GH 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%	3.16%	3.76%	5.81%	4.47%	4.50%	85.03	92.97	81.31	97.22
周度	9.68%	9.44%	10.51%	13.76%	9.83%	9.92%	80.59	98.09	73.04	108.23
月度	20.65%	20.18%	20.41%	30.02%	20.46%	20.64%	72.46	109.10	59.05	133.88
季度	45.28%	35.39%	35.26%	56.01%	35.44%	35.75%	62.38	126.73	43.76	180.64
Annual	—	—	—	—	70.89%	71.51%	43.76	180.64	21.54	367.02
Option Time Horizon	—	—	—	—	27.01%	27.25%	67.86	116.48	51.80	152.61

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $88.91 | Strike (K): $90.00 (first OTM call ≥ spot) | Observed Mid-价格: $9.2500 (Bid $8.4000 / Ask $10.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 70.89% (CRR binomial tree, American, n=20 steps) | BS IV: 70.64% (European Black-Scholes) | Yahoo IV (Annual): 71.51% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.60. Further, an Excess 峰度 of 6.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.73%	6	0.32%	0.32%
-12.73% to -9.51%	20	1.05%	1.37%
-9.51% to -6.29%	70	3.69%	5.06%
-6.29% to -3.08%	236	12.45%	17.51%
-3.08% to 0.14%	670	35.34%	52.85%
0.14% to 3.37%	578	30.49%	83.33%
3.37% to 6.58%	214	11.29%	94.62%
6.58% to 9.80%	65	3.43%	98.05%
9.80% to 13.02%	18	0.95%	99.00%
Greater than 13.02%	19	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.15%	4.44%	76.64%	68.27%
±2σ	-8.44%	8.73%	95.68%	95.45%
±3σ	-12.73%	13.02%	98.68%	99.73%

Descriptive Statistics

均值	0.145%
Standard Error	0.099%
中位数	-0.017%
Mode	0.000%
Standard Deviation	4.293%
Sample Variance	18.430%
峰度	6.00
偏度	0.60
Range	55.720%
Minimum	-27.145%
Maximum	28.575%
Count	1896

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.213%	934	49.26%	1.583%
负向	-2.861%	953	50.26%	-1.438%
Zero	0.000%	9	0.47%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.14%
20	1 Month	6.13%
60	1 Quarter	5.70%
250	1 Year	5.13%
750	3 Years	5.42%
1,250	5 Years	5.81%
2,500	10 Years	5.83%
5,000	20 Years	5.83%
12,500	50 Years	5.83%

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 2.51. Further, an Excess 峰度 of 11.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.73%	0	0.00%	0.00%
-3.73% to -1.36%	0	0.00%	0.00%
-1.36% to 1.01%	0	0.00%	0.00%
1.01% to 3.38%	337	17.76%	17.76%
3.38% to 5.74%	849	44.75%	62.52%
5.74% to 8.11%	413	21.77%	84.29%
8.11% to 10.48%	169	8.91%	93.20%
10.48% to 12.85%	69	3.64%	96.84%
12.85% to 15.22%	25	1.32%	98.15%
Greater than 15.22%	35	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.59%	8.90%	81.60%	68.27%
±2σ	-0.57%	12.06%	96.20%	95.45%
±3σ	-3.73%	15.22%	98.15%	99.73%

Descriptive Statistics

均值	5.743%
Standard Error	0.073%
中位数	4.938%
Mode	2.522%
Standard Deviation	3.158%
Sample Variance	9.973%
峰度	11.36
偏度	2.51
Range	29.797%
Minimum	1.490%
Maximum	31.287%
Count	1897

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.743%	1897	100.00%	5.743%
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 0.10. Further, an Excess 峰度 of 3.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.20%	11	0.58%	0.58%
-11.20% to -8.38%	21	1.11%	1.69%
-8.38% to -5.56%	75	3.95%	5.64%
-5.56% to -2.74%	231	12.18%	17.82%
-2.74% to 0.08%	615	32.42%	50.24%
0.08% to 2.90%	605	31.89%	82.13%
2.90% to 5.72%	214	11.28%	93.41%
5.72% to 8.54%	91	4.80%	98.21%
8.54% to 11.37%	23	1.21%	99.42%
Greater than 11.37%	11	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.68%	3.84%	74.59%	68.27%
±2σ	-7.44%	7.60%	94.78%	95.45%
±3σ	-11.20%	11.37%	98.84%	99.73%

Descriptive Statistics

均值	0.082%
Standard Error	0.086%
中位数	0.065%
Mode	0.000%
Standard Deviation	3.761%
Sample Variance	14.148%
峰度	3.09
偏度	0.10
Range	45.611%
Minimum	-20.113%
Maximum	25.498%
Count	1897

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.785%	964	50.82%	1.415%
负向	-2.725%	928	48.92%	-1.333%
Zero	0.000%	5	0.26%	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 3.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.28%	2	0.51%	0.51%
-28.28% to -21.02%	0	0.00%	0.51%
-21.02% to -13.76%	14	3.55%	4.06%
-13.76% to -6.50%	62	15.74%	19.80%
-6.50% to 0.75%	137	34.77%	54.57%
0.75% to 8.01%	105	26.65%	81.22%
8.01% to 15.27%	46	11.68%	92.89%
15.27% to 22.52%	18	4.57%	97.46%
22.52% to 29.78%	8	2.03%	99.49%
Greater than 29.78%	2	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.92%	10.43%	75.13%	68.27%
±2σ	-18.60%	20.10%	95.94%	95.45%
±3σ	-28.28%	29.78%	98.98%	99.73%

Descriptive Statistics

均值	0.752%
Standard Error	0.487%
中位数	-0.082%
Mode	0.464%
Standard Deviation	9.676%
Sample Variance	93.627%
峰度	3.12
偏度	0.19
Range	90.692%
Minimum	-50.764%
Maximum	39.928%
Count	394

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.003%	194	49.24%	3.941%
负向	-6.281%	200	50.76%	-3.188%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	16.20%
12	1 Quarter	12.82%
52	1 Year	11.96%
156	3 Years	12.90%
260	5 Years	13.76%
520	10 Years	13.68%
1,040	20 Years	13.68%
2,600	50 Years	13.68%

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 4.42. Further, an Excess 峰度 of 36.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.42%	0	0.00%	0.00%
-13.42% to -6.34%	0	0.00%	0.00%
-6.34% to 0.73%	0	0.00%	0.00%
0.73% to 7.81%	52	13.16%	13.16%
7.81% to 14.89%	189	47.85%	61.01%
14.89% to 21.97%	92	23.29%	84.30%
21.97% to 29.05%	40	10.13%	94.43%
29.05% to 36.12%	16	4.05%	98.48%
36.12% to 43.20%	1	0.25%	98.73%
Greater than 43.20%	5	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.45%	24.33%	87.59%	68.27%
±2σ	-3.98%	33.76%	98.23%	95.45%
±3σ	-13.42%	43.20%	98.73%	99.73%

Descriptive Statistics

均值	14.890%
Standard Error	0.475%
中位数	12.465%
Mode	9.165%
Standard Deviation	9.437%
Sample Variance	89.050%
峰度	36.17
偏度	4.42
Range	109.274%
Minimum	4.296%
Maximum	113.570%
Count	395

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.890%	395	100.00%	14.890%
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 2.74. Further, an Excess 峰度 of 23.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.20%	0	0.00%	0.00%
-31.20% to -23.32%	2	0.51%	0.51%
-23.32% to -15.44%	12	3.04%	3.54%
-15.44% to -7.56%	58	14.68%	18.23%
-7.56% to 0.32%	131	33.16%	51.39%
0.32% to 8.21%	124	31.39%	82.78%
8.21% to 16.09%	49	12.41%	95.19%
16.09% to 23.97%	17	4.30%	99.49%
23.97% to 31.85%	0	0.00%	99.49%
Greater than 31.85%	2	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.19%	10.83%	79.75%	68.27%
±2σ	-20.69%	21.34%	97.47%	95.45%
±3σ	-31.20%	31.85%	99.49%	99.73%

Descriptive Statistics

均值	0.324%
Standard Error	0.529%
中位数	0.023%
Mode	-0.321%
Standard Deviation	10.509%
Sample Variance	110.442%
峰度	23.92
偏度	2.74
Range	130.204%
Minimum	-28.376%
Maximum	101.828%
Count	395

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.312%	198	50.13%	3.665%
负向	-6.700%	197	49.87%	-3.341%
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 0.89. Further, an Excess 峰度 of 1.83 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.90%	0	0.00%	0.00%
-58.90% to -43.41%	1	1.11%	1.11%
-43.41% to -27.93%	2	2.22%	3.33%
-27.93% to -12.44%	15	16.67%	20.00%
-12.44% to 3.04%	30	33.33%	53.33%
3.04% to 18.53%	30	33.33%	86.67%
18.53% to 34.01%	6	6.67%	93.33%
34.01% to 49.50%	1	1.11%	94.44%
49.50% to 64.98%	4	4.44%	98.89%
Greater than 64.98%	1	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.60%	23.69%	76.67%	68.27%
±2σ	-38.25%	44.34%	92.22%	95.45%
±3σ	-58.90%	64.98%	98.89%	99.73%

Descriptive Statistics

均值	3.042%
Standard Error	2.176%
中位数	0.087%
Mode	-48.032%
Standard Deviation	20.647%
Sample Variance	426.279%
峰度	1.83
偏度	0.89
Range	113.228%
Minimum	-48.032%
Maximum	65.196%
Count	90

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.538%	46	51.11%	8.964%
负向	-12.113%	44	48.89%	-5.922%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	21.23%
12	1 Year	29.74%
36	3 Years	30.10%
60	5 Years	30.02%
120	10 Years	29.45%
240	20 Years	29.45%
600	50 Years	29.45%

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 2.34. Further, an Excess 峰度 of 7.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.91%	0	0.00%	0.00%
-24.91% to -9.78%	0	0.00%	0.00%
-9.78% to 5.35%	0	0.00%	0.00%
5.35% to 20.48%	16	17.58%	17.58%
20.48% to 35.62%	44	48.35%	65.93%
35.62% to 50.75%	17	18.68%	84.62%
50.75% to 65.88%	8	8.79%	93.41%
65.88% to 81.02%	3	3.30%	96.70%
81.02% to 96.15%	1	1.10%	97.80%
Greater than 96.15%	2	2.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.44%	55.80%	82.42%	68.27%
±2σ	-4.74%	75.97%	96.70%	95.45%
±3σ	-24.91%	96.15%	97.80%	99.73%

Descriptive Statistics

均值	35.618%
Standard Error	2.115%
中位数	29.989%
Mode	13.324%
Standard Deviation	20.177%
Sample Variance	407.114%
峰度	7.63
偏度	2.34
Range	118.068%
Minimum	13.324%
Maximum	131.392%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.618%	91	100.00%	35.618%
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 1.15. Further, an Excess 峰度 of 4.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -60.48%	0	0.00%	0.00%
-60.48% to -45.17%	0	0.00%	0.00%
-45.17% to -29.86%	6	6.59%	6.59%
-29.86% to -14.55%	9	9.89%	16.48%
-14.55% to 0.76%	35	38.46%	54.95%
0.76% to 16.06%	26	28.57%	83.52%
16.06% to 31.37%	9	9.89%	93.41%
31.37% to 46.68%	4	4.40%	97.80%
46.68% to 61.99%	1	1.10%	98.90%
Greater than 61.99%	1	1.10%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.66%	21.17%	78.02%	68.27%
±2σ	-40.07%	41.58%	96.70%	95.45%
±3σ	-60.48%	61.99%	98.90%	99.73%

Descriptive Statistics

均值	0.755%
Standard Error	2.140%
中位数	-0.537%
Mode	-39.841%
Standard Deviation	20.412%
Sample Variance	416.664%
峰度	4.01
偏度	1.15
Range	132.966%
Minimum	-39.841%
Maximum	93.125%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.828%	44	48.35%	7.653%
负向	-13.356%	47	51.65%	-6.898%
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 1.19. Further, an Excess 峰度 of 0.75 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -124.93%	0	0.00%	0.00%
-124.93% to -90.98%	0	0.00%	0.00%
-90.98% to -57.02%	0	0.00%	0.00%
-57.02% to -23.06%	7	23.33%	23.33%
-23.06% to 10.90%	13	43.33%	66.67%
10.90% to 44.85%	4	13.33%	80.00%
44.85% to 78.81%	3	10.00%	90.00%
78.81% to 112.77%	1	3.33%	93.33%
112.77% to 146.73%	2	6.67%	100.00%
Greater than 146.73%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.38%	56.17%	73.33%	68.27%
±2σ	-79.66%	101.45%	93.33%	95.45%
±3σ	-124.93%	146.73%	100.00%	99.73%

Descriptive Statistics

均值	10.897%
Standard Error	8.266%
中位数	0.871%
Mode	-40.449%
Standard Deviation	45.277%
Sample Variance	2050.027%
峰度	0.75
偏度	1.19
Range	167.438%
Minimum	-40.449%
Maximum	126.989%
Count	30

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.265%	16	53.33%	22.008%
负向	-23.809%	14	46.67%	-11.111%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	60.19%
12	3 Years	62.57%
20	5 Years	56.01%
40	10 Years	57.30%
80	20 Years	57.30%
200	50 Years	57.30%

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 1.25. Further, an Excess 峰度 of 0.86 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.08%	0	0.00%	0.00%
-33.08% to -6.53%	0	0.00%	0.00%
-6.53% to 20.02%	0	0.00%	0.00%
20.02% to 46.56%	6	19.35%	19.35%
46.56% to 73.11%	15	48.39%	67.74%
73.11% to 99.65%	3	9.68%	77.42%
99.65% to 126.20%	3	9.68%	87.10%
126.20% to 152.74%	3	9.68%	96.77%
152.74% to 179.29%	1	3.23%	100.00%
Greater than 179.29%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	37.71%	108.50%	80.65%	68.27%
±2σ	2.32%	143.89%	96.77%	95.45%
±3σ	-33.08%	179.29%	100.00%	99.73%

Descriptive Statistics

均值	73.106%
Standard Error	6.357%
中位数	60.537%
Mode	35.846%
Standard Deviation	35.394%
Sample Variance	1252.713%
峰度	0.86
偏度	1.25
Range	138.280%
Minimum	35.846%
Maximum	174.126%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	73.106%	31	100.00%	73.106%
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 0.16. Further, an Excess 峰度 of -0.89 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -103.01%	0	0.00%	0.00%
-103.01% to -76.56%	0	0.00%	0.00%
-76.56% to -50.12%	2	6.45%	6.45%
-50.12% to -23.67%	5	16.13%	22.58%
-23.67% to 2.77%	11	35.48%	58.06%
2.77% to 29.22%	6	19.35%	77.42%
29.22% to 55.67%	5	16.13%	93.55%
55.67% to 82.11%	2	6.45%	100.00%
82.11% to 108.56%	0	0.00%	100.00%
Greater than 108.56%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.49%	38.04%	64.52%	68.27%
±2σ	-67.75%	73.30%	100.00%	95.45%
±3σ	-103.01%	108.56%	100.00%	99.73%

Descriptive Statistics

均值	2.775%
Standard Error	6.333%
中位数	-2.308%
Mode	-56.192%
Standard Deviation	35.261%
Sample Variance	1243.309%
峰度	-0.89
偏度	0.16
Range	125.394%
Minimum	-56.192%
Maximum	69.202%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.905%	13	41.94%	15.895%
负向	-22.596%	18	58.06%	-13.120%
Zero	0.000%	0	0.00%	0.000%

GH 深度分析报告