%	15.70%	94.72%	95.45%
±3σ	-22.68%	23.37%	98.32%	99.73%

Descriptive Statistics

均值	0.347%
Standard Error	0.376%
中位数	0.746%
Mode	-0.682%
Standard Deviation	7.674%
Sample Variance	58.898%
峰度	3.90
偏度	-0.29
Range	73.676%
Minimum	-42.791%
Maximum	30.885%
Count	417

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.556%	224	53.72%	2.985%
负向	-5.699%	193	46.28%	-2.638%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.68%
12	1 Quarter	11.78%
52	1 Year	9.03%
156	3 Years	8.78%
260	5 Years	10.75%
520	10 Years	10.86%
1,040	20 Years	10.86%
2,600	50 Years	10.86%

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 3.94. Further, an Excess 峰度 of 28.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.68%	0	0.00%	0.00%
-12.68% to -6.59%	0	0.00%	0.00%
-6.59% to -0.52%	0	0.00%	0.00%
-0.52% to 5.56%	51	12.20%	12.20%
5.56% to 11.64%	221	52.87%	65.07%
11.64% to 17.72%	89	21.29%	86.36%
17.72% to 23.80%	28	6.70%	93.06%
23.80% to 29.88%	14	3.35%	96.41%
29.88% to 35.96%	8	1.91%	98.33%
Greater than 35.96%	7	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.54%	19.75%	88.04%	68.27%
±2σ	-4.57%	27.86%	96.17%	95.45%
±3σ	-12.67%	35.96%	98.33%	99.73%

Descriptive Statistics

均值	11.643%
Standard Error	0.396%
中位数	9.675%
Mode	6.579%
Standard Deviation	8.106%
Sample Variance	65.701%
峰度	28.97
偏度	3.94
Range	91.405%
Minimum	2.801%
Maximum	94.206%
Count	418

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.643%	418	100.00%	11.643%
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 2.27. Further, an Excess 峰度 of 16.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.70%	0	0.00%	0.00%
-24.70% to -18.45%	4	0.96%	0.96%
-18.45% to -12.20%	12	2.87%	3.83%
-12.20% to -5.94%	44	10.53%	14.35%
-5.94% to 0.31%	174	41.63%	55.98%
0.31% to 6.57%	117	27.99%	83.97%
6.57% to 12.82%	42	10.05%	94.02%
12.82% to 19.08%	16	3.83%	97.85%
19.08% to 25.33%	5	1.20%	99.04%
Greater than 25.33%	4	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.03%	8.65%	80.86%	68.27%
±2σ	-16.37%	16.99%	95.45%	95.45%
±3σ	-24.70%	25.33%	99.04%	99.73%

Descriptive Statistics

均值	0.313%
Standard Error	0.408%
中位数	-0.732%
Mode	-5.543%
Standard Deviation	8.339%
Sample Variance	69.539%
峰度	16.94
偏度	2.27
Range	99.041%
Minimum	-23.534%
Maximum	75.507%
Count	418

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.568%	190	45.45%	2.985%
负向	-4.921%	227	54.31%	-2.672%
Zero	0.000%	1	0.24%	0.000%

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 0.90 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.31%	0	0.00%	0.00%
-40.31% to -29.95%	2	2.08%	2.08%
-29.95% to -19.59%	3	3.12%	5.21%
-19.59% to -9.23%	17	17.71%	22.92%
-9.23% to 1.13%	26	27.08%	50.00%
1.13% to 11.48%	29	30.21%	80.21%
11.48% to 21.84%	11	11.46%	91.67%
21.84% to 32.20%	4	4.17%	95.83%
32.20% to 42.56%	4	4.17%	100.00%
Greater than 42.56%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.68%	14.94%	77.08%	68.27%
±2σ	-26.50%	28.75%	92.71%	95.45%
±3σ	-40.31%	42.56%	100.00%	99.73%

Descriptive Statistics

均值	1.127%
Standard Error	1.410%
中位数	0.800%
Mode	-38.176%
Standard Deviation	13.811%
Sample Variance	190.756%
峰度	0.90
偏度	0.26
Range	76.838%
Minimum	-38.176%
Maximum	38.662%
Count	96

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.428%	49	51.04%	5.833%
负向	-9.611%	47	48.96%	-4.705%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	18.67%
12	1 Year	17.27%
36	3 Years	19.03%
60	5 Years	22.61%
120	10 Years	22.94%
240	20 Years	22.94%
600	50 Years	22.94%

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 1.77. Further, an Excess 峰度 of 4.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.68%	0	0.00%	0.00%
-15.68% to -5.13%	0	0.00%	0.00%
-5.13% to 5.42%	0	0.00%	0.00%
5.42% to 15.96%	23	23.71%	23.71%
15.96% to 26.51%	37	38.14%	61.86%
26.51% to 37.06%	20	20.62%	82.47%
37.06% to 47.60%	9	9.28%	91.75%
47.60% to 58.15%	5	5.15%	96.91%
58.15% to 68.69%	1	1.03%	97.94%
Greater than 68.69%	2	2.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.45%	40.57%	83.51%	68.27%
±2σ	-1.61%	54.63%	95.88%	95.45%
±3σ	-15.68%	68.69%	97.94%	99.73%

Descriptive Statistics

均值	26.509%
Standard Error	1.428%
中位数	22.757%
Mode	10.514%
Standard Deviation	14.062%
Sample Variance	197.752%
峰度	4.45
偏度	1.77
Range	79.312%
Minimum	10.514%
Maximum	89.826%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.509%	97	100.00%	26.509%
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 1.11. Further, an Excess 峰度 of 3.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.67%	0	0.00%	0.00%
-42.67% to -31.78%	0	0.00%	0.00%
-31.78% to -20.89%	6	6.19%	6.19%
-20.89% to -10.00%	12	12.37%	18.56%
-10.00% to 0.89%	34	35.05%	53.61%
0.89% to 11.79%	27	27.84%	81.44%
11.79% to 22.68%	13	13.40%	94.85%
22.68% to 33.57%	3	3.09%	97.94%
33.57% to 44.46%	0	0.00%	97.94%
Greater than 44.46%	2	2.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.63%	15.42%	80.41%	68.27%
±2σ	-28.15%	29.94%	95.88%	95.45%
±3σ	-42.67%	44.46%	97.94%	99.73%

Descriptive Statistics

均值	0.894%
Standard Error	1.474%
中位数	-0.570%
Mode	-27.710%
Standard Deviation	14.521%
Sample Variance	210.868%
峰度	3.51
偏度	1.11
Range	90.588%
Minimum	-27.710%
Maximum	62.878%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.350%	45	46.39%	5.729%
负向	-9.019%	52	53.61%	-4.835%
Zero	0.000%	0	0.00%	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 1.00. Further, an Excess 峰度 of 2.23 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -89.81%	0	0.00%	0.00%
-89.81% to -66.13%	0	0.00%	0.00%
-66.13% to -42.45%	1	3.12%	3.12%
-42.45% to -18.77%	6	18.75%	21.88%
-18.77% to 4.91%	11	34.38%	56.25%
4.91% to 28.59%	8	25.00%	81.25%
28.59% to 52.28%	4	12.50%	93.75%
52.28% to 75.96%	1	3.12%	96.88%
75.96% to 99.64%	0	0.00%	96.88%
Greater than 99.64%	1	3.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.66%	36.49%	75.00%	68.27%
±2σ	-58.24%	68.06%	96.88%	95.45%
±3σ	-89.82%	99.64%	96.88%	99.73%

Descriptive Statistics

均值	4.913%
Standard Error	5.582%
中位数	-3.788%
Mode	-54.806%
Standard Deviation	31.576%
Sample Variance	997.059%
峰度	2.23
偏度	1.00
Range	161.804%
Minimum	-54.806%
Maximum	106.998%
Count	32

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.104%	14	43.75%	14.483%
负向	-17.013%	18	56.25%	-9.570%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	27.12%
12	3 Years	35.14%
20	5 Years	39.86%
40	10 Years	42.88%
80	20 Years	42.88%
200	50 Years	42.88%

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 1.82. Further, an Excess 峰度 of 5.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.52%	0	0.00%	0.00%
-37.52% to -14.77%	0	0.00%	0.00%
-14.77% to 7.98%	0	0.00%	0.00%
7.98% to 30.73%	9	27.27%	27.27%
30.73% to 53.48%	10	30.30%	57.58%
53.48% to 76.22%	8	24.24%	81.82%
76.22% to 98.97%	4	12.12%	93.94%
98.97% to 121.72%	1	3.03%	96.97%
121.72% to 144.47%	0	0.00%	96.97%
Greater than 144.47%	1	3.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.14%	83.81%	87.88%	68.27%
±2σ	-7.19%	114.14%	96.97%	95.45%
±3σ	-37.52%	144.47%	96.97%	99.73%

Descriptive Statistics

均值	53.475%
Standard Error	5.280%
中位数	45.815%
Mode	10.514%
Standard Deviation	30.333%
Sample Variance	920.072%
峰度	5.06
偏度	1.82
Range	156.130%
Minimum	10.514%
Maximum	166.644%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.475%	33	100.00%	53.475%
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 1.47. Further, an Excess 峰度 of 4.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -92.58%	0	0.00%	0.00%
-92.58% to -68.48%	0	0.00%	0.00%
-68.48% to -44.39%	1	3.03%	3.03%
-44.39% to -20.30%	6	18.18%	21.21%
-20.30% to 3.80%	10	30.30%	51.52%
3.80% to 27.89%	10	30.30%	81.82%
27.89% to 51.98%	4	12.12%	93.94%
51.98% to 76.08%	1	3.03%	96.97%
76.08% to 100.17%	0	0.00%	96.97%
Greater than 100.17%	1	3.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.33%	35.92%	81.82%	68.27%
±2σ	-60.45%	68.05%	96.97%	95.45%
±3σ	-92.58%	100.17%	96.97%	99.73%

Descriptive Statistics

均值	3.796%
Standard Error	5.592%
中位数	2.393%
Mode	-52.410%
Standard Deviation	32.125%
Sample Variance	1032.011%
峰度	4.31
偏度	1.47
Range	172.868%
Minimum	-52.410%
Maximum	120.458%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.689%	18	54.55%	13.467%
负向	-21.275%	15	45.45%	-9.671%
Zero	0.000%	0	0.00%	0.000%

DOCU 深度分析报告