FISV 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	2.14%	1.83%	1.90%	2.36%	3.21%	3.27%	58.92	62.82	57.06	64.87
周度	4.39%	4.69%	4.67%	5.44%	7.06%	7.21%	56.69	65.29	52.83	70.06
月度	8.32%	9.55%	8.98%	12.50%	14.69%	15.00%	52.53	70.47	45.35	81.62
季度	12.51%	16.29%	14.42%	21.30%	25.44%	25.98%	47.17	78.47	36.58	101.20
Annual	—	—	—	—	50.88%	51.97%	36.58	101.20	21.99	168.33
Option Time Horizon	—	—	—	—	19.39%	19.80%	50.12	73.86	41.28	89.66

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $60.84 | Strike (K): $65.00 (first OTM call ≥ spot) | Observed Mid-价格: $3.2000 (Bid $3.1000 / Ask $3.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 50.88% (CRR binomial tree, American, n=20 steps) | BS IV: 51.16% (European Black-Scholes) | Yahoo IV (Annual): 51.97% → 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 -0.78. Further, an Excess 峰度 of 25.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.35%	60	0.61%	0.61%
-6.35% to -4.75%	108	1.10%	1.71%
-4.75% to -3.14%	312	3.17%	4.88%
-3.14% to -1.53%	1040	10.57%	15.45%
-1.53% to 0.08%	3594	36.52%	51.97%
0.08% to 1.69%	3257	33.10%	85.06%
1.69% to 3.29%	988	10.04%	95.10%
3.29% to 4.90%	279	2.84%	97.94%
4.90% to 6.51%	120	1.22%	99.16%
Greater than 6.51%	83	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.07%	2.22%	79.03%	68.27%
±2σ	-4.21%	4.37%	94.77%	95.45%
±3σ	-6.35%	6.51%	98.55%	99.73%

Descriptive Statistics

均值	0.078%
Standard Error	0.022%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.144%
Sample Variance	4.598%
峰度	25.11
偏度	-0.78
Range	62.099%
Minimum	-44.044%
Maximum	18.055%
Count	9841

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.506%	4893	49.72%	0.749%
负向	-1.514%	4359	44.29%	-0.671%
Zero	0.000%	589	5.99%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.75%
20	1 Month	3.33%
60	1 Quarter	3.69%
250	1 Year	3.21%
750	3 Years	2.29%
1,250	5 Years	2.36%
2,500	10 Years	2.20%
5,000	20 Years	2.13%
12,500	50 Years	2.70%

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 2.83. Further, an Excess 峰度 of 15.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.86%	0	0.00%	0.00%
-2.86% to -1.49%	0	0.00%	0.00%
-1.49% to -0.12%	0	0.00%	0.00%
-0.12% to 1.25%	1823	18.52%	18.52%
1.25% to 2.62%	4471	45.43%	63.95%
2.62% to 3.99%	2029	20.62%	84.57%
3.99% to 5.36%	817	8.30%	92.87%
5.36% to 6.73%	379	3.85%	96.72%
6.73% to 8.10%	148	1.50%	98.22%
Greater than 8.10%	175	1.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.79%	4.44%	84.99%	68.27%
±2σ	-1.04%	6.27%	95.60%	95.45%
±3σ	-2.86%	8.09%	98.22%	99.73%

Descriptive Statistics

均值	2.617%
Standard Error	0.018%
中位数	2.174%
Mode	2.299%
Standard Deviation	1.826%
Sample Variance	3.335%
峰度	15.35
偏度	2.83
Range	25.536%
Minimum	0.270%
Maximum	25.806%
Count	9842

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.617%	9842	100.00%	2.617%
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 0.24. Further, an Excess 峰度 of 6.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.71%	73	0.74%	0.74%
-5.71% to -4.29%	114	1.16%	1.90%
-4.29% to -2.87%	319	3.24%	5.14%
-2.87% to -1.45%	1036	10.53%	15.67%
-1.45% to -0.02%	3225	32.77%	48.44%
-0.02% to 1.40%	3496	35.52%	83.96%
1.40% to 2.82%	1060	10.77%	94.73%
2.82% to 4.25%	311	3.16%	97.89%
4.25% to 5.67%	128	1.30%	99.19%
Greater than 5.67%	80	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.92%	1.88%	77.65%	68.27%
±2σ	-3.82%	3.77%	94.52%	95.45%
±3σ	-5.71%	5.67%	98.45%	99.73%

Descriptive Statistics

均值	-0.022%
Standard Error	0.019%
中位数	0.000%
Mode	0.000%
Standard Deviation	1.897%
Sample Variance	3.597%
峰度	6.42
偏度	0.24
Range	32.329%
Minimum	-12.941%
Maximum	19.388%
Count	9842

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.423%	4395	44.66%	0.635%
负向	-1.346%	4809	48.86%	-0.658%
Zero	0.000%	638	6.48%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.37. Further, an Excess 峰度 of 11.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.80%	11	0.53%	0.53%
-12.80% to -9.51%	19	0.92%	1.45%
-9.51% to -6.22%	67	3.24%	4.70%
-6.22% to -2.93%	240	11.62%	16.32%
-2.93% to 0.36%	715	34.62%	50.94%
0.36% to 3.65%	694	33.61%	84.55%
3.65% to 6.94%	208	10.07%	94.62%
6.94% to 10.23%	74	3.58%	98.21%
10.23% to 13.52%	20	0.97%	99.18%
Greater than 13.52%	17	0.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.03%	4.75%	78.45%	68.27%
±2σ	-8.41%	9.13%	95.16%	95.45%
±3σ	-12.80%	13.52%	98.64%	99.73%

Descriptive Statistics

均值	0.361%
Standard Error	0.097%
中位数	0.270%
Mode	0.000%
Standard Deviation	4.386%
Sample Variance	19.234%
峰度	11.93
偏度	-0.37
Range	76.223%
Minimum	-48.522%
Maximum	27.701%
Count	2065

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.165%	1088	52.69%	1.668%
负向	-2.969%	909	44.02%	-1.307%
Zero	0.000%	68	3.29%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.14%
12	1 Quarter	8.34%
52	1 Year	7.22%
156	3 Years	5.27%
260	5 Years	5.44%
520	10 Years	5.04%
1,040	20 Years	4.86%
2,600	50 Years	5.89%

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 5.68. Further, an Excess 峰度 of 83.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.96%	0	0.00%	0.00%
-7.96% to -4.45%	0	0.00%	0.00%
-4.45% to -0.93%	0	0.00%	0.00%
-0.93% to 2.58%	267	12.92%	12.92%
2.58% to 6.10%	1056	51.11%	64.04%
6.10% to 9.61%	442	21.39%	85.43%
9.61% to 13.13%	181	8.76%	94.19%
13.13% to 16.64%	58	2.81%	97.00%
16.64% to 20.16%	31	1.50%	98.50%
Greater than 20.16%	31	1.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.41%	10.78%	88.92%	68.27%
±2σ	-3.27%	15.47%	96.66%	95.45%
±3σ	-7.96%	20.16%	98.50%	99.73%

Descriptive Statistics

均值	6.097%
Standard Error	0.103%
中位数	4.878%
Mode	10.000%
Standard Deviation	4.686%
Sample Variance	21.956%
峰度	83.03
偏度	5.68
Range	98.597%
Minimum	1.000%
Maximum	99.597%
Count	2066

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.097%	2066	100.00%	6.097%
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 4.62. Further, an Excess 峰度 of 86.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.14%	9	0.44%	0.44%
-14.14% to -10.64%	18	0.87%	1.31%
-10.64% to -7.14%	55	2.66%	3.97%
-7.14% to -3.64%	209	10.12%	14.09%
-3.64% to -0.14%	788	38.14%	52.23%
-0.14% to 3.37%	695	33.64%	85.87%
3.37% to 6.87%	204	9.87%	95.74%
6.87% to 10.37%	58	2.81%	98.55%
10.37% to 13.87%	17	0.82%	99.37%
Greater than 13.87%	13	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.80%	4.53%	81.51%	68.27%
±2σ	-9.47%	9.20%	96.18%	95.45%
±3σ	-14.14%	13.87%	98.94%	99.73%

Descriptive Statistics

均值	-0.135%
Standard Error	0.103%
中位数	-0.335%
Mode	0.000%
Standard Deviation	4.669%
Sample Variance	21.800%
峰度	86.00
偏度	4.62
Range	112.296%
Minimum	-17.746%
Maximum	94.550%
Count	2066

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.229%	895	43.32%	1.399%
负向	-2.871%	1104	53.44%	-1.534%
Zero	0.000%	67	3.24%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.24. Further, an Excess 峰度 of 4.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.45%	4	0.84%	0.84%
-23.45% to -17.22%	2	0.42%	1.26%
-17.22% to -10.98%	20	4.21%	5.47%
-10.98% to -4.74%	66	13.89%	19.37%
-4.74% to 1.50%	137	28.84%	48.21%
1.50% to 7.73%	161	33.89%	82.11%
7.73% to 13.97%	62	13.05%	95.16%
13.97% to 20.21%	14	2.95%	98.11%
20.21% to 26.45%	5	1.05%	99.16%
Greater than 26.45%	4	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.82%	9.81%	74.95%	68.27%
±2σ	-15.14%	18.13%	96.00%	95.45%
±3σ	-23.46%	26.45%	98.32%	99.73%

Descriptive Statistics

均值	1.496%
Standard Error	0.382%
中位数	1.641%
Mode	0.000%
Standard Deviation	8.317%
Sample Variance	69.169%
峰度	4.28
偏度	-0.24
Range	84.742%
Minimum	-48.274%
Maximum	36.468%
Count	475

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.242%	291	61.26%	3.824%
负向	-6.283%	176	37.05%	-2.328%
Zero	0.000%	8	1.68%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	16.67%
12	1 Year	17.78%
36	3 Years	12.79%
60	5 Years	12.50%
120	10 Years	11.29%
240	20 Years	10.56%
600	50 Years	12.56%

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 3.71. Further, an Excess 峰度 of 23.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.96%	0	0.00%	0.00%
-14.96% to -7.79%	0	0.00%	0.00%
-7.79% to -0.62%	0	0.00%	0.00%
-0.62% to 6.54%	67	14.08%	14.08%
6.54% to 13.71%	235	49.37%	63.45%
13.71% to 20.87%	106	22.27%	85.71%
20.87% to 28.04%	45	9.45%	95.17%
28.04% to 35.20%	10	2.10%	97.27%
35.20% to 42.37%	5	1.05%	98.32%
Greater than 42.37%	8	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.15%	23.26%	88.24%	68.27%
±2σ	-5.40%	32.81%	96.64%	95.45%
±3σ	-14.95%	42.37%	98.32%	99.73%

Descriptive Statistics

均值	13.707%
Standard Error	0.438%
中位数	11.357%
Mode	6.965%
Standard Deviation	9.554%
Sample Variance	91.278%
峰度	23.60
偏度	3.71
Range	98.175%
Minimum	3.080%
Maximum	101.255%
Count	476

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.707%	476	100.00%	13.707%
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 2.84. Further, an Excess 峰度 of 25.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.60%	1	0.21%	0.21%
-27.60% to -20.87%	2	0.42%	0.63%
-20.87% to -14.13%	10	2.10%	2.73%
-14.13% to -7.40%	66	13.87%	16.60%
-7.40% to -0.67%	190	39.92%	56.51%
-0.67% to 6.06%	130	27.31%	83.82%
6.06% to 12.80%	53	11.13%	94.96%
12.80% to 19.53%	17	3.57%	98.53%
19.53% to 26.26%	3	0.63%	99.16%
Greater than 26.26%	4	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.65%	8.31%	78.15%	68.27%
±2σ	-18.62%	17.29%	96.85%	95.45%
±3σ	-27.60%	26.26%	98.95%	99.73%

Descriptive Statistics

均值	-0.669%
Standard Error	0.411%
中位数	-1.612%
Mode	0.000%
Standard Deviation	8.977%
Sample Variance	80.586%
峰度	25.47
偏度	2.84
Range	121.141%
Minimum	-28.788%
Maximum	92.353%
Count	476

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.260%	176	36.98%	2.684%
负向	-5.543%	288	60.50%	-3.354%
Zero	0.000%	12	2.52%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.52. Further, an Excess 峰度 of 2.34 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.34%	1	0.63%	0.63%
-33.34% to -23.96%	3	1.90%	2.53%
-23.96% to -14.57%	2	1.27%	3.80%
-14.57% to -5.19%	24	15.19%	18.99%
-5.19% to 4.19%	43	27.22%	46.20%
4.19% to 13.57%	59	37.34%	83.54%
13.57% to 22.95%	14	8.86%	92.41%
22.95% to 32.33%	10	6.33%	98.73%
32.33% to 41.72%	2	1.27%	100.00%
Greater than 41.72%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.32%	16.70%	74.68%	68.27%
±2σ	-20.83%	29.21%	94.30%	95.45%
±3σ	-33.34%	41.72%	99.37%	99.73%

Descriptive Statistics

均值	4.189%
Standard Error	0.995%
中位数	5.129%
Mode	8.822%
Standard Deviation	12.509%
Sample Variance	156.486%
峰度	2.34
偏度	-0.52
Range	87.360%
Minimum	-52.001%
Maximum	35.359%
Count	158

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.230%	100	63.29%	7.108%
负向	-8.090%	57	36.08%	-2.919%
Zero	0.000%	1	0.63%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	31.33%
12	3 Years	23.71%
20	5 Years	21.30%
40	10 Years	19.62%
80	20 Years	18.29%
200	50 Years	21.58%

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 2.81. Further, an Excess 峰度 of 10.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.96%	0	0.00%	0.00%
-23.96% to -11.74%	0	0.00%	0.00%
-11.74% to 0.47%	0	0.00%	0.00%
0.47% to 12.69%	23	14.47%	14.47%
12.69% to 24.91%	78	49.06%	63.52%
24.91% to 37.12%	41	25.79%	89.31%
37.12% to 49.34%	7	4.40%	93.71%
49.34% to 61.56%	3	1.89%	95.60%
61.56% to 73.77%	2	1.26%	96.86%
Greater than 73.77%	5	3.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.62%	41.20%	91.82%	68.27%
±2σ	-7.67%	57.48%	95.60%	95.45%
±3σ	-23.96%	73.77%	96.86%	99.73%

Descriptive Statistics

均值	24.906%
Standard Error	1.292%
中位数	21.066%
Mode	7.386%
Standard Deviation	16.289%
Sample Variance	265.326%
峰度	10.31
偏度	2.81
Range	110.252%
Minimum	7.386%
Maximum	117.638%
Count	159

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.906%	159	100.00%	24.906%
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 3.29. 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 -45.72%	0	0.00%	0.00%
-45.72% to -34.91%	0	0.00%	0.00%
-34.91% to -24.09%	2	1.26%	1.26%
-24.09% to -13.28%	21	13.21%	14.47%
-13.28% to -2.46%	70	44.03%	58.49%
-2.46% to 8.35%	47	29.56%	88.05%
8.35% to 19.17%	13	8.18%	96.23%
19.17% to 29.98%	1	0.63%	96.86%
29.98% to 40.80%	3	1.89%	98.74%
Greater than 40.80%	2	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.88%	11.96%	83.02%	68.27%
±2σ	-31.30%	26.38%	96.23%	95.45%
±3σ	-45.72%	40.80%	98.74%	99.73%

Descriptive Statistics

均值	-2.463%
Standard Error	1.144%
中位数	-4.839%
Mode	-4.817%
Standard Deviation	14.420%
Sample Variance	207.941%
峰度	21.41
偏度	3.29
Range	133.573%
Minimum	-25.986%
Maximum	107.587%
Count	159

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.851%	54	33.96%	3.685%
负向	-9.492%	103	64.78%	-6.149%
Zero	0.000%	2	1.26%	0.000%

FISV 深度分析报告