KMX 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	3.11%	3.02%	2.69%	3.60%	3.47%	3.57%	36.96	39.62	35.70	41.02
周度	7.02%	7.59%	6.85%	8.50%	7.64%	7.85%	35.45	41.31	32.85	44.59
月度	14.38%	19.10%	13.66%	18.22%	15.91%	16.35%	32.64	44.87	27.84	52.61
季度	24.75%	35.61%	24.23%	31.34%	27.56%	28.32%	29.05	50.41	22.06	66.40
Annual	—	—	—	—	55.11%	56.64%	22.06	66.40	12.71	115.22
Option Time Horizon	—	—	—	—	21.00%	21.58%	31.02	47.21	25.15	58.25

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $38.27 | Strike (K): $40.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.6000 (Bid $2.5500 / Ask $2.6500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 55.11% (CRR binomial tree, American, n=20 steps) | BS IV: 55.78% (European Black-Scholes) | Yahoo IV (Annual): 56.64% → 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 0.92. Further, an Excess 峰度 of 17.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.27%	43	0.59%	0.59%
-9.27% to -6.93%	73	0.99%	1.58%
-6.93% to -4.60%	183	2.49%	4.07%
-4.60% to -2.27%	793	10.79%	14.86%
-2.27% to 0.07%	2764	37.61%	52.46%
0.07% to 2.40%	2471	33.62%	86.08%
2.40% to 4.73%	671	9.13%	95.21%
4.73% to 7.07%	194	2.64%	97.85%
7.07% to 9.40%	77	1.05%	98.90%
Greater than 9.40%	81	1.10%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.05%	3.18%	81.24%	68.27%
±2σ	-6.16%	6.29%	95.31%	95.45%
±3σ	-9.27%	9.40%	98.31%	99.73%

Descriptive Statistics

均值	0.065%
Standard Error	0.036%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.111%
Sample Variance	9.681%
峰度	17.22
偏度	0.92
Range	76.401%
Minimum	-28.125%
Maximum	48.276%
Count	7350

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.136%	3574	48.63%	1.039%
负向	-2.008%	3563	48.48%	-0.973%
Zero	0.000%	213	2.90%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.75%
20	1 Month	5.22%
60	1 Quarter	4.88%
250	1 Year	3.95%
750	3 Years	3.43%
1,250	5 Years	3.60%
2,500	10 Years	3.21%
5,000	20 Years	3.32%
12,500	50 Years	3.84%

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 4.49. Further, an Excess 峰度 of 45.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.37%	0	0.00%	0.00%
-5.37% to -3.10%	0	0.00%	0.00%
-3.10% to -0.84%	0	0.00%	0.00%
-0.84% to 1.43%	725	9.86%	9.86%
1.43% to 3.69%	4126	56.13%	65.99%
3.69% to 5.96%	1480	20.13%	86.12%
5.96% to 8.23%	540	7.35%	93.47%
8.23% to 10.49%	252	3.43%	96.90%
10.49% to 12.76%	99	1.35%	98.25%
Greater than 12.76%	129	1.75%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.67%	6.72%	89.38%	68.27%
±2σ	-2.35%	9.74%	96.18%	95.45%
±3σ	-5.37%	12.76%	98.25%	99.73%

Descriptive Statistics

均值	3.695%
Standard Error	0.035%
中位数	2.819%
Mode	3.226%
Standard Deviation	3.022%
Sample Variance	9.130%
峰度	45.19
偏度	4.49
Range	61.446%
Minimum	0.402%
Maximum	61.848%
Count	7351

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.695%	7351	100.00%	3.695%
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 0.57. Further, an Excess 峰度 of 14.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.00%	61	0.83%	0.83%
-8.00% to -5.99%	70	0.95%	1.78%
-5.99% to -3.98%	227	3.09%	4.87%
-3.98% to -1.96%	755	10.27%	15.14%
-1.96% to 0.05%	2707	36.82%	51.97%
0.05% to 2.07%	2393	32.55%	84.52%
2.07% to 4.08%	748	10.18%	94.69%
4.08% to 6.09%	255	3.47%	98.16%
6.09% to 8.11%	74	1.01%	99.17%
Greater than 8.11%	61	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.63%	2.74%	79.62%	68.27%
±2σ	-5.32%	5.42%	94.94%	95.45%
±3σ	-8.00%	8.11%	98.34%	99.73%

Descriptive Statistics

均值	0.052%
Standard Error	0.031%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.685%
Sample Variance	7.210%
峰度	14.12
偏度	0.57
Range	64.963%
Minimum	-25.833%
Maximum	39.130%
Count	7351

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.876%	3597	48.93%	0.918%
负向	-1.812%	3512	47.78%	-0.866%
Zero	0.000%	242	3.29%	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 0.98. Further, an Excess 峰度 of 8.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.73%	8	0.52%	0.52%
-20.73% to -15.47%	17	1.12%	1.64%
-15.47% to -10.21%	56	3.67%	5.31%
-10.21% to -4.94%	168	11.02%	16.34%
-4.94% to 0.32%	539	35.37%	51.71%
0.32% to 5.59%	507	33.27%	84.97%
5.59% to 10.85%	138	9.06%	94.03%
10.85% to 16.12%	59	3.87%	97.90%
16.12% to 21.38%	17	1.12%	99.02%
Greater than 21.38%	15	0.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.70%	7.34%	77.56%	68.27%
±2σ	-13.71%	14.36%	94.29%	95.45%
±3σ	-20.73%	21.38%	98.49%	99.73%

Descriptive Statistics

均值	0.324%
Standard Error	0.180%
中位数	0.089%
Mode	0.000%
Standard Deviation	7.019%
Sample Variance	49.271%
峰度	8.83
偏度	0.98
Range	99.355%
Minimum	-30.000%
Maximum	69.355%
Count	1524

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.073%	773	50.72%	2.573%
负向	-4.688%	731	47.97%	-2.249%
Zero	0.000%	20	1.31%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.84%
12	1 Quarter	11.19%
52	1 Year	9.31%
156	3 Years	8.13%
260	5 Years	8.50%
520	10 Years	7.60%
1,040	20 Years	7.82%
2,600	50 Years	9.23%

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 2.97. Further, an Excess 峰度 of 14.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.03%	0	0.00%	0.00%
-13.03% to -7.34%	0	0.00%	0.00%
-7.34% to -1.64%	0	0.00%	0.00%
-1.64% to 4.05%	210	13.77%	13.77%
4.05% to 9.75%	791	51.87%	65.64%
9.75% to 15.44%	290	19.02%	84.66%
15.44% to 21.14%	134	8.79%	93.44%
21.14% to 26.83%	49	3.21%	96.66%
26.83% to 32.53%	22	1.44%	98.10%
Greater than 32.53%	29	1.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.15%	17.34%	88.20%	68.27%
±2σ	-5.44%	24.93%	95.87%	95.45%
±3σ	-13.03%	32.53%	98.10%	99.73%

Descriptive Statistics

均值	9.748%
Standard Error	0.194%
中位数	7.586%
Mode	14.286%
Standard Deviation	7.593%
Sample Variance	57.651%
峰度	14.42
偏度	2.97
Range	74.375%
Minimum	0.625%
Maximum	75.000%
Count	1525

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.748%	1525	100.00%	9.748%
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 4.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.36%	7	0.46%	0.46%
-20.36% to -15.23%	15	0.98%	1.44%
-15.23% to -10.09%	57	3.74%	5.18%
-10.09% to -4.96%	166	10.89%	16.07%
-4.96% to 0.18%	567	37.18%	53.25%
0.18% to 5.32%	478	31.34%	84.59%
5.32% to 10.45%	146	9.57%	94.16%
10.45% to 15.59%	49	3.21%	97.38%
15.59% to 20.73%	23	1.51%	98.89%
Greater than 20.73%	17	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.67%	7.03%	77.97%	68.27%
±2σ	-13.52%	13.88%	94.56%	95.45%
±3σ	-20.36%	20.73%	98.43%	99.73%

Descriptive Statistics

均值	0.181%
Standard Error	0.175%
中位数	-0.071%
Mode	0.000%
Standard Deviation	6.848%
Sample Variance	46.890%
峰度	4.88
偏度	0.54
Range	83.154%
Minimum	-40.952%
Maximum	42.202%
Count	1525

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.074%	738	48.39%	2.455%
负向	-4.529%	766	50.23%	-2.275%
Zero	0.000%	21	1.38%	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 1.50. Further, an Excess 峰度 of 8.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.80%	0	0.00%	0.00%
-41.80% to -31.02%	3	0.86%	0.86%
-31.02% to -20.24%	12	3.43%	4.29%
-20.24% to -9.46%	48	13.71%	18.00%
-9.46% to 1.33%	121	34.57%	52.57%
1.33% to 12.11%	116	33.14%	85.71%
12.11% to 22.89%	31	8.86%	94.57%
22.89% to 33.67%	10	2.86%	97.43%
33.67% to 44.45%	4	1.14%	98.57%
Greater than 44.45%	5	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.05%	15.70%	76.86%	68.27%
±2σ	-27.42%	30.08%	95.43%	95.45%
±3σ	-41.80%	44.45%	98.57%	99.73%

Descriptive Statistics

均值	1.327%
Standard Error	0.768%
中位数	0.488%
Mode	-1.852%
Standard Deviation	14.376%
Sample Variance	206.673%
峰度	8.28
偏度	1.50
Range	142.192%
Minimum	-38.346%
Maximum	103.846%
Count	350

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.296%	179	51.14%	5.777%
负向	-9.215%	169	48.29%	-4.450%
Zero	0.000%	2	0.57%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.38%
12	1 Year	20.16%
36	3 Years	17.69%
60	5 Years	18.22%
120	10 Years	16.76%
240	20 Years	16.90%
600	50 Years	20.48%

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 3.49. Further, an Excess 峰度 of 17.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.70%	0	0.00%	0.00%
-33.70% to -19.37%	0	0.00%	0.00%
-19.37% to -5.05%	0	0.00%	0.00%
-5.05% to 9.28%	33	9.40%	9.40%
9.28% to 23.60%	202	57.55%	66.95%
23.60% to 37.93%	70	19.94%	86.89%
37.93% to 52.26%	29	8.26%	95.16%
52.26% to 66.58%	5	1.42%	96.58%
66.58% to 80.91%	4	1.14%	97.72%
Greater than 80.91%	8	2.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.50%	42.70%	90.03%	68.27%
±2σ	-14.60%	61.81%	96.30%	95.45%
±3σ	-33.70%	80.91%	97.72%	99.73%

Descriptive Statistics

均值	23.604%
Standard Error	1.020%
中位数	18.460%
Mode	50.000%
Standard Deviation	19.101%
Sample Variance	364.833%
峰度	17.94
偏度	3.49
Range	166.410%
Minimum	5.590%
Maximum	172.000%
Count	351

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.604%	351	100.00%	23.604%
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 2.33 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.33%	1	0.28%	0.28%
-40.33% to -30.08%	5	1.42%	1.71%
-30.08% to -19.83%	10	2.85%	4.56%
-19.83% to -9.58%	47	13.39%	17.95%
-9.58% to 0.67%	124	35.33%	53.28%
0.67% to 10.91%	101	28.77%	82.05%
10.91% to 21.16%	44	12.54%	94.59%
21.16% to 31.41%	7	1.99%	96.58%
31.41% to 41.66%	9	2.56%	99.15%
Greater than 41.66%	3	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.00%	14.33%	75.21%	68.27%
±2σ	-26.66%	28.00%	94.02%	95.45%
±3σ	-40.32%	41.66%	98.86%	99.73%

Descriptive Statistics

均值	0.667%
Standard Error	0.729%
中位数	0.000%
Mode	0.000%
Standard Deviation	13.664%
Sample Variance	186.694%
峰度	2.33
偏度	0.50
Range	113.120%
Minimum	-50.943%
Maximum	62.177%
Count	351

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.905%	173	49.29%	5.375%
负向	-9.443%	175	49.86%	-4.708%
Zero	0.000%	3	0.85%	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 0.93. Further, an Excess 峰度 of 2.25 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -70.08%	0	0.00%	0.00%
-70.08% to -51.51%	0	0.00%	0.00%
-51.51% to -32.95%	5	4.31%	4.31%
-32.95% to -14.38%	15	12.93%	17.24%
-14.38% to 4.18%	40	34.48%	51.72%
4.18% to 22.75%	36	31.03%	82.76%
22.75% to 41.31%	13	11.21%	93.97%
41.31% to 59.88%	3	2.59%	96.55%
59.88% to 78.44%	3	2.59%	99.14%
Greater than 78.44%	1	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.57%	28.94%	71.55%	68.27%
±2σ	-45.32%	53.69%	94.83%	95.45%
±3σ	-70.08%	78.44%	99.14%	99.73%

Descriptive Statistics

均值	4.182%
Standard Error	2.298%
中位数	1.832%
Mode	-44.595%
Standard Deviation	24.753%
Sample Variance	612.687%
峰度	2.25
偏度	0.93
Range	152.842%
Minimum	-44.595%
Maximum	108.247%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.859%	61	52.59%	11.495%
负向	-15.424%	55	47.41%	-7.313%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	33.83%
12	3 Years	31.31%
20	5 Years	31.34%
40	10 Years	29.61%
80	20 Years	29.64%
200	50 Years	36.50%

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 2.14. Further, an Excess 峰度 of 4.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.90%	0	0.00%	0.00%
-59.90% to -33.19%	0	0.00%	0.00%
-33.19% to -6.48%	0	0.00%	0.00%
-6.48% to 20.23%	10	8.55%	8.55%
20.23% to 46.94%	72	61.54%	70.09%
46.94% to 73.65%	16	13.68%	83.76%
73.65% to 100.36%	7	5.98%	89.74%
100.36% to 127.07%	5	4.27%	94.02%
127.07% to 153.78%	5	4.27%	98.29%
Greater than 153.78%	2	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.33%	82.56%	86.32%	68.27%
±2σ	-24.28%	118.17%	93.16%	95.45%
±3σ	-59.90%	153.78%	98.29%	99.73%

Descriptive Statistics

均值	46.942%
Standard Error	3.292%
中位数	32.727%
Mode	14.289%
Standard Deviation	35.613%
Sample Variance	1268.313%
峰度	4.93
偏度	2.14
Range	194.802%
Minimum	14.289%
Maximum	209.091%
Count	117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.942%	117	100.00%	46.942%
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 0.83. Further, an Excess 峰度 of 1.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -70.92%	0	0.00%	0.00%
-70.92% to -52.75%	1	0.85%	0.85%
-52.75% to -34.57%	5	4.27%	5.13%
-34.57% to -16.40%	18	15.38%	20.51%
-16.40% to 1.78%	40	34.19%	54.70%
1.78% to 19.95%	32	27.35%	82.05%
19.95% to 38.13%	12	10.26%	92.31%
38.13% to 56.31%	5	4.27%	96.58%
56.31% to 74.48%	2	1.71%	98.29%
Greater than 74.48%	2	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.46%	26.01%	71.79%	68.27%
±2σ	-46.69%	50.25%	94.87%	95.45%
±3σ	-70.92%	74.48%	98.29%	99.73%

Descriptive Statistics

均值	1.779%
Standard Error	2.240%
中位数	-0.891%
Mode	-52.970%
Standard Deviation	24.234%
Sample Variance	587.298%
峰度	1.15
偏度	0.83
Range	136.710%
Minimum	-52.970%
Maximum	83.740%
Count	117

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.810%	57	48.72%	10.138%
负向	-16.301%	60	51.28%	-8.359%
Zero	0.000%	0	0.00%	0.000%

KMX 深度分析报告