FVRR 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	4.29%	3.84%	3.93%	5.48%	3.98%	4.07%	10.22	11.07	9.83	11.52
周度	9.37%	9.46%	9.62%	12.74%	8.77%	8.97%	9.75	11.62	8.93	12.68
月度	18.29%	18.56%	18.04%	26.52%	18.26%	18.66%	8.86	12.77	7.39	15.33
季度	39.15%	36.08%	35.88%	45.71%	31.62%	32.32%	7.76	14.60	5.65	20.03
Annual	—	—	—	—	63.24%	64.65%	5.65	20.03	3.00	37.69
Option Time Horizon	—	—	—	—	24.10%	24.63%	8.36	13.54	6.57	17.23

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $10.64 | Strike (K): $11.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.9000 (Bid $0.8000 / Ask $1.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 63.24% (CRR binomial tree, American, n=20 steps) | BS IV: 63.79% (European Black-Scholes) | Yahoo IV (Annual): 64.65% → 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 0.25. Further, an Excess 峰度 of 4.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.85%	8	0.46%	0.46%
-12.85% to -9.63%	14	0.81%	1.28%
-9.63% to -6.42%	67	3.88%	5.16%
-6.42% to -3.20%	230	13.33%	18.49%
-3.20% to 0.01%	566	32.81%	51.30%
0.01% to 3.23%	522	30.26%	81.57%
3.23% to 6.45%	215	12.46%	94.03%
6.45% to 9.66%	76	4.41%	98.43%
9.66% to 12.88%	13	0.75%	99.19%
Greater than 12.88%	14	0.81%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.27%	4.30%	75.19%	68.27%
±2σ	-8.56%	8.59%	95.65%	95.45%
±3σ	-12.85%	12.88%	98.72%	99.73%

Descriptive Statistics

均值	0.015%
Standard Error	0.103%
中位数	-0.085%
Mode	0.000%
Standard Deviation	4.287%
Sample Variance	18.382%
峰度	4.45
偏度	0.25
Range	55.006%
Minimum	-25.642%
Maximum	29.364%
Count	1725

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.193%	841	48.75%	1.557%
负向	-3.042%	874	50.67%	-1.541%
Zero	0.000%	10	0.58%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.87%
20	1 Month	4.52%
60	1 Quarter	5.81%
250	1 Year	4.16%
750	3 Years	4.65%
1,250	5 Years	5.48%
2,500	10 Years	5.94%
5,000	20 Years	5.94%
12,500	50 Years	5.94%

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 5.53. Further, an Excess 峰度 of 66.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.68%	0	0.00%	0.00%
-5.68% to -2.80%	0	0.00%	0.00%
-2.80% to 0.08%	0	0.00%	0.00%
0.08% to 2.96%	230	13.33%	13.33%
2.96% to 5.84%	840	48.67%	61.99%
5.84% to 8.72%	414	23.99%	85.98%
8.72% to 11.60%	151	8.75%	94.73%
11.60% to 14.48%	48	2.78%	97.51%
14.48% to 17.36%	16	0.93%	98.44%
Greater than 17.36%	27	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.00%	9.68%	88.53%	68.27%
±2σ	-1.84%	13.52%	97.05%	95.45%
±3σ	-5.68%	17.36%	98.44%	99.73%

Descriptive Statistics

均值	5.839%
Standard Error	0.092%
中位数	4.955%
Mode	3.838%
Standard Deviation	3.841%
Sample Variance	14.752%
峰度	66.65
偏度	5.53
Range	63.761%
Minimum	1.333%
Maximum	65.094%
Count	1726

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.839%	1726	100.00%	5.839%
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 -0.04. Further, an Excess 峰度 of 7.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.59%	11	0.64%	0.64%
-11.59% to -8.65%	12	0.70%	1.33%
-8.65% to -5.71%	66	3.82%	5.16%
-5.71% to -2.76%	223	12.92%	18.08%
-2.76% to 0.18%	568	32.91%	50.98%
0.18% to 3.13%	526	30.48%	81.46%
3.13% to 6.07%	212	12.28%	93.74%
6.07% to 9.02%	78	4.52%	98.26%
9.02% to 11.96%	22	1.27%	99.54%
Greater than 11.96%	8	0.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.74%	4.11%	75.09%	68.27%
±2σ	-7.67%	8.04%	95.54%	95.45%
±3σ	-11.59%	11.96%	98.90%	99.73%

Descriptive Statistics

均值	0.184%
Standard Error	0.095%
中位数	0.112%
Mode	0.000%
Standard Deviation	3.926%
Sample Variance	15.417%
峰度	7.32
偏度	-0.04
Range	67.069%
Minimum	-34.837%
Maximum	32.232%
Count	1726

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.935%	884	51.22%	1.503%
负向	-2.731%	834	48.32%	-1.320%
Zero	0.000%	8	0.46%	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 1.09 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.01%	1	0.28%	0.28%
-28.01% to -20.98%	4	1.12%	1.40%
-20.98% to -13.95%	13	3.63%	5.03%
-13.95% to -6.92%	52	14.53%	19.55%
-6.92% to 0.11%	121	33.80%	53.35%
0.11% to 7.14%	98	27.37%	80.73%
7.14% to 14.17%	42	11.73%	92.46%
14.17% to 21.20%	18	5.03%	97.49%
21.20% to 28.23%	7	1.96%	99.44%
Greater than 28.23%	2	0.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.26%	9.48%	71.23%	68.27%
±2σ	-18.64%	18.86%	93.58%	95.45%
±3σ	-28.01%	28.23%	99.16%	99.73%

Descriptive Statistics

均值	0.110%
Standard Error	0.495%
中位数	-0.415%
Mode	-2.499%
Standard Deviation	9.373%
Sample Variance	87.855%
峰度	1.09
偏度	0.28
Range	66.472%
Minimum	-32.212%
Maximum	34.260%
Count	358

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.335%	171	47.77%	3.504%
负向	-6.533%	186	51.95%	-3.394%
Zero	0.000%	1	0.28%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.97%
12	1 Quarter	12.69%
52	1 Year	9.69%
156	3 Years	10.84%
260	5 Years	12.74%
520	10 Years	13.87%
1,040	20 Years	13.87%
2,600	50 Years	13.87%

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 2.31. Further, an Excess 峰度 of 8.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.16%	0	0.00%	0.00%
-13.16% to -6.07%	0	0.00%	0.00%
-6.07% to 1.03%	0	0.00%	0.00%
1.03% to 8.13%	71	19.78%	19.78%
8.13% to 15.23%	154	42.90%	62.67%
15.23% to 22.32%	76	21.17%	83.84%
22.32% to 29.42%	34	9.47%	93.31%
29.42% to 36.52%	12	3.34%	96.66%
36.52% to 43.62%	6	1.67%	98.33%
Greater than 43.62%	6	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.76%	24.69%	83.84%	68.27%
±2σ	-3.70%	34.15%	94.99%	95.45%
±3σ	-13.16%	43.61%	98.33%	99.73%

Descriptive Statistics

均值	15.226%
Standard Error	0.499%
中位数	12.922%
Mode	7.409%
Standard Deviation	9.463%
Sample Variance	89.553%
峰度	8.49
偏度	2.31
Range	69.435%
Minimum	3.755%
Maximum	73.190%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.226%	359	100.00%	15.226%
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 0.63. Further, an Excess 峰度 of 2.14 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.96%	0	0.00%	0.00%
-27.96% to -20.75%	3	0.84%	0.84%
-20.75% to -13.53%	16	4.46%	5.29%
-13.53% to -6.32%	59	16.43%	21.73%
-6.32% to 0.89%	110	30.64%	52.37%
0.89% to 8.11%	110	30.64%	83.01%
8.11% to 15.32%	35	9.75%	92.76%
15.32% to 22.53%	17	4.74%	97.49%
22.53% to 29.75%	5	1.39%	98.89%
Greater than 29.75%	4	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.72%	10.51%	72.98%	68.27%
±2σ	-18.34%	20.13%	95.54%	95.45%
±3σ	-27.96%	29.75%	98.89%	99.73%

Descriptive Statistics

均值	0.893%
Standard Error	0.508%
中位数	0.485%
Mode	0.000%
Standard Deviation	9.618%
Sample Variance	92.499%
峰度	2.14
偏度	0.63
Range	72.967%
Minimum	-25.317%
Maximum	47.650%
Count	359

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.319%	193	53.76%	3.935%
负向	-6.658%	164	45.68%	-3.042%
Zero	0.000%	2	0.56%	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 0.91. Further, an Excess 峰度 of 1.68 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.55%	0	0.00%	0.00%
-54.55% to -40.84%	0	0.00%	0.00%
-40.84% to -27.12%	4	4.88%	4.88%
-27.12% to -13.41%	13	15.85%	20.73%
-13.41% to 0.31%	28	34.15%	54.88%
0.31% to 14.02%	22	26.83%	81.71%
14.02% to 27.74%	10	12.20%	93.90%
27.74% to 41.45%	3	3.66%	97.56%
41.45% to 55.17%	0	0.00%	97.56%
Greater than 55.17%	2	2.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.98%	18.59%	70.73%	68.27%
±2σ	-36.26%	36.88%	97.56%	95.45%
±3σ	-54.55%	55.17%	97.56%	99.73%

Descriptive Statistics

均值	0.308%
Standard Error	2.019%
中位数	-2.635%
Mode	-35.343%
Standard Deviation	18.286%
Sample Variance	334.377%
峰度	1.68
偏度	0.91
Range	101.338%
Minimum	-35.343%
Maximum	65.995%
Count	82

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.756%	37	45.12%	7.109%
负向	-12.394%	45	54.88%	-6.802%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	25.53%
12	1 Year	21.98%
36	3 Years	23.24%
60	5 Years	26.52%
120	10 Years	29.63%
240	20 Years	29.63%
600	50 Years	29.63%

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 1.28. Further, an Excess 峰度 of 1.57 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.72%	0	0.00%	0.00%
-19.72% to -5.80%	0	0.00%	0.00%
-5.80% to 8.12%	0	0.00%	0.00%
8.12% to 22.03%	21	25.30%	25.30%
22.03% to 35.95%	33	39.76%	65.06%
35.95% to 49.87%	14	16.87%	81.93%
49.87% to 63.79%	8	9.64%	91.57%
63.79% to 77.70%	4	4.82%	96.39%
77.70% to 91.62%	2	2.41%	98.80%
Greater than 91.62%	1	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.39%	54.51%	72.29%	68.27%
±2σ	-1.16%	73.06%	95.18%	95.45%
±3σ	-19.72%	91.62%	98.80%	99.73%

Descriptive Statistics

均值	35.950%
Standard Error	2.037%
中位数	32.215%
Mode	12.387%
Standard Deviation	18.557%
Sample Variance	344.365%
峰度	1.57
偏度	1.28
Range	87.992%
Minimum	12.387%
Maximum	100.379%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.950%	83	100.00%	35.950%
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 0.29. Further, an Excess 峰度 of 0.49 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.38%	0	0.00%	0.00%
-51.38% to -37.85%	2	2.41%	2.41%
-37.85% to -24.33%	1	1.20%	3.61%
-24.33% to -10.80%	15	18.07%	21.69%
-10.80% to 2.73%	25	30.12%	51.81%
2.73% to 16.26%	24	28.92%	80.72%
16.26% to 29.79%	10	12.05%	92.77%
29.79% to 43.32%	4	4.82%	97.59%
43.32% to 56.85%	2	2.41%	100.00%
Greater than 56.85%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.31%	20.77%	69.88%	68.27%
±2σ	-33.35%	38.81%	93.98%	95.45%
±3σ	-51.38%	56.85%	100.00%	99.73%

Descriptive Statistics

均值	2.733%
Standard Error	1.980%
中位数	1.639%
Mode	-42.798%
Standard Deviation	18.039%
Sample Variance	325.406%
峰度	0.49
偏度	0.29
Range	97.092%
Minimum	-42.798%
Maximum	54.294%
Count	83

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.776%	44	53.01%	8.363%
负向	-11.983%	39	46.99%	-5.631%
Zero	0.000%	0	0.00%	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 1.62. Further, an Excess 峰度 of 4.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -114.59%	0	0.00%	0.00%
-114.59% to -85.23%	0	0.00%	0.00%
-85.23% to -55.86%	0	0.00%	0.00%
-55.86% to -26.50%	6	22.22%	22.22%
-26.50% to 2.86%	10	37.04%	59.26%
2.86% to 32.22%	7	25.93%	85.19%
32.22% to 61.59%	3	11.11%	96.30%
61.59% to 90.95%	0	0.00%	96.30%
90.95% to 120.31%	0	0.00%	96.30%
Greater than 120.31%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.29%	42.01%	74.07%	68.27%
±2σ	-75.44%	81.16%	96.30%	95.45%
±3σ	-114.59%	120.31%	96.30%	99.73%

Descriptive Statistics

均值	2.861%
Standard Error	7.535%
中位数	-1.537%
Mode	-49.921%
Standard Deviation	39.150%
Sample Variance	1532.761%
峰度	4.29
偏度	1.62
Range	188.081%
Minimum	-49.921%
Maximum	138.160%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.035%	13	48.15%	15.424%
负向	-24.228%	14	51.85%	-12.563%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	39.56%
12	3 Years	40.95%
20	5 Years	45.71%
40	10 Years	55.85%
80	20 Years	55.85%
200	50 Years	55.85%

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 1.56. Further, an Excess 峰度 of 2.99 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.01%	0	0.00%	0.00%
-33.01% to -5.96%	0	0.00%	0.00%
-5.96% to 21.10%	0	0.00%	0.00%
21.10% to 48.16%	5	17.86%	17.86%
48.16% to 75.21%	13	46.43%	64.29%
75.21% to 102.27%	6	21.43%	85.71%
102.27% to 129.33%	2	7.14%	92.86%
129.33% to 156.38%	1	3.57%	96.43%
156.38% to 183.44%	0	0.00%	96.43%
Greater than 183.44%	1	3.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	39.14%	111.29%	78.57%	68.27%
±2σ	3.06%	147.37%	92.86%	95.45%
±3σ	-33.01%	183.44%	96.43%	99.73%

Descriptive Statistics

均值	75.214%
Standard Error	6.818%
中位数	66.684%
Mode	31.261%
Standard Deviation	36.076%
Sample Variance	1301.495%
峰度	2.99
偏度	1.56
Range	158.768%
Minimum	31.261%
Maximum	190.029%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	75.214%	28	100.00%	75.214%
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 0.54. Further, an Excess 峰度 of 0.22 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -98.54%	0	0.00%	0.00%
-98.54% to -71.63%	0	0.00%	0.00%
-71.63% to -44.72%	1	3.57%	3.57%
-44.72% to -17.81%	5	17.86%	21.43%
-17.81% to 9.10%	10	35.71%	57.14%
9.10% to 36.01%	6	21.43%	78.57%
36.01% to 62.92%	4	14.29%	92.86%
62.92% to 89.83%	1	3.57%	96.43%
89.83% to 116.74%	1	3.57%	100.00%
Greater than 116.74%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.78%	44.98%	67.86%	68.27%
±2σ	-62.66%	80.86%	96.43%	95.45%
±3σ	-98.54%	116.74%	100.00%	99.73%

Descriptive Statistics

均值	9.103%
Standard Error	6.781%
中位数	2.126%
Mode	-60.131%
Standard Deviation	35.880%
Sample Variance	1287.397%
峰度	0.22
偏度	0.54
Range	159.568%
Minimum	-60.131%
Maximum	99.437%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.273%	16	57.14%	18.442%
负向	-21.792%	12	42.86%	-9.339%
Zero	0.000%	0	0.00%	0.000%

FVRR 深度分析报告