HUBS 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	3.14%	2.48%	2.74%	4.56%	5.19%	5.25%	212.03	235.21	201.31	247.74
周度	7.01%	6.28%	7.19%	10.59%	11.42%	11.56%	199.22	250.34	177.71	280.63
月度	12.81%	12.72%	13.00%	21.07%	23.78%	24.06%	176.06	283.26	138.81	359.28
季度	22.36%	21.89%	23.59%	38.26%	41.18%	41.68%	147.94	337.11	98.00	508.88
Annual	—	—	—	—	82.36%	83.36%	98.00	508.88	43.01	1159.57
Option Time Horizon	—	—	—	—	31.38%	31.76%	163.17	305.65	119.21	418.34

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $223.32 | Strike (K): $230.00 (first OTM call ≥ spot) | Observed Mid-价格: $25.6500 (Bid $24.2000 / Ask $27.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 82.36% (CRR binomial tree, American, n=20 steps) | BS IV: 82.68% (European Black-Scholes) | Yahoo IV (Annual): 83.36% → 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 0.12. Further, an Excess 峰度 of 4.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.30%	17	0.59%	0.59%
-9.30% to -6.95%	37	1.28%	1.86%
-6.95% to -4.59%	121	4.17%	6.03%
-4.59% to -2.24%	334	11.51%	17.55%
-2.24% to 0.12%	901	31.06%	48.60%
0.12% to 2.47%	1016	35.02%	83.63%
2.47% to 4.83%	330	11.38%	95.00%
4.83% to 7.18%	91	3.14%	98.14%
7.18% to 9.54%	29	1.00%	99.14%
Greater than 9.54%	25	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.02%	3.26%	76.94%	68.27%
±2σ	-6.16%	6.40%	94.59%	95.45%
±3σ	-9.30%	9.54%	98.55%	99.73%

Descriptive Statistics

均值	0.118%
Standard Error	0.058%
中位数	0.191%
Mode	0.000%
Standard Deviation	3.141%
Sample Variance	9.866%
峰度	4.46
偏度	0.12
Range	39.611%
Minimum	-19.855%
Maximum	19.756%
Count	2901

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.173%	1555	53.60%	1.165%
负向	-2.272%	1336	46.05%	-1.046%
Zero	0.000%	10	0.34%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.65%
20	1 Month	6.73%
60	1 Quarter	7.21%
250	1 Year	4.66%
750	3 Years	3.91%
1,250	5 Years	4.56%
2,500	10 Years	4.28%
5,000	20 Years	4.28%
12,500	50 Years	4.28%

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 2.54. Further, an Excess 峰度 of 11.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.32%	0	0.00%	0.00%
-3.32% to -1.45%	0	0.00%	0.00%
-1.45% to 0.41%	0	0.00%	0.00%
0.41% to 2.27%	502	17.30%	17.30%
2.27% to 4.14%	1343	46.28%	63.58%
4.14% to 6.00%	599	20.64%	84.22%
6.00% to 7.87%	255	8.79%	93.00%
7.87% to 9.73%	102	3.51%	96.52%
9.73% to 11.59%	46	1.59%	98.10%
Greater than 11.59%	55	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.65%	6.62%	84.01%	68.27%
±2σ	-0.83%	9.11%	95.49%	95.45%
±3σ	-3.32%	11.59%	98.10%	99.73%

Descriptive Statistics

均值	4.138%
Standard Error	0.046%
中位数	3.476%
Mode	3.476%
Standard Deviation	2.485%
Sample Variance	6.174%
峰度	11.32
偏度	2.54
Range	28.407%
Minimum	1.014%
Maximum	29.421%
Count	2902

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.138%	2902	100.00%	4.138%
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 4.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.19%	12	0.41%	0.41%
-8.19% to -6.13%	24	0.83%	1.24%
-6.13% to -4.08%	103	3.55%	4.79%
-4.08% to -2.02%	397	13.68%	18.47%
-2.02% to 0.03%	978	33.70%	52.17%
0.03% to 2.09%	879	30.29%	82.46%
2.09% to 4.14%	336	11.58%	94.04%
4.14% to 6.20%	106	3.65%	97.69%
6.20% to 8.25%	42	1.45%	99.14%
Greater than 8.25%	25	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.71%	2.77%	75.88%	68.27%
±2σ	-5.45%	5.51%	94.49%	95.45%
±3σ	-8.18%	8.25%	98.73%	99.73%

Descriptive Statistics

均值	0.032%
Standard Error	0.051%
中位数	-0.081%
Mode	0.000%
Standard Deviation	2.739%
Sample Variance	7.503%
峰度	4.62
偏度	0.54
Range	37.742%
Minimum	-13.906%
Maximum	23.836%
Count	2902

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.069%	1402	48.31%	1.000%
负向	-1.883%	1492	51.41%	-0.968%
Zero	0.000%	8	0.28%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.09. Further, an Excess 峰度 of 1.85 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.44%	5	0.83%	0.83%
-20.44% to -15.18%	10	1.66%	2.49%
-15.18% to -9.92%	26	4.32%	6.81%
-9.92% to -4.66%	71	11.79%	18.60%
-4.66% to 0.60%	191	31.73%	50.33%
0.60% to 5.86%	187	31.06%	81.40%
5.86% to 11.12%	78	12.96%	94.35%
11.12% to 16.38%	23	3.82%	98.17%
16.38% to 21.63%	8	1.33%	99.50%
Greater than 21.63%	3	0.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.41%	7.61%	73.42%	68.27%
±2σ	-13.43%	14.62%	94.85%	95.45%
±3σ	-20.44%	21.63%	98.67%	99.73%

Descriptive Statistics

均值	0.598%
Standard Error	0.286%
中位数	0.492%
Mode	-2.639%
Standard Deviation	7.012%
Sample Variance	49.169%
峰度	1.85
偏度	-0.09
Range	57.861%
Minimum	-28.922%
Maximum	28.939%
Count	602

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.299%	325	53.99%	2.861%
负向	-4.919%	277	46.01%	-2.263%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.49%
12	1 Quarter	16.42%
52	1 Year	11.00%
156	3 Years	9.21%
260	5 Years	10.59%
520	10 Years	10.11%
1,040	20 Years	10.12%
2,600	50 Years	10.12%

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 1.81. Further, an Excess 峰度 of 4.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.07%	0	0.00%	0.00%
-8.07% to -3.37%	0	0.00%	0.00%
-3.37% to 1.34%	0	0.00%	0.00%
1.34% to 6.05%	125	20.73%	20.73%
6.05% to 10.76%	258	42.79%	63.52%
10.76% to 15.46%	119	19.73%	83.25%
15.46% to 20.17%	52	8.62%	91.87%
20.17% to 24.88%	20	3.32%	95.19%
24.88% to 29.58%	20	3.32%	98.51%
Greater than 29.58%	9	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.48%	17.03%	80.27%	68.27%
±2σ	-1.80%	23.31%	94.69%	95.45%
±3σ	-8.07%	29.58%	98.51%	99.73%

Descriptive Statistics

均值	10.755%
Standard Error	0.256%
中位数	9.010%
Mode	6.626%
Standard Deviation	6.276%
Sample Variance	39.391%
峰度	4.36
偏度	1.81
Range	44.450%
Minimum	2.846%
Maximum	47.296%
Count	603

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.755%	603	100.00%	10.755%
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 0.97. Further, an Excess 峰度 of 3.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.61%	0	0.00%	0.00%
-21.61% to -16.22%	7	1.16%	1.16%
-16.22% to -10.83%	18	2.99%	4.15%
-10.83% to -5.43%	91	15.09%	19.24%
-5.43% to -0.04%	204	33.83%	53.07%
-0.04% to 5.35%	188	31.18%	84.25%
5.35% to 10.74%	54	8.96%	93.20%
10.74% to 16.13%	25	4.15%	97.35%
16.13% to 21.52%	9	1.49%	98.84%
Greater than 21.52%	7	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.23%	7.15%	75.46%	68.27%
±2σ	-14.42%	14.34%	95.02%	95.45%
±3σ	-21.61%	21.52%	98.84%	99.73%

Descriptive Statistics

均值	-0.042%
Standard Error	0.293%
中位数	-0.488%
Mode	-4.941%
Standard Deviation	7.189%
Sample Variance	51.687%
峰度	3.29
偏度	0.97
Range	60.191%
Minimum	-20.536%
Maximum	39.655%
Count	603

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.485%	282	46.77%	2.565%
负向	-4.914%	320	53.07%	-2.608%
Zero	0.000%	1	0.17%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.09. Further, an Excess 峰度 of 0.50 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.28%	0	0.00%	0.00%
-36.28% to -26.67%	2	1.45%	1.45%
-26.67% to -17.07%	8	5.80%	7.25%
-17.07% to -7.46%	16	11.59%	18.84%
-7.46% to 2.15%	44	31.88%	50.72%
2.15% to 11.76%	41	29.71%	80.43%
11.76% to 21.36%	17	12.32%	92.75%
21.36% to 30.97%	7	5.07%	97.83%
30.97% to 40.58%	3	2.17%	100.00%
Greater than 40.58%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.66%	14.96%	73.91%	68.27%
±2σ	-23.47%	27.77%	92.75%	95.45%
±3σ	-36.28%	40.58%	100.00%	99.73%

Descriptive Statistics

均值	2.149%
Standard Error	1.090%
中位数	1.936%
Mode	-30.227%
Standard Deviation	12.810%
Sample Variance	164.098%
峰度	0.50
偏度	0.09
Range	68.593%
Minimum	-30.227%
Maximum	38.366%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.594%	78	56.52%	5.988%
负向	-8.829%	60	43.48%	-3.839%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.24%
12	1 Year	20.82%
36	3 Years	18.90%
60	5 Years	21.07%
120	10 Years	20.74%
240	20 Years	20.69%
600	50 Years	20.69%

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 2.27. Further, an Excess 峰度 of 9.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.26%	0	0.00%	0.00%
-14.26% to -4.72%	0	0.00%	0.00%
-4.72% to 4.82%	0	0.00%	0.00%
4.82% to 14.36%	29	20.86%	20.86%
14.36% to 23.89%	55	39.57%	60.43%
23.89% to 33.43%	29	20.86%	81.29%
33.43% to 42.97%	16	11.51%	92.81%
42.97% to 52.50%	6	4.32%	97.12%
52.50% to 62.04%	2	1.44%	98.56%
Greater than 62.04%	2	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.18%	36.61%	82.73%	68.27%
±2σ	-1.54%	49.32%	97.12%	95.45%
±3σ	-14.26%	62.04%	98.56%	99.73%

Descriptive Statistics

均值	23.892%
Standard Error	1.079%
中位数	19.973%
Mode	7.121%
Standard Deviation	12.716%
Sample Variance	161.701%
峰度	9.40
偏度	2.27
Range	93.936%
Minimum	7.121%
Maximum	101.057%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.892%	139	100.00%	23.892%
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 0.85. Further, an Excess 峰度 of 1.30 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.47%	0	0.00%	0.00%
-39.47% to -29.72%	0	0.00%	0.00%
-29.72% to -19.97%	8	5.76%	5.76%
-19.97% to -10.22%	19	13.67%	19.42%
-10.22% to -0.48%	48	34.53%	53.96%
-0.48% to 9.27%	40	28.78%	82.73%
9.27% to 19.02%	13	9.35%	92.09%
19.02% to 28.76%	5	3.60%	95.68%
28.76% to 38.51%	5	3.60%	99.28%
Greater than 38.51%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.47%	12.52%	76.26%	68.27%
±2σ	-26.47%	25.52%	94.24%	95.45%
±3σ	-39.46%	38.51%	99.28%	99.73%

Descriptive Statistics

均值	-0.477%
Standard Error	1.102%
中位数	-1.323%
Mode	-25.917%
Standard Deviation	12.996%
Sample Variance	168.905%
峰度	1.30
偏度	0.85
Range	68.417%
Minimum	-25.917%
Maximum	42.500%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.282%	62	44.60%	4.586%
负向	-9.141%	77	55.40%	-5.064%
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 -0.21. Further, an Excess 峰度 of -0.64 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -60.53%	0	0.00%	0.00%
-60.53% to -43.77%	0	0.00%	0.00%
-43.77% to -27.00%	3	6.52%	6.52%
-27.00% to -10.23%	8	17.39%	23.91%
-10.23% to 6.54%	9	19.57%	43.48%
6.54% to 23.31%	16	34.78%	78.26%
23.31% to 40.08%	7	15.22%	93.48%
40.08% to 56.84%	3	6.52%	100.00%
56.84% to 73.61%	0	0.00%	100.00%
Greater than 73.61%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.82%	28.90%	63.04%	68.27%
±2σ	-38.18%	51.26%	95.65%	95.45%
±3σ	-60.53%	73.61%	100.00%	99.73%

Descriptive Statistics

均值	6.539%
Standard Error	3.297%
中位数	9.213%
Mode	-43.080%
Standard Deviation	22.358%
Sample Variance	499.892%
峰度	-0.64
偏度	-0.21
Range	87.262%
Minimum	-43.080%
Maximum	44.182%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.957%	26	56.52%	12.976%
负向	-14.804%	20	43.48%	-6.436%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	32.91%
12	3 Years	36.23%
20	5 Years	38.26%
40	10 Years	36.75%
80	20 Years	36.73%
200	50 Years	36.73%

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 1.74. Further, an Excess 峰度 of 3.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.87%	0	0.00%	0.00%
-19.87% to -3.45%	0	0.00%	0.00%
-3.45% to 12.97%	0	0.00%	0.00%
12.97% to 29.39%	8	17.02%	17.02%
29.39% to 45.81%	23	48.94%	65.96%
45.81% to 62.23%	9	19.15%	85.11%
62.23% to 78.65%	3	6.38%	91.49%
78.65% to 95.08%	2	4.26%	95.74%
95.08% to 111.50%	0	0.00%	95.74%
Greater than 111.50%	2	4.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.92%	67.71%	78.72%	68.27%
±2σ	2.02%	89.60%	95.74%	95.45%
±3σ	-19.87%	111.50%	95.74%	99.73%

Descriptive Statistics

均值	45.811%
Standard Error	3.194%
中位数	42.298%
Mode	19.942%
Standard Deviation	21.895%
Sample Variance	479.379%
峰度	3.74
偏度	1.74
Range	101.878%
Minimum	19.942%
Maximum	121.820%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.811%	47	100.00%	45.811%
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 1.33. Further, an Excess 峰度 of 2.13 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.09%	0	0.00%	0.00%
-72.09% to -54.40%	0	0.00%	0.00%
-54.40% to -36.70%	0	0.00%	0.00%
-36.70% to -19.00%	9	19.15%	19.15%
-19.00% to -1.31%	18	38.30%	57.45%
-1.31% to 16.39%	10	21.28%	78.72%
16.39% to 34.08%	7	14.89%	93.62%
34.08% to 51.78%	1	2.13%	95.74%
51.78% to 69.47%	1	2.13%	97.87%
Greater than 69.47%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.90%	22.29%	70.21%	68.27%
±2σ	-48.50%	45.88%	95.74%	95.45%
±3σ	-72.09%	69.47%	97.87%	99.73%

Descriptive Statistics

均值	-1.309%
Standard Error	3.441%
中位数	-8.971%
Mode	-30.923%
Standard Deviation	23.594%
Sample Variance	556.663%
峰度	2.13
偏度	1.33
Range	106.780%
Minimum	-30.923%
Maximum	75.857%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.015%	20	42.55%	8.517%
负向	-17.105%	27	57.45%	-9.826%
Zero	0.000%	0	0.00%	0.000%

HUBS 深度分析报告