FSLR 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	3.75%	2.77%	3.01%	4.67%	3.69%	3.73%	186.74	201.05	179.97	208.61
周度	8.29%	7.41%	7.89%	11.02%	8.13%	8.22%	178.63	210.17	164.69	227.96
月度	16.89%	16.28%	16.61%	23.64%	16.92%	17.11%	163.60	229.48	138.14	271.78
季度	30.53%	35.81%	34.32%	40.77%	29.30%	29.63%	144.54	259.74	107.83	348.18
Annual	—	—	—	—	58.61%	59.26%	107.83	348.18	60.01	625.65
Option Time Horizon	—	—	—	—	22.33%	22.58%	154.98	242.25	123.96	302.87

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $193.76 | Strike (K): $195.00 (first OTM call ≥ spot) | Observed Mid-价格: $17.0250 (Bid $16.7000 / Ask $17.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 58.61% (CRR binomial tree, American, n=20 steps) | BS IV: 58.22% (European Black-Scholes) | Yahoo IV (Annual): 59.26% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.08. Further, an Excess 峰度 of 12.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.15%	25	0.51%	0.51%
-11.15% to -8.34%	49	1.00%	1.51%
-8.34% to -5.52%	154	3.15%	4.67%
-5.52% to -2.70%	548	11.22%	15.88%
-2.70% to 0.11%	1733	35.47%	51.35%
0.11% to 2.93%	1635	33.46%	84.81%
2.93% to 5.74%	507	10.38%	95.19%
5.74% to 8.56%	142	2.91%	98.10%
8.56% to 11.37%	50	1.02%	99.12%
Greater than 11.37%	43	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.64%	3.87%	79.31%	68.27%
±2σ	-7.40%	7.62%	95.29%	95.45%
±3σ	-11.15%	11.37%	98.61%	99.73%

Descriptive Statistics

均值	0.111%
Standard Error	0.054%
中位数	0.032%
Mode	0.000%
Standard Deviation	3.754%
Sample Variance	14.090%
峰度	12.40
偏度	1.08
Range	70.857%
Minimum	-25.332%
Maximum	45.525%
Count	4886

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.602%	2463	50.41%	1.312%
负向	-2.429%	2414	49.41%	-1.200%
Zero	0.000%	9	0.18%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.28%
20	1 Month	4.36%
60	1 Quarter	4.94%
250	1 Year	5.02%
750	3 Years	4.80%
1,250	5 Years	4.67%
2,500	10 Years	4.33%
5,000	20 Years	4.78%
12,500	50 Years	4.78%

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 3.52. Further, an Excess 峰度 of 31.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.75%	0	0.00%	0.00%
-3.75% to -1.68%	0	0.00%	0.00%
-1.68% to 0.40%	0	0.00%	0.00%
0.40% to 2.47%	826	16.90%	16.90%
2.47% to 4.55%	2255	46.14%	63.04%
4.55% to 6.62%	1078	22.06%	85.10%
6.62% to 8.70%	412	8.43%	93.53%
8.70% to 10.78%	158	3.23%	96.77%
10.78% to 12.85%	80	1.64%	98.40%
Greater than 12.85%	78	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.78%	7.32%	84.53%	68.27%
±2σ	-0.99%	10.09%	96.19%	95.45%
±3σ	-3.75%	12.85%	98.40%	99.73%

Descriptive Statistics

均值	4.549%
Standard Error	0.040%
中位数	3.862%
Mode	4.071%
Standard Deviation	2.768%
Sample Variance	7.661%
峰度	31.16
偏度	3.52
Range	52.400%
Minimum	0.814%
Maximum	53.214%
Count	4887

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.549%	4887	100.00%	4.549%
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 0.06. 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 -8.91%	33	0.68%	0.68%
-8.91% to -6.65%	51	1.04%	1.72%
-6.65% to -4.40%	193	3.95%	5.67%
-4.40% to -2.15%	560	11.46%	17.13%
-2.15% to 0.11%	1616	33.07%	50.19%
0.11% to 2.36%	1577	32.27%	82.46%
2.36% to 4.62%	592	12.11%	94.58%
4.62% to 6.87%	181	3.70%	98.28%
6.87% to 9.13%	47	0.96%	99.24%
Greater than 9.13%	37	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.90%	3.11%	76.28%	68.27%
±2σ	-5.90%	6.12%	94.97%	95.45%
±3σ	-8.91%	9.13%	98.57%	99.73%

Descriptive Statistics

均值	0.109%
Standard Error	0.043%
中位数	0.101%
Mode	0.000%
Standard Deviation	3.006%
Sample Variance	9.038%
峰度	8.08
偏度	0.06
Range	65.325%
Minimum	-31.029%
Maximum	34.296%
Count	4887

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.185%	2527	51.71%	1.130%
负向	-2.121%	2352	48.13%	-1.021%
Zero	0.000%	8	0.16%	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 0.70. Further, an Excess 峰度 of 3.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.33%	3	0.30%	0.30%
-24.33% to -18.11%	12	1.18%	1.48%
-18.11% to -11.90%	40	3.94%	5.42%
-11.90% to -5.68%	131	12.92%	18.34%
-5.68% to 0.54%	354	34.91%	53.25%
0.54% to 6.75%	292	28.80%	82.05%
6.75% to 12.97%	120	11.83%	93.89%
12.97% to 19.19%	38	3.75%	97.63%
19.19% to 25.40%	13	1.28%	98.92%
Greater than 25.40%	11	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.75%	8.82%	77.02%	68.27%
±2σ	-16.04%	17.11%	94.08%	95.45%
±3σ	-24.33%	25.40%	98.62%	99.73%

Descriptive Statistics

均值	0.536%
Standard Error	0.260%
中位数	0.013%
Mode	-19.016%
Standard Deviation	8.289%
Sample Variance	68.702%
峰度	3.40
偏度	0.70
Range	81.286%
Minimum	-31.244%
Maximum	50.042%
Count	1014

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.429%	509	50.20%	3.227%
负向	-5.403%	505	49.80%	-2.691%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.06%
12	1 Quarter	10.17%
52	1 Year	11.70%
156	3 Years	11.25%
260	5 Years	11.02%
520	10 Years	10.20%
1,040	20 Years	11.28%
2,600	50 Years	11.28%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.30%	0	0.00%	0.00%
-10.30% to -4.74%	0	0.00%	0.00%
-4.74% to 0.81%	0	0.00%	0.00%
0.81% to 6.37%	188	18.52%	18.52%
6.37% to 11.93%	451	44.43%	62.96%
11.93% to 17.48%	216	21.28%	84.24%
17.48% to 23.04%	80	7.88%	92.12%
23.04% to 28.59%	34	3.35%	95.47%
28.59% to 34.15%	28	2.76%	98.23%
Greater than 34.15%	18	1.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.52%	19.33%	83.35%	68.27%
±2σ	-2.89%	26.74%	95.07%	95.45%
±3σ	-10.30%	34.15%	98.23%	99.73%

Descriptive Statistics

均值	11.926%
Standard Error	0.233%
中位数	9.897%
Mode	5.003%
Standard Deviation	7.408%
Sample Variance	54.875%
峰度	8.08
偏度	2.25
Range	68.395%
Minimum	2.555%
Maximum	70.950%
Count	1015

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.926%	1015	100.00%	11.926%
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 0.46. Further, an Excess 峰度 of 2.93 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.45%	6	0.59%	0.59%
-23.45% to -17.53%	11	1.08%	1.67%
-17.53% to -11.62%	38	3.74%	5.42%
-11.62% to -5.70%	132	13.00%	18.42%
-5.70% to 0.21%	343	33.79%	52.22%
0.21% to 6.13%	307	30.25%	82.46%
6.13% to 12.05%	119	11.72%	94.19%
12.05% to 17.96%	32	3.15%	97.34%
17.96% to 23.88%	17	1.67%	99.01%
Greater than 23.88%	10	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.67%	8.10%	76.45%	68.27%
±2σ	-15.56%	15.99%	94.29%	95.45%
±3σ	-23.45%	23.88%	98.42%	99.73%

Descriptive Statistics

均值	0.215%
Standard Error	0.248%
中位数	-0.032%
Mode	-3.024%
Standard Deviation	7.888%
Sample Variance	62.221%
峰度	2.93
偏度	0.46
Range	77.368%
Minimum	-30.319%
Maximum	47.049%
Count	1015

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.961%	505	49.75%	2.966%
负向	-5.475%	510	50.25%	-2.751%
Zero	0.000%	0	0.00%	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 0.62. Further, an Excess 峰度 of 1.14 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.49%	0	0.00%	0.00%
-48.49% to -35.82%	1	0.43%	0.43%
-35.82% to -23.15%	11	4.72%	5.15%
-23.15% to -10.49%	44	18.88%	24.03%
-10.49% to 2.18%	66	28.33%	52.36%
2.18% to 14.85%	65	27.90%	80.26%
14.85% to 27.51%	30	12.88%	93.13%
27.51% to 40.18%	9	3.86%	97.00%
40.18% to 52.85%	5	2.15%	99.14%
Greater than 52.85%	2	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.71%	19.07%	71.67%	68.27%
±2σ	-31.60%	35.96%	95.28%	95.45%
±3σ	-48.49%	52.85%	99.14%	99.73%

Descriptive Statistics

均值	2.181%
Standard Error	1.106%
中位数	1.303%
Mode	-25.117%
Standard Deviation	16.889%
Sample Variance	285.250%
峰度	1.14
偏度	0.62
Range	109.477%
Minimum	-36.777%
Maximum	72.700%
Count	233

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.760%	121	51.93%	7.665%
负向	-11.408%	112	48.07%	-5.484%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	16.64%
12	1 Year	23.37%
36	3 Years	23.52%
60	5 Years	23.64%
120	10 Years	22.35%
240	20 Years	25.10%
600	50 Years	25.10%

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 2.16. Further, an Excess 峰度 of 6.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.84%	0	0.00%	0.00%
-19.84% to -7.63%	0	0.00%	0.00%
-7.63% to 4.58%	0	0.00%	0.00%
4.58% to 16.80%	42	17.95%	17.95%
16.80% to 29.01%	104	44.44%	62.39%
29.01% to 41.22%	56	23.93%	86.32%
41.22% to 53.43%	14	5.98%	92.31%
53.43% to 65.64%	8	3.42%	95.73%
65.64% to 77.86%	4	1.71%	97.44%
Greater than 77.86%	6	2.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.72%	45.29%	83.76%	68.27%
±2σ	-3.56%	61.57%	94.44%	95.45%
±3σ	-19.84%	77.86%	97.44%	99.73%

Descriptive Statistics

均值	29.008%
Standard Error	1.064%
中位数	25.203%
Mode	20.275%
Standard Deviation	16.283%
Sample Variance	265.134%
峰度	6.58
偏度	2.16
Range	106.808%
Minimum	6.085%
Maximum	112.893%
Count	234

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.008%	234	100.00%	29.008%
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 0.55. Further, an Excess 峰度 of 0.58 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -49.14%	0	0.00%	0.00%
-49.14% to -36.68%	1	0.43%	0.43%
-36.68% to -24.22%	8	3.42%	3.85%
-24.22% to -11.77%	41	17.52%	21.37%
-11.77% to 0.69%	78	33.33%	54.70%
0.69% to 13.15%	55	23.50%	78.21%
13.15% to 25.61%	33	14.10%	92.31%
25.61% to 38.07%	13	5.56%	97.86%
38.07% to 50.53%	3	1.28%	99.15%
Greater than 50.53%	2	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.92%	17.30%	71.79%	68.27%
±2σ	-32.53%	33.91%	94.44%	95.45%
±3σ	-49.14%	50.53%	99.15%	99.73%

Descriptive Statistics

均值	0.693%
Standard Error	1.086%
中位数	-1.115%
Mode	-41.430%
Standard Deviation	16.611%
Sample Variance	275.942%
峰度	0.58
偏度	0.55
Range	98.842%
Minimum	-41.430%
Maximum	57.412%
Count	234

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.529%	110	47.01%	6.830%
负向	-11.581%	124	52.99%	-6.137%
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 0.47. Further, an Excess 峰度 of 0.11 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.86%	0	0.00%	0.00%
-84.86% to -61.97%	0	0.00%	0.00%
-61.97% to -39.07%	3	3.90%	3.90%
-39.07% to -16.17%	14	18.18%	22.08%
-16.17% to 6.72%	26	33.77%	55.84%
6.72% to 29.62%	17	22.08%	77.92%
29.62% to 52.52%	10	12.99%	90.91%
52.52% to 75.41%	5	6.49%	97.40%
75.41% to 98.31%	2	2.60%	100.00%
Greater than 98.31%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.80%	37.25%	71.43%	68.27%
±2σ	-54.33%	67.78%	94.81%	95.45%
±3σ	-84.86%	98.31%	100.00%	99.73%

Descriptive Statistics

均值	6.724%
Standard Error	3.479%
中位数	2.703%
Mode	-57.904%
Standard Deviation	30.529%
Sample Variance	932.024%
峰度	0.11
偏度	0.47
Range	145.552%
Minimum	-57.904%
Maximum	87.648%
Count	77

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.214%	41	53.25%	15.556%
负向	-18.889%	36	46.75%	-8.831%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	41.98%
12	3 Years	40.55%
20	5 Years	40.77%
40	10 Years	39.63%
80	20 Years	44.98%
200	50 Years	44.98%

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 2.28. Further, an Excess 峰度 of 5.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.60%	0	0.00%	0.00%
-48.60% to -21.75%	0	0.00%	0.00%
-21.75% to 5.11%	0	0.00%	0.00%
5.11% to 31.97%	9	11.54%	11.54%
31.97% to 58.83%	44	56.41%	67.95%
58.83% to 85.68%	13	16.67%	84.62%
85.68% to 112.54%	7	8.97%	93.59%
112.54% to 139.40%	2	2.56%	96.15%
139.40% to 166.25%	0	0.00%	96.15%
Greater than 166.25%	3	3.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.02%	94.63%	84.62%	68.27%
±2σ	-12.79%	130.44%	96.15%	95.45%
±3σ	-48.60%	166.25%	96.15%	99.73%

Descriptive Statistics

均值	58.825%
Standard Error	4.055%
中位数	46.939%
Mode	20.000%
Standard Deviation	35.809%
Sample Variance	1282.295%
峰度	5.99
偏度	2.28
Range	184.658%
Minimum	20.000%
Maximum	204.658%
Count	78

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	58.825%	78	100.00%	58.825%
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 1.86. Further, an Excess 峰度 of 5.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -100.47%	0	0.00%	0.00%
-100.47% to -74.72%	0	0.00%	0.00%
-74.72% to -48.98%	0	0.00%	0.00%
-48.98% to -23.24%	18	23.08%	23.08%
-23.24% to 2.50%	24	30.77%	53.85%
2.50% to 28.24%	25	32.05%	85.90%
28.24% to 53.98%	8	10.26%	96.15%
53.98% to 79.72%	0	0.00%	96.15%
79.72% to 105.46%	1	1.28%	97.44%
Greater than 105.46%	2	2.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.82%	36.82%	82.05%	68.27%
±2σ	-66.14%	71.14%	96.15%	95.45%
±3σ	-100.46%	105.46%	97.44%	99.73%

Descriptive Statistics

均值	2.498%
Standard Error	3.886%
中位数	-2.085%
Mode	29.797%
Standard Deviation	34.321%
Sample Variance	1177.955%
峰度	5.60
偏度	1.86
Range	191.419%
Minimum	-47.597%
Maximum	143.822%
Count	78

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.299%	37	47.44%	13.424%
负向	-20.786%	41	52.56%	-10.926%
Zero	0.000%	0	0.00%	0.000%

FSLR 深度分析报告