INVZ 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	5.34%	4.67%	4.69%	8.11%	9.49%	9.55%	0.63	0.76	0.57	0.83
周度	12.22%	12.92%	11.61%	19.00%	20.90%	21.02%	0.56	0.85	0.45	1.05
月度	28.05%	34.88%	26.62%	43.20%	43.51%	43.75%	0.45	1.06	0.29	1.64
季度	54.46%	118.69%	57.73%	88.77%	75.36%	75.78%	0.32	1.46	0.15	3.11
Annual	—	—	—	—	150.72%	151.56%	0.15	3.11	0.03	14.04
Option Time Horizon	—	—	—	—	57.43%	57.75%	0.39	1.22	0.22	2.17

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $0.69 | Strike (K): $1.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.0750 (Bid $0.0500 / Ask $0.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 150.72% (CRR binomial tree, American, n=20 steps) | BS IV: 152.22% (European Black-Scholes) | Yahoo IV (Annual): 151.56% → 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 1.03. Further, an Excess 峰度 of 4.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.07%	3	0.21%	0.21%
-16.07% to -12.06%	6	0.41%	0.62%
-12.06% to -8.06%	37	2.55%	3.17%
-8.06% to -4.05%	229	15.79%	18.97%
-4.05% to -0.04%	519	35.79%	54.76%
-0.04% to 3.96%	424	29.24%	84.00%
3.96% to 7.97%	135	9.31%	93.31%
7.97% to 11.97%	56	3.86%	97.17%
11.97% to 15.98%	19	1.31%	98.48%
Greater than 15.98%	22	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.39%	5.30%	77.10%	68.27%
±2σ	-10.73%	10.64%	95.24%	95.45%
±3σ	-16.07%	15.98%	98.28%	99.73%

Descriptive Statistics

均值	-0.045%
Standard Error	0.140%
中位数	-0.509%
Mode	0.000%
Standard Deviation	5.342%
Sample Variance	28.532%
峰度	4.69
偏度	1.03
Range	61.068%
Minimum	-28.025%
Maximum	33.043%
Count	1450

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.350%	617	42.55%	1.851%
负向	-3.458%	795	54.83%	-1.896%
Zero	0.000%	38	2.62%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.93%
20	1 Month	8.19%
60	1 Quarter	7.55%
250	1 Year	8.71%
750	3 Years	8.93%
1,250	5 Years	8.11%
2,500	10 Years	7.60%
5,000	20 Years	7.60%
12,500	50 Years	7.60%

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 2.19. Further, an Excess 峰度 of 9.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.38%	0	0.00%	0.00%
-6.38% to -2.88%	0	0.00%	0.00%
-2.88% to 0.62%	40	2.76%	2.76%
0.62% to 4.12%	179	12.34%	15.09%
4.12% to 7.62%	659	45.42%	60.51%
7.62% to 11.12%	346	23.85%	84.36%
11.12% to 14.62%	135	9.30%	93.66%
14.62% to 18.12%	45	3.10%	96.76%
18.12% to 21.62%	20	1.38%	98.14%
Greater than 21.62%	27	1.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.95%	12.29%	80.70%	68.27%
±2σ	-1.71%	16.95%	96.14%	95.45%
±3σ	-6.38%	21.62%	98.14%	99.73%

Descriptive Statistics

均值	7.619%
Standard Error	0.123%
中位数	6.742%
Mode	4.762%
Standard Deviation	4.666%
Sample Variance	21.775%
峰度	9.69
偏度	2.19
Range	48.012%
Minimum	0.101%
Maximum	48.113%
Count	1451

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.619%	1451	100.00%	7.619%
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 0.03. Further, an Excess 峰度 of 2.55 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.32%	9	0.62%	0.62%
-13.32% to -9.80%	24	1.65%	2.27%
-9.80% to -6.28%	60	4.14%	6.41%
-6.28% to -2.76%	171	11.78%	18.19%
-2.76% to 0.76%	464	31.98%	50.17%
0.76% to 4.28%	453	31.22%	81.39%
4.28% to 7.80%	186	12.82%	94.21%
7.80% to 11.32%	57	3.93%	98.14%
11.32% to 14.84%	22	1.52%	99.66%
Greater than 14.84%	5	0.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.93%	5.45%	74.64%	68.27%
±2σ	-8.62%	10.14%	94.14%	95.45%
±3σ	-13.32%	14.84%	99.04%	99.73%

Descriptive Statistics

均值	0.760%
Standard Error	0.123%
中位数	0.756%
Mode	0.000%
Standard Deviation	4.692%
Sample Variance	22.012%
峰度	2.55
偏度	0.03
Range	47.431%
Minimum	-21.168%
Maximum	26.263%
Count	1451

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.649%	841	57.96%	2.115%
负向	-3.499%	562	38.73%	-1.355%
Zero	0.000%	48	3.31%	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 1.33. Further, an Excess 峰度 of 4.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.84%	0	0.00%	0.00%
-36.84% to -27.67%	1	0.33%	0.33%
-27.67% to -18.51%	8	2.64%	2.97%
-18.51% to -9.35%	45	14.85%	17.82%
-9.35% to -0.18%	123	40.59%	58.42%
-0.18% to 8.98%	78	25.74%	84.16%
8.98% to 18.14%	23	7.59%	91.75%
18.14% to 27.31%	15	4.95%	96.70%
27.31% to 36.47%	7	2.31%	99.01%
Greater than 36.47%	3	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.40%	12.04%	75.25%	68.27%
±2σ	-24.62%	24.25%	95.05%	95.45%
±3σ	-36.84%	36.47%	99.01%	99.73%

Descriptive Statistics

均值	-0.183%
Standard Error	0.702%
中位数	-1.592%
Mode	-12.500%
Standard Deviation	12.218%
Sample Variance	149.281%
峰度	4.07
偏度	1.33
Range	103.189%
Minimum	-34.844%
Maximum	68.345%
Count	303

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.821%	119	39.27%	4.250%
负向	-7.380%	182	60.07%	-4.433%
Zero	0.000%	2	0.66%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	16.24%
12	1 Quarter	15.41%
52	1 Year	19.65%
156	3 Years	20.80%
260	5 Years	19.00%
520	10 Years	17.64%
1,040	20 Years	17.64%
2,600	50 Years	17.64%

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 2.29. Further, an Excess 峰度 of 10.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.04%	0	0.00%	0.00%
-19.04% to -9.35%	0	0.00%	0.00%
-9.35% to 0.34%	1	0.33%	0.33%
0.34% to 10.02%	40	13.16%	13.49%
10.02% to 19.71%	143	47.04%	60.53%
19.71% to 29.40%	73	24.01%	84.54%
29.40% to 39.09%	30	9.87%	94.41%
39.09% to 48.77%	7	2.30%	96.71%
48.77% to 58.46%	3	0.99%	97.70%
Greater than 58.46%	7	2.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.79%	32.63%	82.57%	68.27%
±2σ	-6.12%	45.55%	95.72%	95.45%
±3σ	-19.04%	58.46%	97.70%	99.73%

Descriptive Statistics

均值	19.712%
Standard Error	0.741%
中位数	16.953%
Mode	1.227%
Standard Deviation	12.917%
Sample Variance	166.840%
峰度	10.16
偏度	2.29
Range	109.232%
Minimum	0.101%
Maximum	109.333%
Count	304

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.712%	304	100.00%	19.712%
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 0.50. Further, an Excess 峰度 of 4.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.50%	1	0.33%	0.33%
-32.50% to -23.80%	5	1.64%	1.97%
-23.80% to -15.10%	14	4.61%	6.58%
-15.10% to -6.39%	30	9.87%	16.45%
-6.39% to 2.31%	109	35.86%	52.30%
2.31% to 11.02%	87	28.62%	80.92%
11.02% to 19.72%	40	13.16%	94.08%
19.72% to 28.42%	15	4.93%	99.01%
28.42% to 37.13%	1	0.33%	99.34%
Greater than 37.13%	2	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.29%	13.92%	76.32%	68.27%
±2σ	-20.90%	25.52%	94.41%	95.45%
±3σ	-32.50%	37.13%	99.01%	99.73%

Descriptive Statistics

均值	2.311%
Standard Error	0.666%
中位数	1.924%
Mode	0.000%
Standard Deviation	11.605%
Sample Variance	134.679%
峰度	4.23
偏度	0.50
Range	108.494%
Minimum	-40.171%
Maximum	68.323%
Count	304

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.699%	187	61.51%	5.351%
负向	-8.400%	110	36.18%	-3.039%
Zero	0.000%	7	2.30%	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 1.58. Further, an Excess 峰度 of 4.68 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.56%	0	0.00%	0.00%
-84.56% to -63.52%	0	0.00%	0.00%
-63.52% to -42.48%	2	2.90%	2.90%
-42.48% to -21.44%	12	17.39%	20.29%
-21.44% to -0.40%	26	37.68%	57.97%
-0.40% to 20.64%	16	23.19%	81.16%
20.64% to 41.68%	7	10.14%	91.30%
41.68% to 62.72%	4	5.80%	97.10%
62.72% to 83.76%	1	1.45%	98.55%
Greater than 83.76%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.45%	27.66%	78.26%	68.27%
±2σ	-56.50%	55.71%	97.10%	95.45%
±3σ	-84.56%	83.76%	98.55%	99.73%

Descriptive Statistics

均值	-0.398%
Standard Error	3.377%
中位数	-6.189%
Mode	-52.323%
Standard Deviation	28.053%
Sample Variance	786.978%
峰度	4.68
偏度	1.58
Range	173.376%
Minimum	-52.323%
Maximum	121.053%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.168%	27	39.13%	9.848%
负向	-16.833%	42	60.87%	-10.246%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	29.24%
12	1 Year	45.32%
36	3 Years	49.22%
60	5 Years	43.20%
120	10 Years	40.64%
240	20 Years	40.64%
600	50 Years	40.64%

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 2.23. Further, an Excess 峰度 of 8.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.72%	0	0.00%	0.00%
-52.72% to -26.55%	0	0.00%	0.00%
-26.55% to -0.39%	0	0.00%	0.00%
-0.39% to 25.77%	8	11.43%	11.43%
25.77% to 51.93%	33	47.14%	58.57%
51.93% to 78.09%	20	28.57%	87.14%
78.09% to 104.25%	5	7.14%	94.29%
104.25% to 130.41%	1	1.43%	95.71%
130.41% to 156.57%	2	2.86%	98.57%
Greater than 156.57%	1	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.05%	86.81%	82.86%	68.27%
±2σ	-17.83%	121.69%	95.71%	95.45%
±3σ	-52.72%	156.57%	98.57%	99.73%

Descriptive Statistics

均值	51.929%
Standard Error	4.169%
中位数	46.933%
Mode	2.156%
Standard Deviation	34.882%
Sample Variance	1216.768%
峰度	8.29
偏度	2.23
Range	221.373%
Minimum	2.156%
Maximum	223.529%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	51.929%	70	100.00%	51.929%
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 0.62. Further, an Excess 峰度 of 1.43 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.50%	0	0.00%	0.00%
-72.50% to -52.53%	1	1.43%	1.43%
-52.53% to -32.57%	1	1.43%	2.86%
-32.57% to -12.60%	12	17.14%	20.00%
-12.60% to 7.37%	22	31.43%	51.43%
7.37% to 27.33%	20	28.57%	80.00%
27.33% to 47.30%	11	15.71%	95.71%
47.30% to 67.27%	1	1.43%	97.14%
67.27% to 87.23%	1	1.43%	98.57%
Greater than 87.23%	1	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.26%	33.99%	68.57%	68.27%
±2σ	-45.88%	60.61%	95.71%	95.45%
±3σ	-72.50%	87.23%	98.57%	99.73%

Descriptive Statistics

均值	7.366%
Standard Error	3.182%
中位数	6.077%
Mode	-54.167%
Standard Deviation	26.622%
Sample Variance	708.743%
峰度	1.43
偏度	0.62
Range	151.731%
Minimum	-54.167%
Maximum	97.564%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.238%	42	60.00%	13.943%
负向	-16.443%	28	40.00%	-6.577%
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 1.57. Further, an Excess 峰度 of 2.69 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -162.92%	0	0.00%	0.00%
-162.92% to -122.07%	0	0.00%	0.00%
-122.07% to -81.23%	0	0.00%	0.00%
-81.23% to -40.39%	5	21.74%	21.74%
-40.39% to 0.46%	10	43.48%	65.22%
0.46% to 41.30%	5	21.74%	86.96%
41.30% to 82.14%	1	4.35%	91.30%
82.14% to 122.99%	1	4.35%	95.65%
122.99% to 163.83%	1	4.35%	100.00%
Greater than 163.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-54.00%	54.92%	73.91%	68.27%
±2σ	-108.46%	109.37%	91.30%	95.45%
±3σ	-162.92%	163.83%	100.00%	99.73%

Descriptive Statistics

均值	0.458%
Standard Error	11.355%
中位数	-13.000%
Mode	-63.415%
Standard Deviation	54.458%
Sample Variance	2965.689%
峰度	2.69
偏度	1.57
Range	221.748%
Minimum	-63.415%
Maximum	158.333%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	55.984%	8	34.78%	19.473%
负向	-31.238%	14	60.87%	-19.015%
Zero	0.000%	1	4.35%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	94.71%
12	3 Years	112.10%
20	5 Years	88.77%
40	10 Years	82.96%
80	20 Years	82.96%
200	50 Years	82.96%

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 3.03. Further, an Excess 峰度 of 11.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -234.02%	0	0.00%	0.00%
-234.02% to -145.01%	0	0.00%	0.00%
-145.01% to -55.99%	0	0.00%	0.00%
-55.99% to 33.03%	2	8.33%	8.33%
33.03% to 122.05%	15	62.50%	70.83%
122.05% to 211.07%	4	16.67%	87.50%
211.07% to 300.09%	2	8.33%	95.83%
300.09% to 389.10%	0	0.00%	95.83%
389.10% to 478.12%	0	0.00%	95.83%
Greater than 478.12%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.36%	240.74%	91.67%	68.27%
±2σ	-115.33%	359.43%	95.83%	95.45%
±3σ	-234.02%	478.12%	95.83%	99.73%

Descriptive Statistics

均值	122.049%
Standard Error	24.228%
中位数	89.520%
Mode	4.061%
Standard Deviation	118.691%
Sample Variance	14087.528%
峰度	11.41
偏度	3.03
Range	593.717%
Minimum	4.061%
Maximum	597.778%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	122.049%	24	100.00%	122.049%
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 0.87. Further, an Excess 峰度 of 0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -148.71%	0	0.00%	0.00%
-148.71% to -105.41%	0	0.00%	0.00%
-105.41% to -62.12%	0	0.00%	0.00%
-62.12% to -18.83%	6	25.00%	25.00%
-18.83% to 24.47%	7	29.17%	54.17%
24.47% to 67.76%	6	25.00%	79.17%
67.76% to 111.05%	3	12.50%	91.67%
111.05% to 154.35%	1	4.17%	95.83%
154.35% to 197.64%	1	4.17%	100.00%
Greater than 197.64%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.26%	82.19%	70.83%	68.27%
±2σ	-90.98%	139.92%	95.83%	95.45%
±3σ	-148.71%	197.64%	100.00%	99.73%

Descriptive Statistics

均值	24.467%
Standard Error	11.783%
中位数	14.478%
Mode	-61.290%
Standard Deviation	57.725%
Sample Variance	3332.207%
峰度	0.56
偏度	0.87
Range	233.290%
Minimum	-61.290%
Maximum	172.000%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	51.971%	16	66.67%	34.648%
负向	-30.542%	8	33.33%	-10.181%
Zero	0.000%	0	0.00%	0.000%

INVZ 深度分析报告