DQ 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	5.12%	4.26%	4.54%	6.22%	4.40%	4.48%	22.00	24.02	21.05	25.11
周度	11.68%	10.46%	11.13%	14.80%	9.69%	9.86%	20.87	25.33	18.94	27.91
月度	26.10%	28.99%	22.35%	30.61%	20.18%	20.52%	18.79	28.13	15.36	34.42
季度	55.38%	73.67%	43.80%	55.48%	34.95%	35.55%	16.21	32.61	11.43	46.25
Annual	—	—	—	—	69.89%	71.09%	11.43	46.25	5.68	93.03
Option Time Horizon	—	—	—	—	26.63%	27.09%	17.61	30.01	13.50	39.16

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $22.99 | Strike (K): $25.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.7250 (Bid $1.5000 / Ask $1.9500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 69.89% (CRR binomial tree, American, n=20 steps) | BS IV: 70.47% (European Black-Scholes) | Yahoo IV (Annual): 71.09% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.98. 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 -15.20%	13	0.33%	0.33%
-15.20% to -11.36%	36	0.92%	1.25%
-11.36% to -7.53%	136	3.48%	4.73%
-7.53% to -3.69%	512	13.10%	17.83%
-3.69% to 0.15%	1384	35.41%	53.24%
0.15% to 3.99%	1163	29.75%	82.99%
3.99% to 7.82%	448	11.46%	94.45%
7.82% to 11.66%	117	2.99%	97.44%
11.66% to 15.50%	62	1.59%	99.03%
Greater than 15.50%	38	0.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.97%	5.27%	76.11%	68.27%
±2σ	-10.09%	10.38%	95.09%	95.45%
±3σ	-15.20%	15.50%	98.70%	99.73%

Descriptive Statistics

均值	0.149%
Standard Error	0.082%
中位数	-0.054%
Mode	0.000%
Standard Deviation	5.117%
Sample Variance	26.188%
峰度	8.29
偏度	0.98
Range	84.371%
Minimum	-23.246%
Maximum	61.125%
Count	3909

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.878%	1894	48.45%	1.879%
负向	-3.435%	1969	50.37%	-1.730%
Zero	0.000%	46	1.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.22%
20	1 Month	4.90%
60	1 Quarter	5.16%
250	1 Year	5.97%
750	3 Years	5.75%
1,250	5 Years	6.22%
2,500	10 Years	6.39%
5,000	20 Years	6.91%
12,500	50 Years	6.91%

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 3.38. Further, an Excess 峰度 of 29.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.01%	0	0.00%	0.00%
-6.01% to -2.82%	0	0.00%	0.00%
-2.82% to 0.38%	0	0.00%	0.00%
0.38% to 3.58%	674	17.24%	17.24%
3.58% to 6.78%	1765	45.14%	62.38%
6.78% to 9.97%	886	22.66%	85.04%
9.97% to 13.17%	328	8.39%	93.43%
13.17% to 16.37%	137	3.50%	96.93%
16.37% to 19.57%	54	1.38%	98.31%
Greater than 19.57%	66	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.51%	11.04%	83.94%	68.27%
±2σ	-1.75%	15.30%	96.06%	95.45%
±3σ	-6.01%	19.56%	98.31%	99.73%

Descriptive Statistics

均值	6.776%
Standard Error	0.068%
中位数	5.777%
Mode	6.250%
Standard Deviation	4.263%
Sample Variance	18.172%
峰度	29.53
偏度	3.38
Range	78.760%
Minimum	0.807%
Maximum	79.567%
Count	3910

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.776%	3910	100.00%	6.776%
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 0.10. Further, an Excess 峰度 of 4.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.42%	24	0.61%	0.61%
-13.42% to -10.02%	46	1.18%	1.79%
-10.02% to -6.61%	133	3.40%	5.19%
-6.61% to -3.20%	516	13.20%	18.39%
-3.20% to 0.20%	1251	31.99%	50.38%
0.20% to 3.61%	1265	32.35%	82.74%
3.61% to 7.02%	466	11.92%	94.65%
7.02% to 10.43%	140	3.58%	98.24%
10.43% to 13.83%	32	0.82%	99.05%
Greater than 13.83%	37	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.34%	4.75%	76.27%	68.27%
±2σ	-8.88%	9.29%	94.78%	95.45%
±3σ	-13.42%	13.83%	98.44%	99.73%

Descriptive Statistics

均值	0.205%
Standard Error	0.073%
中位数	0.175%
Mode	0.000%
Standard Deviation	4.543%
Sample Variance	20.637%
峰度	4.78
偏度	0.10
Range	71.806%
Minimum	-38.660%
Maximum	33.146%
Count	3910

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.309%	2038	52.12%	1.725%
负向	-3.257%	1824	46.65%	-1.519%
Zero	0.000%	48	1.23%	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 0.81. Further, an Excess 峰度 of 2.47 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.30%	3	0.37%	0.37%
-34.30% to -25.54%	2	0.25%	0.62%
-25.54% to -16.78%	25	3.08%	3.70%
-16.78% to -8.02%	145	17.88%	21.58%
-8.02% to 0.74%	267	32.92%	54.50%
0.74% to 9.50%	230	28.36%	82.86%
9.50% to 18.26%	78	9.62%	92.48%
18.26% to 27.02%	36	4.44%	96.92%
27.02% to 35.78%	18	2.22%	99.14%
Greater than 35.78%	7	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.94%	12.42%	75.96%	68.27%
±2σ	-22.62%	24.10%	93.71%	95.45%
±3σ	-34.30%	35.78%	98.77%	99.73%

Descriptive Statistics

均值	0.743%
Standard Error	0.410%
中位数	-0.372%
Mode	-9.777%
Standard Deviation	11.680%
Sample Variance	136.431%
峰度	2.47
偏度	0.81
Range	100.181%
Minimum	-38.668%
Maximum	61.513%
Count	811

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.575%	393	48.46%	4.640%
负向	-7.579%	417	51.42%	-3.897%
Zero	0.000%	1	0.12%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.86%
12	1 Quarter	9.74%
52	1 Year	13.71%
156	3 Years	13.77%
260	5 Years	14.80%
520	10 Years	15.18%
1,040	20 Years	16.44%
2,600	50 Years	16.44%

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 2.25. Further, an Excess 峰度 of 8.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.64%	0	0.00%	0.00%
-13.64% to -5.80%	0	0.00%	0.00%
-5.80% to 2.04%	0	0.00%	0.00%
2.04% to 9.88%	154	18.97%	18.97%
9.88% to 17.72%	353	43.47%	62.44%
17.72% to 25.56%	178	21.92%	84.36%
25.56% to 33.41%	68	8.37%	92.73%
33.41% to 41.25%	32	3.94%	96.67%
41.25% to 49.09%	14	1.72%	98.40%
Greater than 49.09%	13	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.27%	28.18%	80.91%	68.27%
±2σ	-3.19%	38.63%	95.20%	95.45%
±3σ	-13.64%	49.09%	98.40%	99.73%

Descriptive Statistics

均值	17.723%
Standard Error	0.367%
中位数	15.039%
Mode	12.500%
Standard Deviation	10.455%
Sample Variance	109.312%
峰度	8.20
偏度	2.25
Range	88.735%
Minimum	3.912%
Maximum	92.647%
Count	812

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.723%	812	100.00%	17.723%
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 0.42. Further, an Excess 峰度 of 2.55 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.73%	3	0.37%	0.37%
-32.73% to -24.39%	9	1.11%	1.48%
-24.39% to -16.04%	38	4.68%	6.16%
-16.04% to -7.70%	101	12.44%	18.60%
-7.70% to 0.65%	266	32.76%	51.35%
0.65% to 8.99%	237	29.19%	80.54%
8.99% to 17.34%	112	13.79%	94.33%
17.34% to 25.68%	28	3.45%	97.78%
25.68% to 34.03%	13	1.60%	99.38%
Greater than 34.03%	5	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.48%	11.77%	75.86%	68.27%
±2σ	-21.61%	22.90%	94.70%	95.45%
±3σ	-32.73%	34.03%	99.01%	99.73%

Descriptive Statistics

均值	0.647%
Standard Error	0.390%
中位数	0.354%
Mode	0.000%
Standard Deviation	11.127%
Sample Variance	123.819%
峰度	2.55
偏度	0.42
Range	94.584%
Minimum	-37.981%
Maximum	56.603%
Count	812

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.718%	412	50.74%	4.423%
负向	-7.783%	394	48.52%	-3.776%
Zero	0.000%	6	0.74%	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 2.31. Further, an Excess 峰度 of 12.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -75.24%	0	0.00%	0.00%
-75.24% to -55.66%	0	0.00%	0.00%
-55.66% to -36.09%	5	2.69%	2.69%
-36.09% to -16.51%	30	16.13%	18.82%
-16.51% to 3.07%	73	39.25%	58.06%
3.07% to 22.64%	51	27.42%	85.48%
22.64% to 42.22%	15	8.06%	93.55%
42.22% to 61.80%	9	4.84%	98.39%
61.80% to 81.37%	1	0.54%	98.92%
Greater than 81.37%	2	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.03%	29.17%	75.81%	68.27%
±2σ	-49.14%	55.27%	97.85%	95.45%
±3σ	-75.24%	81.37%	98.92%	99.73%

Descriptive Statistics

均值	3.068%
Standard Error	1.914%
中位数	-0.806%
Mode	-39.211%
Standard Deviation	26.102%
Sample Variance	681.303%
峰度	12.59
偏度	2.31
Range	222.812%
Minimum	-39.211%
Maximum	183.601%
Count	186

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.605%	90	48.39%	10.454%
负向	-14.310%	96	51.61%	-7.386%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	16.82%
12	1 Year	28.05%
36	3 Years	29.20%
60	5 Years	30.61%
120	10 Years	31.93%
240	20 Years	36.01%
600	50 Years	36.01%

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 4.13. Further, an Excess 峰度 of 28.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.10%	0	0.00%	0.00%
-44.10% to -22.36%	0	0.00%	0.00%
-22.36% to -0.61%	0	0.00%	0.00%
-0.61% to 21.13%	23	12.30%	12.30%
21.13% to 42.87%	100	53.48%	65.78%
42.87% to 64.62%	39	20.86%	86.63%
64.62% to 86.36%	16	8.56%	95.19%
86.36% to 108.10%	5	2.67%	97.86%
108.10% to 129.85%	2	1.07%	98.93%
Greater than 129.85%	2	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.88%	71.87%	88.24%	68.27%
±2σ	-15.11%	100.86%	97.33%	95.45%
±3σ	-44.10%	129.85%	98.93%	99.73%

Descriptive Statistics

均值	42.874%
Standard Error	2.120%
中位数	35.322%
Mode	12.185%
Standard Deviation	28.991%
Sample Variance	840.470%
峰度	28.04
偏度	4.13
Range	273.624%
Minimum	12.185%
Maximum	285.809%
Count	187

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.874%	187	100.00%	42.874%
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 0.45. Further, an Excess 峰度 of 0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.76%	0	0.00%	0.00%
-64.76% to -47.99%	2	1.07%	1.07%
-47.99% to -31.23%	5	2.67%	3.74%
-31.23% to -14.46%	33	17.65%	21.39%
-14.46% to 2.30%	60	32.09%	53.48%
2.30% to 19.07%	51	27.27%	80.75%
19.07% to 35.83%	20	10.70%	91.44%
35.83% to 52.60%	10	5.35%	96.79%
52.60% to 69.36%	6	3.21%	100.00%
Greater than 69.36%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.05%	24.66%	72.19%	68.27%
±2σ	-42.41%	47.01%	94.12%	95.45%
±3σ	-64.76%	69.36%	100.00%	99.73%

Descriptive Statistics

均值	2.301%
Standard Error	1.635%
中位数	1.022%
Mode	-0.284%
Standard Deviation	22.354%
Sample Variance	499.713%
峰度	0.56
偏度	0.45
Range	126.517%
Minimum	-63.946%
Maximum	62.571%
Count	187

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.746%	96	51.34%	9.624%
负向	-15.047%	91	48.66%	-7.322%
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 1.72. Further, an Excess 峰度 of 3.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -154.59%	0	0.00%	0.00%
-154.59% to -113.05%	0	0.00%	0.00%
-113.05% to -71.52%	0	0.00%	0.00%
-71.52% to -29.99%	12	19.35%	19.35%
-29.99% to 11.54%	29	46.77%	66.13%
11.54% to 53.08%	10	16.13%	82.26%
53.08% to 94.61%	7	11.29%	93.55%
94.61% to 136.14%	1	1.61%	95.16%
136.14% to 177.68%	1	1.61%	96.77%
Greater than 177.68%	2	3.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.83%	66.92%	77.42%	68.27%
±2σ	-99.21%	122.30%	95.16%	95.45%
±3σ	-154.59%	177.68%	96.77%	99.73%

Descriptive Statistics

均值	11.544%
Standard Error	7.033%
中位数	-3.450%
Mode	-53.608%
Standard Deviation	55.377%
Sample Variance	3066.607%
峰度	3.69
偏度	1.72
Range	271.309%
Minimum	-53.608%
Maximum	217.701%
Count	62

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.050%	29	46.77%	24.814%
负向	-24.931%	33	53.23%	-13.270%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	57.55%
12	3 Years	55.16%
20	5 Years	55.48%
40	10 Years	62.97%
80	20 Years	72.97%
200	50 Years	72.97%

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 2.72. Further, an Excess 峰度 of 9.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -123.14%	0	0.00%	0.00%
-123.14% to -67.89%	0	0.00%	0.00%
-67.89% to -12.64%	0	0.00%	0.00%
-12.64% to 42.62%	8	12.70%	12.70%
42.62% to 97.86%	32	50.79%	63.49%
97.86% to 153.12%	14	22.22%	85.71%
153.12% to 208.37%	6	9.52%	95.24%
208.37% to 263.62%	0	0.00%	95.24%
263.62% to 318.87%	1	1.59%	96.83%
Greater than 318.87%	2	3.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.20%	171.53%	93.65%	68.27%
±2σ	-49.47%	245.20%	95.24%	95.45%
±3σ	-123.14%	318.87%	96.83%	99.73%

Descriptive Statistics

均值	97.865%
Standard Error	9.281%
中位数	73.584%
Mode	31.855%
Standard Deviation	73.667%
Sample Variance	5426.824%
峰度	9.02
偏度	2.72
Range	390.933%
Minimum	31.855%
Maximum	422.788%
Count	63

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	97.865%	63	100.00%	97.865%
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 0.58. Further, an Excess 峰度 of -0.04 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -123.54%	0	0.00%	0.00%
-123.54% to -90.69%	0	0.00%	0.00%
-90.69% to -57.84%	3	4.76%	4.76%
-57.84% to -24.99%	13	20.63%	25.40%
-24.99% to 7.86%	19	30.16%	55.56%
7.86% to 40.71%	16	25.40%	80.95%
40.71% to 73.56%	6	9.52%	90.48%
73.56% to 106.41%	4	6.35%	96.83%
106.41% to 139.26%	2	3.17%	100.00%
Greater than 139.26%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.94%	51.66%	68.25%	68.27%
±2σ	-79.74%	95.46%	96.83%	95.45%
±3σ	-123.54%	139.26%	100.00%	99.73%

Descriptive Statistics

均值	7.861%
Standard Error	5.518%
中位数	4.530%
Mode	-68.684%
Standard Deviation	43.800%
Sample Variance	1918.476%
峰度	-0.04
偏度	0.58
Range	184.425%
Minimum	-68.684%
Maximum	115.741%
Count	63

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.738%	35	55.56%	20.966%
负向	-29.485%	28	44.44%	-13.104%
Zero	0.000%	0	0.00%	0.000%

DQ 深度分析报告