FIVE 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	2.78%	1.96%	2.26%	3.93%	3.11%	3.20%	226.85	241.40	219.90	249.02
周度	5.80%	5.92%	6.00%	9.16%	6.84%	7.04%	218.53	250.59	204.07	268.34
月度	11.80%	12.00%	12.00%	19.50%	14.25%	14.66%	202.93	269.85	175.98	311.17
季度	20.38%	23.14%	21.66%	36.85%	24.68%	25.39%	182.83	299.51	142.85	383.35
Annual	—	—	—	—	49.36%	50.78%	142.85	383.35	87.20	628.00
Option Time Horizon	—	—	—	—	18.81%	19.35%	193.89	282.44	160.64	340.88

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $234.01 | Strike (K): $240.00 (first OTM call ≥ spot) | Observed Mid-价格: $15.6000 (Bid $14.8000 / Ask $16.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 49.36% (CRR binomial tree, American, n=20 steps) | BS IV: 49.77% (European Black-Scholes) | Yahoo IV (Annual): 50.78% → 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 -0.21. Further, an Excess 峰度 of 14.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.25%	19	0.55%	0.55%
-8.25% to -6.16%	15	0.43%	0.98%
-6.16% to -4.07%	103	2.98%	3.96%
-4.07% to -1.99%	435	12.57%	16.53%
-1.99% to 0.10%	1164	33.64%	50.17%
0.10% to 2.19%	1174	33.93%	84.10%
2.19% to 4.28%	398	11.50%	95.61%
4.28% to 6.37%	96	2.77%	98.38%
6.37% to 8.45%	30	0.87%	99.25%
Greater than 8.45%	26	0.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.68%	2.89%	79.19%	68.27%
±2σ	-5.47%	5.67%	96.30%	95.45%
±3σ	-8.25%	8.45%	98.70%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.047%
中位数	0.096%
Mode	-0.275%
Standard Deviation	2.784%
Sample Variance	7.749%
峰度	14.43
偏度	-0.21
Range	50.269%
Minimum	-27.807%
Maximum	22.462%
Count	3460

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.929%	1788	51.68%	0.997%
负向	-1.857%	1667	48.18%	-0.895%
Zero	0.000%	5	0.14%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.37%
20	1 Month	4.10%
60	1 Quarter	4.07%
250	1 Year	3.83%
750	3 Years	3.90%
1,250	5 Years	3.93%
2,500	10 Years	3.74%
5,000	20 Years	3.69%
12,500	50 Years	3.69%

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 3.82. Further, an Excess 峰度 of 29.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.36%	0	0.00%	0.00%
-2.36% to -0.88%	0	0.00%	0.00%
-0.88% to 0.59%	0	0.00%	0.00%
0.59% to 2.06%	542	15.66%	15.66%
2.06% to 3.54%	1589	45.91%	61.57%
3.54% to 5.01%	841	24.30%	85.87%
5.01% to 6.48%	298	8.61%	94.48%
6.48% to 7.96%	99	2.86%	97.34%
7.96% to 9.43%	35	1.01%	98.35%
Greater than 9.43%	57	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.57%	5.50%	85.67%	68.27%
±2σ	-0.39%	7.46%	96.94%	95.45%
±3σ	-2.36%	9.43%	98.35%	99.73%

Descriptive Statistics

均值	3.536%
Standard Error	0.033%
中位数	3.100%
Mode	3.130%
Standard Deviation	1.964%
Sample Variance	3.859%
峰度	29.35
偏度	3.82
Range	29.515%
Minimum	0.741%
Maximum	30.256%
Count	3461

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.536%	3461	100.00%	3.536%
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 6.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.73%	20	0.58%	0.58%
-6.73% to -5.04%	29	0.84%	1.42%
-5.04% to -3.35%	139	4.02%	5.43%
-3.35% to -1.66%	469	13.55%	18.98%
-1.66% to 0.04%	1087	31.41%	50.39%
0.04% to 1.73%	1056	30.51%	80.90%
1.73% to 3.42%	461	13.32%	94.22%
3.42% to 5.11%	148	4.28%	98.50%
5.11% to 6.80%	32	0.92%	99.42%
Greater than 6.80%	20	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.22%	2.29%	75.33%	68.27%
±2σ	-4.47%	4.55%	95.43%	95.45%
±3σ	-6.73%	6.80%	98.84%	99.73%

Descriptive Statistics

均值	0.037%
Standard Error	0.038%
中位数	0.021%
Mode	0.000%
Standard Deviation	2.256%
Sample Variance	5.088%
峰度	6.13
偏度	0.42
Range	34.635%
Minimum	-12.193%
Maximum	22.442%
Count	3461

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.677%	1740	50.27%	0.843%
负向	-1.633%	1709	49.38%	-0.806%
Zero	0.000%	12	0.35%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.04. Further, an Excess 峰度 of 4.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.94%	5	0.70%	0.70%
-16.94% to -12.59%	11	1.53%	2.23%
-12.59% to -8.23%	20	2.79%	5.01%
-8.23% to -3.88%	88	12.26%	17.27%
-3.88% to 0.47%	241	33.57%	50.84%
0.47% to 4.82%	231	32.17%	83.01%
4.82% to 9.17%	86	11.98%	94.99%
9.17% to 13.52%	23	3.20%	98.19%
13.52% to 17.87%	8	1.11%	99.30%
Greater than 17.87%	5	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.33%	6.27%	77.44%	68.27%
±2σ	-11.14%	12.07%	94.85%	95.45%
±3σ	-16.94%	17.87%	98.61%	99.73%

Descriptive Statistics

均值	0.468%
Standard Error	0.217%
中位数	0.277%
Mode	1.332%
Standard Deviation	5.802%
Sample Variance	33.662%
峰度	4.89
偏度	-0.04
Range	68.137%
Minimum	-37.065%
Maximum	31.072%
Count	718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.488%	373	51.95%	2.332%
负向	-3.878%	345	48.05%	-1.863%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.50%
12	1 Quarter	9.40%
52	1 Year	8.80%
156	3 Years	9.22%
260	5 Years	9.16%
520	10 Years	8.65%
1,040	20 Years	8.48%
2,600	50 Years	8.48%

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 4.56. Further, an Excess 峰度 of 36.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.85%	0	0.00%	0.00%
-8.85% to -4.41%	0	0.00%	0.00%
-4.41% to 0.04%	0	0.00%	0.00%
0.04% to 4.48%	66	9.18%	9.18%
4.48% to 8.92%	392	54.52%	63.70%
8.92% to 13.36%	175	24.34%	88.04%
13.36% to 17.80%	48	6.68%	94.71%
17.80% to 22.25%	17	2.36%	97.08%
22.25% to 26.69%	8	1.11%	98.19%
Greater than 26.69%	13	1.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.00%	14.84%	89.99%	68.27%
±2σ	-2.93%	20.77%	96.80%	95.45%
±3σ	-8.85%	26.69%	98.19%	99.73%

Descriptive Statistics

均值	8.919%
Standard Error	0.221%
中位数	7.501%
Mode	7.914%
Standard Deviation	5.923%
Sample Variance	35.076%
峰度	36.43
偏度	4.56
Range	74.839%
Minimum	2.868%
Maximum	77.707%
Count	719

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.919%	719	100.00%	8.919%
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 2.03. Further, an Excess 峰度 of 19.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.02%	3	0.42%	0.42%
-18.02% to -13.52%	4	0.56%	0.97%
-13.52% to -9.02%	20	2.78%	3.76%
-9.02% to -4.52%	102	14.19%	17.94%
-4.52% to -0.01%	239	33.24%	51.18%
-0.01% to 4.49%	252	35.05%	86.23%
4.49% to 8.99%	61	8.48%	94.71%
8.99% to 13.50%	21	2.92%	97.64%
13.50% to 18.00%	10	1.39%	99.03%
Greater than 18.00%	7	0.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.02%	5.99%	80.81%	68.27%
±2σ	-12.02%	11.99%	95.55%	95.45%
±3σ	-18.03%	18.00%	98.61%	99.73%

Descriptive Statistics

均值	-0.013%
Standard Error	0.224%
中位数	-0.177%
Mode	-6.604%
Standard Deviation	6.004%
Sample Variance	36.045%
峰度	19.38
偏度	2.03
Range	88.058%
Minimum	-24.091%
Maximum	63.967%
Count	719

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.192%	351	48.82%	2.046%
负向	-4.023%	368	51.18%	-2.059%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.28. Further, an Excess 峰度 of 2.01 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.44%	0	0.00%	0.00%
-33.44% to -24.59%	2	1.21%	1.21%
-24.59% to -15.75%	10	6.06%	7.27%
-15.75% to -6.90%	21	12.73%	20.00%
-6.90% to 1.95%	48	29.09%	49.09%
1.95% to 10.79%	49	29.70%	78.79%
10.79% to 19.64%	29	17.58%	96.36%
19.64% to 28.49%	4	2.42%	98.79%
28.49% to 37.34%	0	0.00%	98.79%
Greater than 37.34%	2	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.85%	13.74%	71.52%	68.27%
±2σ	-21.64%	25.54%	96.97%	95.45%
±3σ	-33.44%	37.34%	98.79%	99.73%

Descriptive Statistics

均值	1.948%
Standard Error	0.918%
中位数	2.214%
Mode	-33.248%
Standard Deviation	11.796%
Sample Variance	139.137%
峰度	2.01
偏度	0.28
Range	86.852%
Minimum	-33.248%
Maximum	53.604%
Count	165

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.172%	100	60.61%	5.559%
负向	-9.164%	65	39.39%	-3.610%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	17.09%
12	1 Year	20.30%
36	3 Years	20.69%
60	5 Years	19.50%
120	10 Years	18.73%
240	20 Years	18.42%
600	50 Years	18.42%

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 3.78. Further, an Excess 峰度 of 22.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.27%	0	0.00%	0.00%
-15.27% to -6.27%	0	0.00%	0.00%
-6.27% to 2.72%	0	0.00%	0.00%
2.72% to 11.72%	16	9.64%	9.64%
11.72% to 20.72%	90	54.22%	63.86%
20.72% to 29.71%	41	24.70%	88.55%
29.71% to 38.71%	10	6.02%	94.58%
38.71% to 47.71%	3	1.81%	96.39%
47.71% to 56.71%	2	1.20%	97.59%
Greater than 56.71%	4	2.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.72%	32.71%	89.16%	68.27%
±2σ	-3.27%	44.71%	95.78%	95.45%
±3σ	-15.27%	56.71%	97.59%	99.73%

Descriptive Statistics

均值	20.718%
Standard Error	0.931%
中位数	18.191%
Mode	14.873%
Standard Deviation	11.996%
Sample Variance	143.906%
峰度	22.67
偏度	3.78
Range	107.942%
Minimum	5.544%
Maximum	113.486%
Count	166

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.718%	166	100.00%	20.718%
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 0.84. Further, an Excess 峰度 of 2.01 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.43%	0	0.00%	0.00%
-36.43% to -27.43%	2	1.20%	1.20%
-27.43% to -18.44%	2	1.20%	2.41%
-18.44% to -9.44%	35	21.08%	23.49%
-9.44% to -0.44%	57	34.34%	57.83%
-0.44% to 8.56%	39	23.49%	81.33%
8.56% to 17.55%	19	11.45%	92.77%
17.55% to 26.55%	8	4.82%	97.59%
26.55% to 35.55%	2	1.20%	98.80%
Greater than 35.55%	2	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.44%	11.56%	72.89%	68.27%
±2σ	-24.43%	23.55%	95.18%	95.45%
±3σ	-36.43%	35.55%	98.80%	99.73%

Descriptive Statistics

均值	-0.441%
Standard Error	0.931%
中位数	-2.095%
Mode	-34.786%
Standard Deviation	11.997%
Sample Variance	143.927%
峰度	2.01
偏度	0.84
Range	85.350%
Minimum	-34.786%
Maximum	50.564%
Count	166

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.051%	65	39.16%	4.327%
负向	-7.837%	101	60.84%	-4.768%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.40. Further, an Excess 峰度 of 2.59 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.29%	0	0.00%	0.00%
-55.29% to -40.01%	1	1.82%	1.82%
-40.01% to -24.73%	1	1.82%	3.64%
-24.73% to -9.45%	10	18.18%	21.82%
-9.45% to 5.83%	13	23.64%	45.45%
5.83% to 21.12%	19	34.55%	80.00%
21.12% to 36.40%	9	16.36%	96.36%
36.40% to 51.68%	1	1.82%	98.18%
51.68% to 66.96%	0	0.00%	98.18%
Greater than 66.96%	1	1.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.54%	26.21%	70.91%	68.27%
±2σ	-34.91%	46.59%	96.36%	95.45%
±3σ	-55.29%	66.96%	98.18%	99.73%

Descriptive Statistics

均值	5.835%
Standard Error	2.747%
中位数	7.974%
Mode	-50.294%
Standard Deviation	20.375%
Sample Variance	415.128%
峰度	2.59
偏度	0.40
Range	130.186%
Minimum	-50.294%
Maximum	79.892%
Count	55

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.855%	36	65.45%	11.032%
负向	-15.044%	19	34.55%	-5.197%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	48.26%
12	3 Years	42.78%
20	5 Years	36.85%
40	10 Years	35.62%
80	20 Years	33.66%
200	50 Years	33.66%

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 2.71. Further, an Excess 峰度 of 9.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.68%	0	0.00%	0.00%
-28.68% to -11.33%	0	0.00%	0.00%
-11.33% to 6.03%	0	0.00%	0.00%
6.03% to 23.38%	8	14.29%	14.29%
23.38% to 40.74%	27	48.21%	62.50%
40.74% to 58.09%	17	30.36%	92.86%
58.09% to 75.45%	0	0.00%	92.86%
75.45% to 92.80%	1	1.79%	94.64%
92.80% to 110.16%	2	3.57%	98.21%
Greater than 110.16%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.60%	63.88%	89.29%	68.27%
±2σ	-5.54%	87.02%	92.86%	95.45%
±3σ	-28.68%	110.16%	98.21%	99.73%

Descriptive Statistics

均值	40.737%
Standard Error	3.092%
中位数	34.997%
Mode	16.428%
Standard Deviation	23.140%
Sample Variance	535.475%
峰度	9.34
偏度	2.71
Range	132.762%
Minimum	16.428%
Maximum	149.190%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.737%	56	100.00%	40.737%
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 2.07. Further, an Excess 峰度 of 8.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.87%	0	0.00%	0.00%
-66.87% to -50.63%	0	0.00%	0.00%
-50.63% to -34.38%	1	1.79%	1.79%
-34.38% to -18.13%	8	14.29%	16.07%
-18.13% to -1.89%	25	44.64%	60.71%
-1.89% to 14.36%	11	19.64%	80.36%
14.36% to 30.61%	8	14.29%	94.64%
30.61% to 46.85%	2	3.57%	98.21%
46.85% to 63.10%	0	0.00%	98.21%
Greater than 63.10%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.55%	19.77%	80.36%	68.27%
±2σ	-45.21%	41.44%	98.21%	95.45%
±3σ	-66.87%	63.10%	98.21%	99.73%

Descriptive Statistics

均值	-1.888%
Standard Error	2.895%
中位数	-7.491%
Mode	-44.316%
Standard Deviation	21.662%
Sample Variance	469.260%
峰度	8.08
偏度	2.07
Range	145.031%
Minimum	-44.316%
Maximum	100.715%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.410%	19	33.93%	6.925%
负向	-13.338%	37	66.07%	-8.813%
Zero	0.000%	0	0.00%	0.000%

FIVE 深度分析报告