ENPH 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	5.03%	4.03%	4.32%	5.76%	5.39%	5.44%	33.89	37.75	32.12	39.84
周度	11.55%	10.91%	11.70%	13.80%	11.86%	11.98%	31.77	40.27	28.22	45.34
月度	23.85%	25.17%	22.37%	29.48%	24.68%	24.93%	27.95	45.78	21.83	58.60
季度	44.65%	37.32%	38.44%	52.51%	42.75%	43.19%	23.33	54.85	15.21	84.11
Annual	—	—	—	—	85.50%	86.38%	15.21	84.11	6.47	197.76
Option Time Horizon	—	—	—	—	32.58%	32.91%	25.82	49.55	18.64	68.63

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $35.77 | Strike (K): $40.00 (first OTM call ≥ spot) | Observed Mid-价格: $3.1600 (Bid $2.9700 / Ask $3.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 85.50% (CRR binomial tree, American, n=20 steps) | BS IV: 85.94% (European Black-Scholes) | Yahoo IV (Annual): 86.38% → 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 0.58. Further, an Excess 峰度 of 8.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.93%	21	0.59%	0.59%
-14.93% to -11.16%	22	0.62%	1.22%
-11.16% to -7.38%	121	3.42%	4.64%
-7.38% to -3.61%	436	12.33%	16.97%
-3.61% to 0.17%	1227	34.70%	51.67%
0.17% to 3.95%	1120	31.67%	83.34%
3.95% to 7.72%	420	11.88%	95.22%
7.72% to 11.50%	97	2.74%	97.96%
11.50% to 15.27%	35	0.99%	98.95%
Greater than 15.27%	37	1.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.86%	5.20%	78.51%	68.27%
±2σ	-9.90%	10.24%	95.96%	95.45%
±3σ	-14.93%	15.27%	98.36%	99.73%

Descriptive Statistics

均值	0.170%
Standard Error	0.085%
中位数	0.000%
Mode	0.000%
Standard Deviation	5.034%
Sample Variance	25.338%
峰度	8.46
偏度	0.58
Range	79.811%
Minimum	-37.366%
Maximum	42.445%
Count	3536

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.675%	1747	49.41%	1.816%
负向	-3.384%	1719	48.61%	-1.645%
Zero	0.000%	70	1.98%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.69%
20	1 Month	6.10%
60	1 Quarter	6.87%
250	1 Year	6.05%
750	3 Years	5.58%
1,250	5 Years	5.76%
2,500	10 Years	6.58%
5,000	20 Years	6.87%
12,500	50 Years	6.87%

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 3.21. Further, an Excess 峰度 of 21.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.32%	0	0.00%	0.00%
-5.32% to -2.30%	0	0.00%	0.00%
-2.30% to 0.72%	0	0.00%	0.00%
0.72% to 3.75%	615	17.39%	17.39%
3.75% to 6.77%	1597	45.15%	62.54%
6.77% to 9.79%	800	22.62%	85.16%
9.79% to 12.81%	304	8.59%	93.75%
12.81% to 15.84%	111	3.14%	96.89%
15.84% to 18.86%	51	1.44%	98.33%
Greater than 18.86%	59	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.74%	10.80%	84.76%	68.27%
±2σ	-1.29%	14.83%	96.18%	95.45%
±3σ	-5.32%	18.86%	98.33%	99.73%

Descriptive Statistics

均值	6.767%
Standard Error	0.068%
中位数	5.855%
Mode	4.000%
Standard Deviation	4.030%
Sample Variance	16.245%
峰度	21.41
偏度	3.21
Range	56.122%
Minimum	0.840%
Maximum	56.962%
Count	3537

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.767%	3537	100.00%	6.767%
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 0.64. Further, an Excess 峰度 of 5.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.76%	18	0.51%	0.51%
-12.76% to -9.52%	26	0.74%	1.24%
-9.52% to -6.28%	135	3.82%	5.06%
-6.28% to -3.04%	491	13.88%	18.94%
-3.04% to 0.21%	1148	32.46%	51.40%
0.21% to 3.45%	1073	30.34%	81.74%
3.45% to 6.69%	433	12.24%	93.98%
6.69% to 9.93%	144	4.07%	98.05%
9.93% to 13.18%	49	1.39%	99.43%
Greater than 13.18%	20	0.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.12%	4.53%	75.04%	68.27%
±2σ	-8.44%	8.85%	95.25%	95.45%
±3σ	-12.76%	13.18%	98.93%	99.73%

Descriptive Statistics

均值	0.206%
Standard Error	0.073%
中位数	0.086%
Mode	0.000%
Standard Deviation	4.323%
Sample Variance	18.691%
峰度	5.62
偏度	0.64
Range	55.965%
Minimum	-20.420%
Maximum	35.545%
Count	3537

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.305%	1784	50.44%	1.667%
负向	-3.085%	1675	47.36%	-1.461%
Zero	0.000%	78	2.21%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.49. Further, an Excess 峰度 of 2.63 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.78%	4	0.54%	0.54%
-33.78% to -25.12%	7	0.95%	1.50%
-25.12% to -16.46%	27	3.68%	5.18%
-16.46% to -7.80%	100	13.62%	18.80%
-7.80% to 0.86%	235	32.02%	50.82%
0.86% to 9.52%	229	31.20%	82.02%
9.52% to 18.18%	93	12.67%	94.69%
18.18% to 26.85%	18	2.45%	97.14%
26.85% to 35.51%	15	2.04%	99.18%
Greater than 35.51%	6	0.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.69%	12.41%	76.29%	68.27%
±2σ	-22.23%	23.96%	94.55%	95.45%
±3σ	-33.78%	35.51%	98.64%	99.73%

Descriptive Statistics

均值	0.863%
Standard Error	0.426%
中位数	0.590%
Mode	0.000%
Standard Deviation	11.548%
Sample Variance	133.354%
峰度	2.63
偏度	0.49
Range	100.815%
Minimum	-39.828%
Maximum	60.987%
Count	734

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.927%	383	52.18%	4.658%
负向	-8.051%	346	47.14%	-3.795%
Zero	0.000%	5	0.68%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.34%
12	1 Quarter	16.71%
52	1 Year	14.58%
156	3 Years	13.29%
260	5 Years	13.80%
520	10 Years	15.65%
1,040	20 Years	16.10%
2,600	50 Years	16.10%

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 2.75. Further, an Excess 峰度 of 12.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.12%	0	0.00%	0.00%
-15.12% to -6.93%	0	0.00%	0.00%
-6.93% to 1.25%	0	0.00%	0.00%
1.25% to 9.44%	117	15.92%	15.92%
9.44% to 17.62%	347	47.21%	63.13%
17.62% to 25.80%	161	21.90%	85.03%
25.80% to 33.99%	56	7.62%	92.65%
33.99% to 42.17%	26	3.54%	96.19%
42.17% to 50.35%	18	2.45%	98.64%
Greater than 50.35%	10	1.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.71%	28.53%	85.58%	68.27%
±2σ	-4.21%	39.44%	95.24%	95.45%
±3σ	-15.12%	50.36%	98.64%	99.73%

Descriptive Statistics

均值	17.619%
Standard Error	0.402%
中位数	14.448%
Mode	7.955%
Standard Deviation	10.912%
Sample Variance	119.074%
峰度	12.99
偏度	2.75
Range	99.709%
Minimum	3.911%
Maximum	103.620%
Count	735

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.619%	735	100.00%	17.619%
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 1.09. Further, an Excess 峰度 of 4.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.48%	2	0.27%	0.27%
-34.48% to -25.71%	6	0.82%	1.09%
-25.71% to -16.93%	25	3.40%	4.49%
-16.93% to -8.16%	101	13.74%	18.23%
-8.16% to 0.62%	263	35.78%	54.01%
0.62% to 9.39%	207	28.16%	82.18%
9.39% to 18.17%	91	12.38%	94.56%
18.17% to 26.94%	21	2.86%	97.41%
26.94% to 35.72%	10	1.36%	98.78%
Greater than 35.72%	9	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.08%	12.32%	77.14%	68.27%
±2σ	-22.78%	24.02%	94.42%	95.45%
±3σ	-34.48%	35.72%	98.50%	99.73%

Descriptive Statistics

均值	0.617%
Standard Error	0.432%
中位数	-0.015%
Mode	0.000%
Standard Deviation	11.700%
Sample Variance	136.879%
峰度	4.76
偏度	1.09
Range	109.129%
Minimum	-37.326%
Maximum	71.803%
Count	735

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.124%	360	48.98%	4.469%
负向	-7.694%	368	50.07%	-3.852%
Zero	0.000%	7	0.95%	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 1.12. Further, an Excess 峰度 of 2.51 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -68.10%	0	0.00%	0.00%
-68.10% to -50.21%	1	0.59%	0.59%
-50.21% to -32.32%	4	2.37%	2.96%
-32.32% to -14.43%	30	17.75%	20.71%
-14.43% to 3.46%	64	37.87%	58.58%
3.46% to 21.35%	40	23.67%	82.25%
21.35% to 39.24%	18	10.65%	92.90%
39.24% to 57.13%	9	5.33%	98.22%
57.13% to 75.02%	1	0.59%	98.82%
Greater than 75.02%	2	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.39%	27.31%	73.96%	68.27%
±2σ	-44.24%	51.16%	95.27%	95.45%
±3σ	-68.10%	75.02%	98.82%	99.73%

Descriptive Statistics

均值	3.459%
Standard Error	1.835%
中位数	-0.818%
Mode	-53.611%
Standard Deviation	23.852%
Sample Variance	568.903%
峰度	2.51
偏度	1.12
Range	163.791%
Minimum	-53.611%
Maximum	110.180%
Count	169

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.124%	81	47.93%	10.604%
负向	-13.879%	87	51.48%	-7.145%
Zero	0.000%	1	0.59%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	32.19%
12	1 Year	29.16%
36	3 Years	28.46%
60	5 Years	29.48%
120	10 Years	35.76%
240	20 Years	36.15%
600	50 Years	36.15%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.03%	0	0.00%	0.00%
-32.03% to -13.15%	0	0.00%	0.00%
-13.15% to 5.73%	0	0.00%	0.00%
5.73% to 24.60%	27	15.88%	15.88%
24.60% to 43.48%	73	42.94%	58.82%
43.48% to 62.36%	47	27.65%	86.47%
62.36% to 81.24%	12	7.06%	93.53%
81.24% to 100.11%	7	4.12%	97.65%
100.11% to 118.99%	0	0.00%	97.65%
Greater than 118.99%	4	2.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.31%	68.65%	83.53%	68.27%
±2σ	-6.86%	93.82%	96.47%	95.45%
±3σ	-32.03%	118.99%	97.65%	99.73%

Descriptive Statistics

均值	43.482%
Standard Error	1.930%
中位数	36.831%
Mode	29.188%
Standard Deviation	25.170%
Sample Variance	633.518%
峰度	9.15
偏度	2.50
Range	164.239%
Minimum	10.307%
Maximum	174.546%
Count	170

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.482%	170	100.00%	43.482%
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 0.86. Further, an Excess 峰度 of 3.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.25%	0	0.00%	0.00%
-65.25% to -48.47%	1	0.59%	0.59%
-48.47% to -31.70%	9	5.29%	5.88%
-31.70% to -14.93%	28	16.47%	22.35%
-14.93% to 1.85%	46	27.06%	49.41%
1.85% to 18.62%	51	30.00%	79.41%
18.62% to 35.40%	25	14.71%	94.12%
35.40% to 52.17%	6	3.53%	97.65%
52.17% to 68.95%	3	1.76%	99.41%
Greater than 68.95%	1	0.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.52%	24.21%	72.94%	68.27%
±2σ	-42.88%	46.58%	95.88%	95.45%
±3σ	-65.25%	68.95%	99.41%	99.73%

Descriptive Statistics

均值	1.849%
Standard Error	1.715%
中位数	2.203%
Mode	-52.422%
Standard Deviation	22.366%
Sample Variance	500.231%
峰度	3.36
偏度	0.86
Range	168.590%
Minimum	-52.422%
Maximum	116.168%
Count	170

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.762%	90	52.94%	9.403%
负向	-16.255%	79	46.47%	-7.554%
Zero	0.000%	1	0.59%	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 1.18. Further, an Excess 峰度 of 2.28 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -123.21%	0	0.00%	0.00%
-123.21% to -89.72%	0	0.00%	0.00%
-89.72% to -56.23%	0	0.00%	0.00%
-56.23% to -22.74%	17	30.36%	30.36%
-22.74% to 10.76%	16	28.57%	58.93%
10.76% to 44.25%	11	19.64%	78.57%
44.25% to 77.74%	8	14.29%	92.86%
77.74% to 111.23%	3	5.36%	98.21%
111.23% to 144.72%	0	0.00%	98.21%
Greater than 144.72%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.90%	55.41%	73.21%	68.27%
±2σ	-78.55%	100.06%	98.21%	95.45%
±3σ	-123.21%	144.72%	98.21%	99.73%

Descriptive Statistics

均值	10.755%
Standard Error	5.967%
中位数	2.376%
Mode	-52.983%
Standard Deviation	44.654%
Sample Variance	1993.998%
峰度	2.28
偏度	1.18
Range	233.361%
Minimum	-52.983%
Maximum	180.378%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.374%	30	53.57%	22.700%
负向	-25.729%	26	46.43%	-11.946%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	50.18%
12	3 Years	48.10%
20	5 Years	52.51%
40	10 Years	69.52%
80	20 Years	67.14%
200	50 Years	67.14%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.67. Further, an Excess 峰度 of 0.08 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.27%	0	0.00%	0.00%
-24.27% to 3.72%	0	0.00%	0.00%
3.72% to 31.71%	2	3.51%	3.51%
31.71% to 59.70%	10	17.54%	21.05%
59.70% to 87.68%	19	33.33%	54.39%
87.68% to 115.67%	14	24.56%	78.95%
115.67% to 143.66%	7	12.28%	91.23%
143.66% to 171.64%	2	3.51%	94.74%
171.64% to 199.63%	3	5.26%	100.00%
Greater than 199.63%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	50.37%	125.00%	70.18%	68.27%
±2σ	13.05%	162.31%	94.74%	95.45%
±3σ	-24.27%	199.63%	100.00%	99.73%

Descriptive Statistics

均值	87.682%
Standard Error	4.943%
中位数	84.802%
Mode	24.471%
Standard Deviation	37.316%
Sample Variance	1392.462%
峰度	0.08
偏度	0.67
Range	154.529%
Minimum	24.471%
Maximum	179.000%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	87.682%	57	100.00%	87.682%
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 0.60. Further, an Excess 峰度 of -0.23 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -110.92%	0	0.00%	0.00%
-110.92% to -82.09%	0	0.00%	0.00%
-82.09% to -53.26%	1	1.75%	1.75%
-53.26% to -24.43%	17	29.82%	31.58%
-24.43% to 4.40%	14	24.56%	56.14%
4.40% to 33.23%	10	17.54%	73.68%
33.23% to 62.06%	10	17.54%	91.23%
62.06% to 90.89%	4	7.02%	98.25%
90.89% to 119.72%	1	1.75%	100.00%
Greater than 119.72%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.04%	42.84%	70.18%	68.27%
±2σ	-72.48%	81.28%	96.49%	95.45%
±3σ	-110.92%	119.72%	100.00%	99.73%

Descriptive Statistics

均值	4.401%
Standard Error	5.092%
中位数	-1.352%
Mode	-56.306%
Standard Deviation	38.441%
Sample Variance	1477.708%
峰度	-0.23
偏度	0.60
Range	165.951%
Minimum	-56.306%
Maximum	109.645%
Count	57

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.615%	27	47.37%	17.817%
负向	-25.492%	30	52.63%	-13.417%
Zero	0.000%	0	0.00%	0.000%

ENPH 深度分析报告