ENVA 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	3.27%	3.11%	3.00%	3.43%	2.47%	2.96%	162.59	170.82	158.62	175.09
周度	7.24%	7.76%	7.21%	8.19%	5.43%	6.51%	157.83	175.96	149.49	185.79
月度	14.49%	17.62%	14.95%	18.92%	11.31%	13.54%	148.82	186.61	132.90	208.97
季度	25.22%	38.73%	30.21%	34.51%	19.60%	23.46%	136.99	202.73	112.62	246.61
Annual	—	—	—	—	39.19%	46.91%	112.62	246.61	76.10	364.94
Option Time Horizon	—	—	—	—	14.93%	17.88%	143.53	193.49	123.62	224.66

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $166.65 | Strike (K): $170.00 (first OTM call ≥ spot) | Observed Mid-价格: $8.9000 (Bid $7.3000 / Ask $10.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 39.19% (CRR binomial tree, American, n=20 steps) | BS IV: 39.51% (European Black-Scholes) | Yahoo IV (Annual): 46.91% → 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 -0.42. Further, an Excess 峰度 of 16.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.68%	18	0.63%	0.63%
-9.68% to -7.23%	20	0.70%	1.32%
-7.23% to -4.78%	82	2.85%	4.17%
-4.78% to -2.33%	310	10.78%	14.95%
-2.33% to 0.12%	1025	35.64%	50.59%
0.12% to 2.57%	995	34.60%	85.19%
2.57% to 5.02%	307	10.67%	95.86%
5.02% to 7.46%	70	2.43%	98.30%
7.46% to 9.91%	22	0.76%	99.06%
Greater than 9.91%	27	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.15%	3.38%	81.15%	68.27%
±2σ	-6.41%	6.65%	95.83%	95.45%
±3σ	-9.68%	9.91%	98.44%	99.73%

Descriptive Statistics

均值	0.118%
Standard Error	0.061%
中位数	0.077%
Mode	0.000%
Standard Deviation	3.265%
Sample Variance	10.658%
峰度	16.49
偏度	-0.42
Range	65.146%
Minimum	-37.934%
Maximum	27.212%
Count	2876

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.214%	1465	50.94%	1.128%
负向	-2.141%	1357	47.18%	-1.010%
Zero	0.000%	54	1.88%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.93%
20	1 Month	3.46%
60	1 Quarter	4.05%
250	1 Year	3.37%
750	3 Years	3.21%
1,250	5 Years	3.43%
2,500	10 Years	3.98%
5,000	20 Years	4.12%
12,500	50 Years	4.12%

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 6.68. Further, an Excess 峰度 of 87.80 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 -2.99%	0	0.00%	0.00%
-2.99% to -0.66%	0	0.00%	0.00%
-0.66% to 1.68%	181	6.29%	6.29%
1.68% to 4.01%	1705	59.26%	65.55%
4.01% to 6.35%	661	22.98%	88.53%
6.35% to 8.68%	195	6.78%	95.31%
8.68% to 11.02%	65	2.26%	97.57%
11.02% to 13.35%	27	0.94%	98.51%
Greater than 13.35%	43	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.90%	7.12%	91.55%	68.27%
±2σ	-2.21%	10.24%	96.94%	95.45%
±3σ	-5.32%	13.35%	98.51%	99.73%

Descriptive Statistics

均值	4.013%
Standard Error	0.058%
中位数	3.280%
Mode	1.866%
Standard Deviation	3.112%
Sample Variance	9.685%
峰度	87.80
偏度	6.68
Range	64.839%
Minimum	0.722%
Maximum	65.561%
Count	2877

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.013%	2877	100.00%	4.013%
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 2.78. Further, an Excess 峰度 of 39.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.96%	17	0.59%	0.59%
-8.96% to -6.71%	14	0.49%	1.08%
-6.71% to -4.47%	84	2.92%	4.00%
-4.47% to -2.22%	304	10.57%	14.56%
-2.22% to 0.03%	1084	37.68%	52.24%
0.03% to 2.27%	969	33.68%	85.92%
2.27% to 4.52%	282	9.80%	95.72%
4.52% to 6.77%	77	2.68%	98.40%
6.77% to 9.01%	26	0.90%	99.30%
Greater than 9.01%	20	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.97%	3.02%	81.20%	68.27%
±2σ	-5.97%	6.02%	96.25%	95.45%
±3σ	-8.96%	9.01%	98.71%	99.73%

Descriptive Statistics

均值	0.026%
Standard Error	0.056%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.996%
Sample Variance	8.974%
峰度	39.94
偏度	2.78
Range	64.655%
Minimum	-17.391%
Maximum	47.264%
Count	2877

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.034%	1380	47.97%	0.976%
负向	-1.903%	1436	49.91%	-0.950%
Zero	0.000%	61	2.12%	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 0.73. Further, an Excess 峰度 of 5.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.13%	3	0.50%	0.50%
-21.13% to -15.70%	5	0.84%	1.34%
-15.70% to -10.28%	26	4.36%	5.70%
-10.28% to -4.85%	64	10.72%	16.42%
-4.85% to 0.58%	213	35.68%	52.09%
0.58% to 6.01%	196	32.83%	84.92%
6.01% to 11.43%	58	9.72%	94.64%
11.43% to 16.86%	20	3.35%	97.99%
16.86% to 22.29%	4	0.67%	98.66%
Greater than 22.29%	8	1.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.66%	7.81%	77.72%	68.27%
±2σ	-13.89%	15.05%	95.31%	95.45%
±3σ	-21.13%	22.29%	98.16%	99.73%

Descriptive Statistics

均值	0.579%
Standard Error	0.296%
中位数	0.348%
Mode	0.000%
Standard Deviation	7.236%
Sample Variance	52.360%
峰度	5.39
偏度	0.73
Range	79.205%
Minimum	-32.219%
Maximum	46.986%
Count	597

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.347%	314	52.60%	2.812%
负向	-4.762%	280	46.90%	-2.233%
Zero	0.000%	3	0.50%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.09%
12	1 Quarter	8.95%
52	1 Year	8.19%
156	3 Years	7.78%
260	5 Years	8.19%
520	10 Years	9.46%
1,040	20 Years	9.80%
2,600	50 Years	9.80%

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 3.33. Further, an Excess 峰度 of 17.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.83%	0	0.00%	0.00%
-12.83% to -7.01%	0	0.00%	0.00%
-7.01% to -1.19%	0	0.00%	0.00%
-1.19% to 4.63%	57	9.53%	9.53%
4.63% to 10.44%	345	57.69%	67.22%
10.44% to 16.26%	125	20.90%	88.13%
16.26% to 22.08%	31	5.18%	93.31%
22.08% to 27.90%	18	3.01%	96.32%
27.90% to 33.72%	10	1.67%	97.99%
Greater than 33.72%	12	2.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.69%	18.20%	89.63%	68.27%
±2σ	-5.07%	25.96%	95.48%	95.45%
±3σ	-12.83%	33.72%	97.99%	99.73%

Descriptive Statistics

均值	10.444%
Standard Error	0.317%
中位数	8.492%
Mode	3.717%
Standard Deviation	7.758%
Sample Variance	60.191%
峰度	17.03
偏度	3.33
Range	78.133%
Minimum	1.841%
Maximum	79.974%
Count	598

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.444%	598	100.00%	10.444%
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 0.82. Further, an Excess 峰度 of 5.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.63%	4	0.67%	0.67%
-21.63% to -16.22%	6	1.00%	1.67%
-16.22% to -10.82%	17	2.84%	4.52%
-10.82% to -5.41%	73	12.21%	16.72%
-5.41% to -0.00%	214	35.79%	52.51%
-0.00% to 5.40%	189	31.61%	84.11%
5.40% to 10.81%	54	9.03%	93.14%
10.81% to 16.21%	29	4.85%	97.99%
16.21% to 21.62%	5	0.84%	98.83%
Greater than 21.62%	7	1.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.21%	7.20%	77.09%	68.27%
±2σ	-14.42%	14.41%	95.65%	95.45%
±3σ	-21.63%	21.62%	98.16%	99.73%

Descriptive Statistics

均值	-0.004%
Standard Error	0.295%
中位数	-0.402%
Mode	-4.693%
Standard Deviation	7.208%
Sample Variance	51.951%
峰度	5.24
偏度	0.82
Range	75.460%
Minimum	-28.711%
Maximum	46.749%
Count	598

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.337%	282	47.16%	2.517%
负向	-4.801%	314	52.51%	-2.521%
Zero	0.000%	2	0.33%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.19. Further, an Excess 峰度 of 0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.00%	1	0.73%	0.73%
-41.00% to -30.13%	0	0.00%	0.73%
-30.13% to -19.26%	6	4.38%	5.11%
-19.26% to -8.39%	23	16.79%	21.90%
-8.39% to 2.48%	44	32.12%	54.01%
2.48% to 13.36%	33	24.09%	78.10%
13.36% to 24.23%	22	16.06%	94.16%
24.23% to 35.10%	4	2.92%	97.08%
35.10% to 45.97%	4	2.92%	100.00%
Greater than 45.97%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.01%	16.98%	67.15%	68.27%
±2σ	-26.50%	31.47%	94.16%	95.45%
±3σ	-41.00%	45.97%	99.27%	99.73%

Descriptive Statistics

均值	2.485%
Standard Error	1.238%
中位数	1.099%
Mode	-42.154%
Standard Deviation	14.495%
Sample Variance	210.097%
峰度	0.31
偏度	0.19
Range	81.774%
Minimum	-42.154%
Maximum	39.620%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.763%	74	54.02%	6.894%
负向	-9.742%	62	45.26%	-4.409%
Zero	0.000%	1	0.73%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	22.56%
12	1 Year	19.07%
36	3 Years	18.65%
60	5 Years	18.92%
120	10 Years	21.38%
240	20 Years	22.06%
600	50 Years	22.06%

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 4.20. Further, an Excess 峰度 of 27.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.19%	0	0.00%	0.00%
-27.19% to -13.97%	0	0.00%	0.00%
-13.97% to -0.76%	0	0.00%	0.00%
-0.76% to 12.46%	13	9.42%	9.42%
12.46% to 25.68%	74	53.62%	63.04%
25.68% to 38.90%	36	26.09%	89.13%
38.90% to 52.11%	9	6.52%	95.65%
52.11% to 65.33%	1	0.72%	96.38%
65.33% to 78.55%	3	2.17%	98.55%
Greater than 78.55%	2	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.06%	43.30%	92.03%	68.27%
±2σ	-9.57%	60.92%	95.65%	95.45%
±3σ	-27.19%	78.55%	98.55%	99.73%

Descriptive Statistics

均值	25.679%
Standard Error	1.500%
中位数	21.846%
Mode	8.571%
Standard Deviation	17.623%
Sample Variance	310.562%
峰度	27.55
偏度	4.20
Range	154.694%
Minimum	8.571%
Maximum	163.265%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.679%	138	100.00%	25.679%
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 1.08. Further, an Excess 峰度 of 3.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.94%	0	0.00%	0.00%
-44.94% to -33.72%	0	0.00%	0.00%
-33.72% to -22.51%	6	4.35%	4.35%
-22.51% to -11.30%	26	18.84%	23.19%
-11.30% to -0.08%	39	28.26%	51.45%
-0.08% to 11.13%	42	30.43%	81.88%
11.13% to 22.35%	16	11.59%	93.48%
22.35% to 33.56%	6	4.35%	97.83%
33.56% to 44.77%	2	1.45%	99.28%
Greater than 44.77%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.03%	14.87%	71.01%	68.27%
±2σ	-29.99%	29.82%	96.38%	95.45%
±3σ	-44.94%	44.77%	99.28%	99.73%

Descriptive Statistics

均值	-0.082%
Standard Error	1.273%
中位数	-0.889%
Mode	0.000%
Standard Deviation	14.952%
Sample Variance	223.558%
峰度	3.49
偏度	1.08
Range	101.628%
Minimum	-28.490%
Maximum	73.138%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.884%	64	46.38%	5.511%
负向	-10.722%	72	52.17%	-5.594%
Zero	0.000%	2	1.45%	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 0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.67%	0	0.00%	0.00%
-67.67% to -48.76%	1	2.22%	2.22%
-48.76% to -29.84%	1	2.22%	4.44%
-29.84% to -10.92%	5	11.11%	15.56%
-10.92% to 7.99%	20	44.44%	60.00%
7.99% to 26.91%	9	20.00%	80.00%
26.91% to 45.83%	4	8.89%	88.89%
45.83% to 64.74%	5	11.11%	100.00%
64.74% to 83.66%	0	0.00%	100.00%
Greater than 83.66%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.23%	33.21%	68.89%	68.27%
±2σ	-42.45%	58.44%	95.56%	95.45%
±3σ	-67.67%	83.66%	100.00%	99.73%

Descriptive Statistics

均值	7.992%
Standard Error	3.760%
中位数	2.414%
Mode	-57.154%
Standard Deviation	25.222%
Sample Variance	636.170%
峰度	0.35
偏度	0.15
Range	120.841%
Minimum	-57.154%
Maximum	63.687%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.512%	28	62.22%	13.385%
负向	-14.278%	17	37.78%	-5.394%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	33.48%
12	3 Years	36.75%
20	5 Years	34.51%
40	10 Years	38.96%
80	20 Years	40.07%
200	50 Years	40.07%

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 2.97. Further, an Excess 峰度 of 10.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -63.15%	0	0.00%	0.00%
-63.15% to -34.11%	0	0.00%	0.00%
-34.11% to -5.06%	0	0.00%	0.00%
-5.06% to 23.99%	5	10.87%	10.87%
23.99% to 53.04%	27	58.70%	69.57%
53.04% to 82.08%	8	17.39%	86.96%
82.08% to 111.13%	4	8.70%	95.65%
111.13% to 140.18%	0	0.00%	95.65%
140.18% to 169.23%	0	0.00%	95.65%
Greater than 169.23%	2	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.31%	91.77%	93.48%	68.27%
±2σ	-24.42%	130.50%	95.65%	95.45%
±3σ	-63.15%	169.23%	95.65%	99.73%

Descriptive Statistics

均值	53.037%
Standard Error	5.710%
中位数	41.059%
Mode	16.524%
Standard Deviation	38.730%
Sample Variance	1499.987%
峰度	10.41
偏度	2.97
Range	205.797%
Minimum	16.524%
Maximum	222.321%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.037%	46	100.00%	53.037%
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 2.25. Further, an Excess 峰度 of 7.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -90.79%	0	0.00%	0.00%
-90.79% to -68.13%	0	0.00%	0.00%
-68.13% to -45.46%	0	0.00%	0.00%
-45.46% to -22.80%	8	17.39%	17.39%
-22.80% to -0.14%	19	41.30%	58.70%
-0.14% to 22.52%	13	28.26%	86.96%
22.52% to 45.18%	3	6.52%	93.48%
45.18% to 67.84%	2	4.35%	97.83%
67.84% to 90.50%	0	0.00%	97.83%
Greater than 90.50%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.36%	30.07%	76.09%	68.27%
±2σ	-60.57%	60.29%	95.65%	95.45%
±3σ	-90.79%	90.50%	97.83%	99.73%

Descriptive Statistics

均值	-0.142%
Standard Error	4.455%
中位数	-3.279%
Mode	-38.908%
Standard Deviation	30.215%
Sample Variance	912.960%
峰度	7.88
偏度	2.25
Range	172.660%
Minimum	-38.908%
Maximum	133.752%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.369%	18	39.13%	9.536%
负向	-16.487%	27	58.70%	-9.677%
Zero	0.000%	1	2.17%	0.000%

ENVA 深度分析报告