LCID 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	5.49%	5.22%	4.57%	7.02%	6.56%	6.64%	5.85	6.67	5.48	7.13
周度	11.80%	12.77%	11.18%	16.67%	14.43%	14.63%	5.41	7.22	4.68	8.34
月度	26.93%	35.58%	23.05%	36.89%	30.04%	30.45%	4.63	8.44	3.43	11.40
季度	41.43%	55.07%	36.57%	59.19%	52.04%	52.73%	3.71	10.52	2.21	17.70
Annual	—	—	—	—	104.07%	105.47%	2.21	17.70	0.78	50.10
Option Time Horizon	—	—	—	—	39.66%	40.19%	4.20	9.29	2.83	13.81

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $6.25 | Strike (K): $7.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.7300 (Bid $0.7100 / Ask $0.7500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 104.07% (CRR binomial tree, American, n=20 steps) | BS IV: 105.15% (European Black-Scholes) | Yahoo IV (Annual): 105.47% → 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 1.19. Further, an Excess 峰度 of 9.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.51%	6	0.43%	0.43%
-16.51% to -12.40%	9	0.64%	1.07%
-12.40% to -8.28%	38	2.70%	3.77%
-8.28% to -4.17%	179	12.74%	16.51%
-4.17% to -0.05%	511	36.37%	52.88%
-0.05% to 4.07%	433	30.82%	83.70%
4.07% to 8.18%	152	10.82%	94.52%
8.18% to 12.30%	50	3.56%	98.08%
12.30% to 16.41%	13	0.93%	99.00%
Greater than 16.41%	14	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.54%	5.44%	79.00%	68.27%
±2σ	-11.02%	10.92%	96.23%	95.45%
±3σ	-16.51%	16.41%	98.58%	99.73%

Descriptive Statistics

均值	-0.050%
Standard Error	0.146%
中位数	-0.308%
Mode	0.000%
Standard Deviation	5.487%
Sample Variance	30.105%
峰度	9.73
偏度	1.19
Range	81.626%
Minimum	-38.626%
Maximum	43.000%
Count	1405

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.094%	628	44.70%	1.830%
负向	-3.545%	745	53.02%	-1.880%
Zero	0.000%	32	2.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	7.91%
20	1 Month	7.62%
60	1 Quarter	6.68%
250	1 Year	6.18%
750	3 Years	6.60%
1,250	5 Years	7.02%
2,500	10 Years	7.07%
5,000	20 Years	7.07%
12,500	50 Years	7.07%

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 6.15. Further, an Excess 峰度 of 82.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.73%	0	0.00%	0.00%
-8.73% to -4.81%	0	0.00%	0.00%
-4.81% to -0.90%	0	0.00%	0.00%
-0.90% to 3.02%	133	9.46%	9.46%
3.02% to 6.94%	739	52.56%	62.02%
6.94% to 10.86%	366	26.03%	88.05%
10.86% to 14.78%	101	7.18%	95.23%
14.78% to 18.70%	36	2.56%	97.80%
18.70% to 22.61%	13	0.92%	98.72%
Greater than 22.61%	18	1.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.72%	12.16%	85.78%	68.27%
±2σ	-3.51%	17.39%	97.30%	95.45%
±3σ	-8.73%	22.61%	98.72%	99.73%

Descriptive Statistics

均值	6.941%
Standard Error	0.139%
中位数	5.936%
Mode	4.369%
Standard Deviation	5.224%
Sample Variance	27.288%
峰度	82.21
偏度	6.15
Range	99.688%
Minimum	0.200%
Maximum	99.888%
Count	1406

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.941%	1406	100.00%	6.941%
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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.55. Further, an Excess 峰度 of 4.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.35%	11	0.78%	0.78%
-13.35% to -9.92%	18	1.28%	2.06%
-9.92% to -6.49%	47	3.34%	5.41%
-6.49% to -3.06%	179	12.73%	18.14%
-3.06% to 0.37%	434	30.87%	49.00%
0.37% to 3.79%	466	33.14%	82.15%
3.79% to 7.22%	162	11.52%	93.67%
7.22% to 10.65%	75	5.33%	99.00%
10.65% to 14.08%	9	0.64%	99.64%
Greater than 14.08%	5	0.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.21%	4.94%	74.54%	68.27%
±2σ	-8.78%	9.51%	95.38%	95.45%
±3σ	-13.35%	14.08%	98.86%	99.73%

Descriptive Statistics

均值	0.366%
Standard Error	0.122%
中位数	0.412%
Mode	0.000%
Standard Deviation	4.572%
Sample Variance	20.902%
峰度	4.20
偏度	-0.55
Range	54.329%
Minimum	-30.148%
Maximum	24.181%
Count	1406

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.357%	768	54.62%	1.834%
负向	-3.422%	603	42.89%	-1.468%
Zero	0.000%	35	2.49%	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 0.67. Further, an Excess 峰度 of 2.28 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.67%	1	0.34%	0.34%
-35.67% to -26.82%	2	0.68%	1.03%
-26.82% to -17.97%	9	3.08%	4.11%
-17.97% to -9.11%	41	14.04%	18.15%
-9.11% to -0.26%	104	35.62%	53.77%
-0.26% to 8.60%	93	31.85%	85.62%
8.60% to 17.45%	17	5.82%	91.44%
17.45% to 26.30%	14	4.79%	96.23%
26.30% to 35.16%	7	2.40%	98.63%
Greater than 35.16%	4	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.06%	11.55%	77.74%	68.27%
±2σ	-23.87%	23.35%	94.18%	95.45%
±3σ	-35.67%	35.16%	98.29%	99.73%

Descriptive Statistics

均值	-0.258%
Standard Error	0.691%
中位数	-0.721%
Mode	-11.111%
Standard Deviation	11.805%
Sample Variance	139.360%
峰度	2.28
偏度	0.67
Range	90.107%
Minimum	-46.610%
Maximum	43.497%
Count	292

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.045%	131	44.86%	4.058%
负向	-7.876%	160	54.80%	-4.316%
Zero	0.000%	1	0.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	19.46%
12	1 Quarter	15.29%
52	1 Year	14.78%
156	3 Years	15.62%
260	5 Years	16.67%
520	10 Years	17.04%
1,040	20 Years	17.04%
2,600	50 Years	17.04%

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 2.70. Further, an Excess 峰度 of 13.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.75%	0	0.00%	0.00%
-19.75% to -10.18%	0	0.00%	0.00%
-10.18% to -0.60%	0	0.00%	0.00%
-0.60% to 8.98%	42	14.33%	14.33%
8.98% to 18.56%	143	48.81%	63.14%
18.56% to 28.14%	65	22.18%	85.32%
28.14% to 37.72%	22	7.51%	92.83%
37.72% to 47.30%	11	3.75%	96.59%
47.30% to 56.88%	4	1.37%	97.95%
Greater than 56.88%	6	2.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.79%	31.33%	82.59%	68.27%
±2σ	-6.98%	44.11%	95.90%	95.45%
±3σ	-19.75%	56.88%	97.95%	99.73%

Descriptive Statistics

均值	18.562%
Standard Error	0.746%
中位数	15.539%
Mode	16.667%
Standard Deviation	12.772%
Sample Variance	163.127%
峰度	13.86
偏度	2.70
Range	115.932%
Minimum	0.999%
Maximum	116.931%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.562%	293	100.00%	18.562%
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 0.14. Further, an Excess 峰度 of 1.21 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.96%	1	0.34%	0.34%
-31.96% to -23.57%	7	2.39%	2.73%
-23.57% to -15.18%	13	4.44%	7.17%
-15.18% to -6.80%	30	10.24%	17.41%
-6.80% to 1.59%	106	36.18%	53.58%
1.59% to 9.98%	78	26.62%	80.20%
9.98% to 18.36%	39	13.31%	93.52%
18.36% to 26.75%	14	4.78%	98.29%
26.75% to 35.13%	3	1.02%	99.32%
Greater than 35.13%	2	0.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.59%	12.77%	72.70%	68.27%
±2σ	-20.78%	23.95%	94.54%	95.45%
±3σ	-31.96%	35.13%	98.98%	99.73%

Descriptive Statistics

均值	1.589%
Standard Error	0.653%
中位数	0.935%
Mode	0.000%
Standard Deviation	11.182%
Sample Variance	125.042%
峰度	1.21
偏度	0.14
Range	76.700%
Minimum	-33.293%
Maximum	43.407%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.081%	159	54.27%	4.928%
负向	-7.526%	130	44.37%	-3.339%
Zero	0.000%	4	1.36%	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 2.20. Further, an Excess 峰度 of 7.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -81.94%	0	0.00%	0.00%
-81.94% to -61.74%	0	0.00%	0.00%
-61.74% to -41.54%	0	0.00%	0.00%
-41.54% to -21.34%	13	19.40%	19.40%
-21.34% to -1.14%	30	44.78%	64.18%
-1.14% to 19.06%	14	20.90%	85.07%
19.06% to 39.25%	5	7.46%	92.54%
39.25% to 59.45%	3	4.48%	97.01%
59.45% to 79.65%	1	1.49%	98.51%
Greater than 79.65%	1	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.07%	25.79%	77.61%	68.27%
±2σ	-55.00%	52.72%	97.01%	95.45%
±3σ	-81.94%	79.65%	98.51%	99.73%

Descriptive Statistics

均值	-1.142%
Standard Error	3.290%
中位数	-8.099%
Mode	-37.394%
Standard Deviation	26.931%
Sample Variance	725.277%
峰度	7.56
偏度	2.20
Range	165.965%
Minimum	-37.394%
Maximum	128.571%
Count	67

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.505%	23	34.33%	8.755%
负向	-15.071%	44	65.67%	-9.897%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.41%
12	1 Year	31.96%
36	3 Years	32.39%
60	5 Years	36.89%
120	10 Years	39.44%
240	20 Years	39.44%
600	50 Years	39.44%

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 2.52. Further, an Excess 峰度 of 7.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -59.62%	0	0.00%	0.00%
-59.62% to -32.93%	0	0.00%	0.00%
-32.93% to -6.25%	0	0.00%	0.00%
-6.25% to 20.44%	6	8.82%	8.82%
20.44% to 47.13%	38	55.88%	64.71%
47.13% to 73.81%	17	25.00%	89.71%
73.81% to 100.50%	4	5.88%	95.59%
100.50% to 127.18%	0	0.00%	95.59%
127.18% to 153.87%	0	0.00%	95.59%
Greater than 153.87%	3	4.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.54%	82.71%	85.29%	68.27%
±2σ	-24.04%	118.29%	95.59%	95.45%
±3σ	-59.62%	153.87%	95.59%	99.73%

Descriptive Statistics

均值	47.126%
Standard Error	4.315%
中位数	36.252%
Mode	2.604%
Standard Deviation	35.581%
Sample Variance	1265.992%
峰度	7.97
偏度	2.52
Range	189.843%
Minimum	2.604%
Maximum	192.447%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	47.126%	68	100.00%	47.126%
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 -0.13. Further, an Excess 峰度 of 0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.58%	0	0.00%	0.00%
-62.58% to -45.30%	1	1.47%	1.47%
-45.30% to -28.02%	4	5.88%	7.35%
-28.02% to -10.73%	8	11.76%	19.12%
-10.73% to 6.55%	20	29.41%	48.53%
6.55% to 23.84%	22	32.35%	80.88%
23.84% to 41.12%	8	11.76%	92.65%
41.12% to 58.40%	4	5.88%	98.53%
58.40% to 75.69%	1	1.47%	100.00%
Greater than 75.69%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.49%	29.60%	69.12%	68.27%
±2σ	-39.54%	52.64%	94.12%	95.45%
±3σ	-62.58%	75.69%	100.00%	99.73%

Descriptive Statistics

均值	6.552%
Standard Error	2.795%
中位数	6.888%
Mode	-56.163%
Standard Deviation	23.045%
Sample Variance	531.060%
峰度	0.21
偏度	-0.13
Range	115.439%
Minimum	-56.163%
Maximum	59.276%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.230%	42	61.77%	12.495%
负向	-15.544%	26	38.23%	-5.943%
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 2.21. Further, an Excess 峰度 of 6.12 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -129.68%	0	0.00%	0.00%
-129.68% to -98.61%	0	0.00%	0.00%
-98.61% to -67.54%	0	0.00%	0.00%
-67.54% to -36.47%	5	22.73%	22.73%
-36.47% to -5.40%	9	40.91%	63.64%
-5.40% to 25.67%	5	22.73%	86.36%
25.67% to 56.74%	2	9.09%	95.45%
56.74% to 87.81%	0	0.00%	95.45%
87.81% to 118.89%	0	0.00%	95.45%
Greater than 118.89%	1	4.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-46.83%	36.03%	86.36%	68.27%
±2σ	-88.25%	77.46%	95.45%	95.45%
±3σ	-129.68%	118.88%	95.45%	99.73%

Descriptive Statistics

均值	-5.399%
Standard Error	8.833%
中位数	-18.078%
Mode	-45.861%
Standard Deviation	41.428%
Sample Variance	1716.302%
峰度	6.12
偏度	2.21
Range	183.452%
Minimum	-45.861%
Maximum	137.591%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	44.978%	6	27.27%	12.267%
负向	-24.290%	16	72.73%	-17.665%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	48.27%
12	3 Years	55.36%
20	5 Years	59.19%
40	10 Years	71.24%
80	20 Years	71.24%
200	50 Years	71.24%

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 1.57. Further, an Excess 峰度 of 3.20 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.42%	0	0.00%	0.00%
-65.42% to -24.11%	0	0.00%	0.00%
-24.11% to 17.20%	1	4.35%	4.35%
17.20% to 58.50%	1	4.35%	8.70%
58.50% to 99.81%	14	60.87%	69.57%
99.81% to 141.11%	3	13.04%	82.61%
141.11% to 182.42%	1	4.35%	86.96%
182.42% to 223.72%	2	8.70%	95.65%
223.72% to 265.03%	0	0.00%	95.65%
Greater than 265.03%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	44.73%	154.88%	78.26%	68.27%
±2σ	-10.34%	209.95%	95.65%	95.45%
±3σ	-65.42%	265.03%	95.65%	99.73%

Descriptive Statistics

均值	99.806%
Standard Error	11.484%
中位数	84.927%
Mode	6.771%
Standard Deviation	55.074%
Sample Variance	3033.163%
峰度	3.20
偏度	1.57
Range	261.333%
Minimum	6.771%
Maximum	268.104%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	99.806%	23	100.00%	99.806%
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 -0.42 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -89.90%	0	0.00%	0.00%
-89.90% to -62.48%	0	0.00%	0.00%
-62.48% to -35.05%	1	4.35%	4.35%
-35.05% to -7.62%	4	17.39%	21.74%
-7.62% to 19.80%	6	26.09%	47.83%
19.80% to 47.23%	7	30.43%	78.26%
47.23% to 74.66%	3	13.04%	91.30%
74.66% to 102.08%	2	8.70%	100.00%
102.08% to 129.51%	0	0.00%	100.00%
Greater than 129.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.76%	56.37%	60.87%	68.27%
±2σ	-53.33%	92.94%	95.65%	95.45%
±3σ	-89.90%	129.51%	100.00%	99.73%

Descriptive Statistics

均值	19.805%
Standard Error	7.625%
中位数	22.189%
Mode	-57.911%
Standard Deviation	36.569%
Sample Variance	1337.281%
峰度	-0.42
偏度	-0.16
Range	139.100%
Minimum	-57.911%
Maximum	81.189%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.711%	17	73.91%	26.395%
负向	-25.260%	6	26.09%	-6.590%
Zero	0.000%	0	0.00%	0.000%

LCID 深度分析报告