LC 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	3.99%	3.05%	3.21%	5.16%	4.04%	4.12%	16.78	18.19	16.11	18.94
周度	9.12%	8.82%	8.99%	12.54%	8.90%	9.08%	15.98	19.10	14.62	20.87
月度	18.22%	18.76%	17.78%	27.84%	18.53%	18.90%	14.52	21.03	12.06	25.30
季度	38.53%	39.79%	38.21%	52.33%	32.09%	32.74%	12.67	24.08	9.20	33.19
Annual	—	—	—	—	64.17%	65.48%	9.20	33.19	4.84	63.05
Option Time Horizon	—	—	—	—	24.45%	24.95%	13.68	22.31	10.71	28.49

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $17.47 | Strike (K): $18.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.5250 (Bid $1.4000 / Ask $1.6500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 64.17% (CRR binomial tree, American, n=20 steps) | BS IV: 64.63% (European Black-Scholes) | Yahoo IV (Annual): 65.48% → 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 0.85. Further, an Excess 峰度 of 14.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.97%	10	0.35%	0.35%
-11.97% to -8.97%	26	0.91%	1.26%
-8.97% to -5.98%	94	3.29%	4.55%
-5.98% to -2.98%	336	11.76%	16.31%
-2.98% to 0.01%	1054	36.89%	53.20%
0.01% to 3.01%	860	30.10%	83.30%
3.01% to 6.00%	343	12.01%	95.31%
6.00% to 9.00%	76	2.66%	97.97%
9.00% to 11.99%	32	1.12%	99.09%
Greater than 11.99%	26	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.98%	4.01%	79.00%	68.27%
±2σ	-7.98%	8.00%	95.55%	95.45%
±3σ	-11.97%	11.99%	98.74%	99.73%

Descriptive Statistics

均值	0.012%
Standard Error	0.075%
中位数	-0.129%
Mode	0.000%
Standard Deviation	3.994%
Sample Variance	15.950%
峰度	14.39
偏度	0.85
Range	82.745%
Minimum	-34.930%
Maximum	47.815%
Count	2857

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.923%	1337	46.80%	1.368%
负向	-2.654%	1459	51.07%	-1.355%
Zero	0.000%	61	2.13%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.00%
20	1 Month	4.19%
60	1 Quarter	5.28%
250	1 Year	4.49%
750	3 Years	4.56%
1,250	5 Years	5.16%
2,500	10 Years	5.24%
5,000	20 Years	5.24%
12,500	50 Years	5.24%

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 3.57. Further, an Excess 峰度 of 32.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.08%	0	0.00%	0.00%
-4.08% to -1.80%	0	0.00%	0.00%
-1.80% to 0.49%	0	0.00%	0.00%
0.49% to 2.77%	462	16.17%	16.17%
2.77% to 5.06%	1356	47.45%	63.61%
5.06% to 7.34%	606	21.20%	84.81%
7.34% to 9.62%	239	8.36%	93.18%
9.62% to 11.91%	96	3.36%	96.54%
11.91% to 14.19%	52	1.82%	98.36%
Greater than 14.19%	47	1.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.01%	8.10%	84.95%	68.27%
±2σ	-1.04%	11.15%	95.87%	95.45%
±3σ	-4.08%	14.19%	98.36%	99.73%

Descriptive Statistics

均值	5.056%
Standard Error	0.057%
中位数	4.306%
Mode	5.000%
Standard Deviation	3.046%
Sample Variance	9.278%
峰度	32.51
偏度	3.57
Range	53.661%
Minimum	1.080%
Maximum	54.741%
Count	2858

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.056%	2858	100.00%	5.056%
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 0.04. Further, an Excess 峰度 of 2.82 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.49%	18	0.63%	0.63%
-9.49% to -7.08%	33	1.15%	1.78%
-7.08% to -4.67%	91	3.18%	4.97%
-4.67% to -2.25%	380	13.30%	18.26%
-2.25% to 0.16%	928	32.47%	50.73%
0.16% to 2.57%	887	31.04%	81.77%
2.57% to 4.98%	339	11.86%	93.63%
4.98% to 7.39%	127	4.44%	98.08%
7.39% to 9.80%	35	1.22%	99.30%
Greater than 9.80%	20	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.06%	3.37%	74.39%	68.27%
±2σ	-6.27%	6.59%	94.37%	95.45%
±3σ	-9.49%	9.80%	98.67%	99.73%

Descriptive Statistics

均值	0.156%
Standard Error	0.060%
中位数	0.109%
Mode	0.000%
Standard Deviation	3.215%
Sample Variance	10.339%
峰度	2.82
偏度	0.04
Range	38.316%
Minimum	-20.265%
Maximum	18.051%
Count	2858

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.472%	1445	50.56%	1.250%
负向	-2.323%	1345	47.06%	-1.093%
Zero	0.000%	68	2.38%	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 0.85. Further, an Excess 峰度 of 6.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.28%	3	0.51%	0.51%
-27.28% to -20.44%	3	0.51%	1.01%
-20.44% to -13.60%	23	3.88%	4.89%
-13.60% to -6.76%	81	13.66%	18.55%
-6.76% to 0.07%	193	32.55%	51.10%
0.07% to 6.91%	186	31.37%	82.46%
6.91% to 13.75%	74	12.48%	94.94%
13.75% to 20.59%	16	2.70%	97.64%
20.59% to 27.43%	9	1.52%	99.16%
Greater than 27.43%	5	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.04%	9.19%	76.56%	68.27%
±2σ	-18.16%	18.31%	95.45%	95.45%
±3σ	-27.28%	27.43%	98.65%	99.73%

Descriptive Statistics

均值	0.074%
Standard Error	0.374%
中位数	-0.070%
Mode	0.000%
Standard Deviation	9.117%
Sample Variance	83.122%
峰度	6.02
偏度	0.85
Range	99.118%
Minimum	-41.740%
Maximum	57.378%
Count	593

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.684%	290	48.90%	3.269%
负向	-6.356%	298	50.25%	-3.194%
Zero	0.000%	5	0.84%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.58%
12	1 Quarter	11.64%
52	1 Year	10.90%
156	3 Years	11.16%
260	5 Years	12.54%
520	10 Years	12.48%
1,040	20 Years	12.43%
2,600	50 Years	12.43%

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 2.55. Further, an Excess 峰度 of 9.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.06%	0	0.00%	0.00%
-13.06% to -6.44%	0	0.00%	0.00%
-6.44% to 0.18%	0	0.00%	0.00%
0.18% to 6.79%	96	16.16%	16.16%
6.79% to 13.41%	291	48.99%	65.15%
13.41% to 20.03%	116	19.53%	84.68%
20.03% to 26.65%	47	7.91%	92.59%
26.65% to 33.27%	26	4.38%	96.97%
33.27% to 39.88%	8	1.35%	98.32%
Greater than 39.88%	10	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.59%	22.24%	86.20%	68.27%
±2σ	-4.24%	31.06%	95.62%	95.45%
±3σ	-13.06%	39.88%	98.32%	99.73%

Descriptive Statistics

均值	13.412%
Standard Error	0.362%
中位数	10.924%
Mode	6.213%
Standard Deviation	8.824%
Sample Variance	77.859%
峰度	9.96
偏度	2.55
Range	67.849%
Minimum	2.908%
Maximum	70.757%
Count	594

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.412%	594	100.00%	13.412%
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 0.69. Further, an Excess 峰度 of 4.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.15%	3	0.51%	0.51%
-26.15% to -19.41%	4	0.67%	1.18%
-19.41% to -12.67%	19	3.20%	4.38%
-12.67% to -5.93%	81	13.64%	18.01%
-5.93% to 0.82%	213	35.86%	53.87%
0.82% to 7.56%	168	28.28%	82.15%
7.56% to 14.30%	66	11.11%	93.27%
14.30% to 21.04%	27	4.55%	97.81%
21.04% to 27.78%	8	1.35%	99.16%
Greater than 27.78%	5	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.17%	9.81%	75.08%	68.27%
±2σ	-17.16%	18.79%	94.95%	95.45%
±3σ	-26.15%	27.78%	98.65%	99.73%

Descriptive Statistics

均值	0.816%
Standard Error	0.369%
中位数	0.241%
Mode	0.000%
Standard Deviation	8.989%
Sample Variance	80.797%
峰度	4.75
偏度	0.69
Range	97.129%
Minimum	-37.389%
Maximum	59.740%
Count	594

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.136%	300	50.51%	3.604%
负向	-5.750%	288	48.48%	-2.788%
Zero	0.000%	6	1.01%	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 0.99. Further, an Excess 峰度 of 2.06 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.57%	0	0.00%	0.00%
-54.57% to -40.90%	0	0.00%	0.00%
-40.90% to -27.23%	5	3.68%	3.68%
-27.23% to -13.57%	23	16.91%	20.59%
-13.57% to 0.10%	52	38.24%	58.82%
0.10% to 13.77%	26	19.12%	77.94%
13.77% to 27.43%	22	16.18%	94.12%
27.43% to 41.10%	4	2.94%	97.06%
41.10% to 54.77%	2	1.47%	98.53%
Greater than 54.77%	2	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.12%	18.32%	73.53%	68.27%
±2σ	-36.35%	36.54%	95.59%	95.45%
±3σ	-54.57%	54.77%	98.53%	99.73%

Descriptive Statistics

均值	0.099%
Standard Error	1.562%
中位数	-3.047%
Mode	-39.747%
Standard Deviation	18.222%
Sample Variance	332.025%
峰度	2.06
偏度	0.99
Range	110.625%
Minimum	-39.747%
Maximum	70.878%
Count	136

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.813%	56	41.18%	6.923%
负向	-11.601%	80	58.82%	-6.824%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	23.03%
12	1 Year	25.11%
36	3 Years	25.99%
60	5 Years	27.84%
120	10 Years	27.52%
240	20 Years	27.15%
600	50 Years	27.15%

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 2.88. Further, an Excess 峰度 of 12.73 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.34%	0	0.00%	0.00%
-24.34% to -10.27%	0	0.00%	0.00%
-10.27% to 3.80%	0	0.00%	0.00%
3.80% to 17.87%	20	14.60%	14.60%
17.87% to 31.94%	57	41.61%	56.20%
31.94% to 46.01%	41	29.93%	86.13%
46.01% to 60.08%	11	8.03%	94.16%
60.08% to 74.15%	5	3.65%	97.81%
74.15% to 88.22%	1	0.73%	98.54%
Greater than 88.22%	2	1.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.18%	50.70%	85.40%	68.27%
±2σ	-5.58%	69.46%	95.62%	95.45%
±3σ	-24.34%	88.22%	98.54%	99.73%

Descriptive Statistics

均值	31.941%
Standard Error	1.603%
中位数	28.662%
Mode	7.319%
Standard Deviation	18.761%
Sample Variance	351.985%
峰度	12.73
偏度	2.88
Range	131.418%
Minimum	7.319%
Maximum	138.737%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.941%	137	100.00%	31.941%
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 Fairly Symmetrical with a 偏度 factor of 0.44. Further, an Excess 峰度 of 0.83 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -50.28%	0	0.00%	0.00%
-50.28% to -36.95%	2	1.46%	1.46%
-36.95% to -23.61%	4	2.92%	4.38%
-23.61% to -10.28%	25	18.25%	22.63%
-10.28% to 3.06%	40	29.20%	51.82%
3.06% to 16.39%	39	28.47%	80.29%
16.39% to 29.72%	14	10.22%	90.51%
29.72% to 43.05%	10	7.30%	97.81%
43.05% to 56.39%	2	1.46%	99.27%
Greater than 56.39%	1	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.72%	20.83%	72.26%	68.27%
±2σ	-32.50%	38.61%	94.16%	95.45%
±3σ	-50.28%	56.39%	99.27%	99.73%

Descriptive Statistics

均值	3.055%
Standard Error	1.519%
中位数	2.368%
Mode	-40.727%
Standard Deviation	17.778%
Sample Variance	316.072%
峰度	0.83
偏度	0.44
Range	107.744%
Minimum	-40.727%
Maximum	67.017%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.178%	76	55.47%	8.420%
负向	-12.251%	60	43.80%	-5.365%
Zero	0.000%	1	0.73%	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 1.34. Further, an Excess 峰度 of 2.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -113.16%	0	0.00%	0.00%
-113.16% to -84.26%	0	0.00%	0.00%
-84.26% to -55.36%	1	2.22%	2.22%
-55.36% to -26.46%	8	17.78%	20.00%
-26.46% to 2.44%	20	44.44%	64.44%
2.44% to 31.34%	8	17.78%	82.22%
31.34% to 60.24%	4	8.89%	91.11%
60.24% to 89.14%	3	6.67%	97.78%
89.14% to 118.04%	0	0.00%	97.78%
Greater than 118.04%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-36.09%	40.97%	73.33%	68.27%
±2σ	-74.63%	79.51%	95.56%	95.45%
±3σ	-113.16%	118.04%	97.78%	99.73%

Descriptive Statistics

均值	2.440%
Standard Error	5.744%
中位数	-7.032%
Mode	-59.182%
Standard Deviation	38.534%
Sample Variance	1484.839%
峰度	2.08
偏度	1.34
Range	191.516%
Minimum	-59.182%
Maximum	132.334%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.885%	16	35.56%	14.893%
负向	-19.323%	29	64.44%	-12.453%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	45.08%
12	3 Years	50.27%
20	5 Years	52.33%
40	10 Years	51.27%
80	20 Years	50.27%
200	50 Years	50.27%

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 1.80. Further, an Excess 峰度 of 3.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.19%	0	0.00%	0.00%
-52.19% to -22.34%	0	0.00%	0.00%
-22.34% to 7.50%	0	0.00%	0.00%
7.50% to 37.35%	8	17.39%	17.39%
37.35% to 67.19%	22	47.83%	65.22%
67.19% to 97.03%	7	15.22%	80.43%
97.03% to 126.88%	5	10.87%	91.30%
126.88% to 156.72%	2	4.35%	95.65%
156.72% to 186.57%	1	2.17%	97.83%
Greater than 186.57%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.40%	106.98%	80.43%	68.27%
±2σ	-12.39%	146.78%	95.65%	95.45%
±3σ	-52.19%	186.57%	97.83%	99.73%

Descriptive Statistics

均值	67.191%
Standard Error	5.867%
中位数	53.938%
Mode	22.460%
Standard Deviation	39.792%
Sample Variance	1583.425%
峰度	3.83
偏度	1.80
Range	195.614%
Minimum	22.460%
Maximum	218.074%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	67.191%	46	100.00%	67.191%
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 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 -103.83%	0	0.00%	0.00%
-103.83% to -75.18%	0	0.00%	0.00%
-75.18% to -46.52%	1	2.17%	2.17%
-46.52% to -17.86%	8	17.39%	19.57%
-17.86% to 10.80%	17	36.96%	56.52%
10.80% to 39.45%	13	28.26%	84.78%
39.45% to 68.11%	4	8.70%	93.48%
68.11% to 96.77%	2	4.35%	97.83%
96.77% to 125.43%	0	0.00%	97.83%
Greater than 125.43%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.41%	49.01%	69.57%	68.27%
±2σ	-65.62%	87.22%	95.65%	95.45%
±3σ	-103.83%	125.43%	97.83%	99.73%

Descriptive Statistics

均值	10.797%
Standard Error	5.634%
中位数	7.909%
Mode	-56.406%
Standard Deviation	38.210%
Sample Variance	1459.970%
峰度	3.09
偏度	1.15
Range	207.899%
Minimum	-56.406%
Maximum	151.493%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.968%	30	65.22%	19.544%
负向	-25.150%	16	34.78%	-8.748%
Zero	0.000%	0	0.00%	0.000%

LC 深度分析报告