LITE 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	3.50%	2.73%	2.88%	4.60%	6.58%	6.56%	825.52	941.57	772.98	1005.58
周度	7.68%	7.33%	7.37%	11.14%	14.48%	14.44%	762.81	1018.98	659.99	1177.73
月度	16.34%	13.20%	14.89%	25.04%	30.14%	30.06%	652.23	1191.73	482.52	1610.89
季度	33.73%	28.59%	26.47%	54.55%	52.20%	52.06%	523.10	1485.92	310.37	2504.37
Annual	—	—	—	—	104.40%	104.12%	310.37	2504.37	109.26	7113.87
Option Time Horizon	—	—	—	—	39.78%	39.68%	592.27	1312.40	397.87	1953.62

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $881.64 | Strike (K): $890.00 (first OTM call ≥ spot) | Observed Mid-价格: $136.4500 (Bid $130.9000 / Ask $142.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 104.40% (CRR binomial tree, American, n=20 steps) | BS IV: 103.61% (European Black-Scholes) | Yahoo IV (Annual): 104.12% → 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 -0.17. Further, an Excess 峰度 of 8.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.28%	21	0.78%	0.78%
-10.28% to -7.66%	26	0.96%	1.74%
-7.66% to -5.03%	74	2.74%	4.48%
-5.03% to -2.41%	301	11.14%	15.62%
-2.41% to 0.21%	962	35.60%	51.22%
0.21% to 2.83%	884	32.72%	83.94%
2.83% to 5.45%	294	10.88%	94.82%
5.45% to 8.07%	86	3.18%	98.00%
8.07% to 10.69%	35	1.30%	99.30%
Greater than 10.69%	19	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.29%	3.70%	79.57%	68.27%
±2σ	-6.78%	7.20%	94.56%	95.45%
±3σ	-10.28%	10.69%	98.52%	99.73%

Descriptive Statistics

均值	0.208%
Standard Error	0.067%
中位数	0.133%
Mode	0.000%
Standard Deviation	3.495%
Sample Variance	12.213%
峰度	8.63
偏度	-0.17
Range	56.543%
Minimum	-32.976%
Maximum	23.567%
Count	2702

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.502%	1406	52.04%	1.302%
负向	-2.321%	1274	47.15%	-1.094%
Zero	0.000%	22	0.81%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	7.16%
20	1 Month	8.46%
60	1 Quarter	9.87%
250	1 Year	7.10%
750	3 Years	5.49%
1,250	5 Years	4.60%
2,500	10 Years	4.51%
5,000	20 Years	4.52%
12,500	50 Years	4.52%

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 3.30. Further, an Excess 峰度 of 20.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.90%	0	0.00%	0.00%
-3.90% to -1.86%	0	0.00%	0.00%
-1.86% to 0.19%	0	0.00%	0.00%
0.19% to 2.24%	381	14.10%	14.10%
2.24% to 4.29%	1354	50.09%	64.19%
4.29% to 6.33%	572	21.16%	85.35%
6.33% to 8.38%	220	8.14%	93.49%
8.38% to 10.43%	93	3.44%	96.93%
10.43% to 12.48%	37	1.37%	98.30%
Greater than 12.48%	46	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.56%	7.02%	86.57%	68.27%
±2σ	-1.17%	9.75%	95.97%	95.45%
±3σ	-3.90%	12.48%	98.30%	99.73%

Descriptive Statistics

均值	4.286%
Standard Error	0.053%
中位数	3.575%
Mode	2.276%
Standard Deviation	2.730%
Sample Variance	7.450%
峰度	20.27
偏度	3.30
Range	33.552%
Minimum	0.855%
Maximum	34.407%
Count	2703

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.286%	2703	100.00%	4.286%
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 5.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.59%	17	0.63%	0.63%
-8.59% to -6.43%	20	0.74%	1.37%
-6.43% to -4.28%	84	3.11%	4.48%
-4.28% to -2.12%	362	13.39%	17.87%
-2.12% to 0.04%	911	33.70%	51.57%
0.04% to 2.19%	860	31.82%	83.39%
2.19% to 4.35%	301	11.14%	94.52%
4.35% to 6.50%	84	3.11%	97.63%
6.50% to 8.66%	38	1.41%	99.04%
Greater than 8.66%	26	0.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.84%	2.91%	77.54%	68.27%
±2σ	-5.71%	5.79%	94.82%	95.45%
±3σ	-8.59%	8.66%	98.41%	99.73%

Descriptive Statistics

均值	0.035%
Standard Error	0.055%
中位数	-0.039%
Mode	0.000%
Standard Deviation	2.875%
Sample Variance	8.266%
峰度	5.25
偏度	0.57
Range	37.319%
Minimum	-17.271%
Maximum	20.048%
Count	2703

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.114%	1319	48.80%	1.032%
负向	-1.974%	1364	50.46%	-0.996%
Zero	0.000%	20	0.74%	0.000%

收盘-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 2.82 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.09%	1	0.18%	0.18%
-22.09% to -16.33%	8	1.43%	1.60%
-16.33% to -10.57%	19	3.39%	4.99%
-10.57% to -4.80%	80	14.26%	19.25%
-4.80% to 0.96%	176	31.37%	50.62%
0.96% to 6.72%	174	31.02%	81.64%
6.72% to 12.48%	70	12.48%	94.12%
12.48% to 18.25%	21	3.74%	97.86%
18.25% to 24.01%	6	1.07%	98.93%
Greater than 24.01%	6	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.72%	8.64%	75.22%	68.27%
±2σ	-14.41%	16.32%	95.01%	95.45%
±3σ	-22.09%	24.01%	98.75%	99.73%

Descriptive Statistics

均值	0.958%
Standard Error	0.324%
中位数	0.852%
Mode	0.000%
Standard Deviation	7.683%
Sample Variance	59.022%
峰度	2.82
偏度	0.50
Range	66.043%
Minimum	-29.736%
Maximum	36.307%
Count	561

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.111%	305	54.37%	3.322%
负向	-5.243%	253	45.10%	-2.364%
Zero	0.000%	3	0.54%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	19.08%
12	1 Quarter	23.61%
52	1 Year	17.47%
156	3 Years	13.55%
260	5 Years	11.14%
520	10 Years	10.74%
1,040	20 Years	10.73%
2,600	50 Years	10.73%

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 2.53. Further, an Excess 峰度 of 9.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.70%	0	0.00%	0.00%
-10.70% to -5.20%	0	0.00%	0.00%
-5.20% to 0.30%	0	0.00%	0.00%
0.30% to 5.80%	87	15.48%	15.48%
5.80% to 11.30%	262	46.62%	62.10%
11.30% to 16.80%	134	23.84%	85.94%
16.80% to 22.31%	42	7.47%	93.42%
22.31% to 27.81%	17	3.02%	96.44%
27.81% to 33.31%	6	1.07%	97.51%
Greater than 33.31%	14	2.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.97%	18.64%	86.30%	68.27%
±2σ	-3.37%	25.97%	95.55%	95.45%
±3σ	-10.70%	33.31%	97.51%	99.73%

Descriptive Statistics

均值	11.304%
Standard Error	0.309%
中位数	9.591%
Mode	4.811%
Standard Deviation	7.335%
Sample Variance	53.805%
峰度	9.15
偏度	2.53
Range	56.542%
Minimum	2.620%
Maximum	59.162%
Count	562

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.304%	562	100.00%	11.304%
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 0.58. Further, an Excess 峰度 of 3.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.48%	2	0.36%	0.36%
-22.48% to -16.95%	8	1.42%	1.78%
-16.95% to -11.43%	15	2.67%	4.45%
-11.43% to -5.90%	83	14.77%	19.22%
-5.90% to -0.38%	189	33.63%	52.85%
-0.38% to 5.15%	157	27.94%	80.78%
5.15% to 10.68%	81	14.41%	95.20%
10.68% to 16.20%	15	2.67%	97.86%
16.20% to 21.73%	5	0.89%	98.75%
Greater than 21.73%	7	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.75%	6.99%	74.73%	68.27%
±2σ	-15.11%	14.36%	95.20%	95.45%
±3σ	-22.48%	21.73%	98.40%	99.73%

Descriptive Statistics

均值	-0.377%
Standard Error	0.311%
中位数	-0.917%
Mode	-9.664%
Standard Deviation	7.368%
Sample Variance	54.291%
峰度	3.50
偏度	0.58
Range	70.486%
Minimum	-27.739%
Maximum	42.747%
Count	562

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.650%	253	45.02%	2.544%
负向	-5.313%	309	54.98%	-2.921%
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 1.12. Further, an Excess 峰度 of 3.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.84%	0	0.00%	0.00%
-44.84% to -32.58%	1	0.78%	0.78%
-32.58% to -20.33%	2	1.55%	2.33%
-20.33% to -8.07%	23	17.83%	20.16%
-8.07% to 4.18%	46	35.66%	55.81%
4.18% to 16.43%	32	24.81%	80.62%
16.43% to 28.69%	16	12.40%	93.02%
28.69% to 40.94%	7	5.43%	98.45%
40.94% to 53.20%	0	0.00%	98.45%
Greater than 53.20%	2	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.16%	20.52%	73.64%	68.27%
±2σ	-28.50%	36.86%	96.90%	95.45%
±3σ	-44.84%	53.20%	98.45%	99.73%

Descriptive Statistics

均值	4.180%
Standard Error	1.439%
中位数	1.322%
Mode	-5.294%
Standard Deviation	16.339%
Sample Variance	266.974%
峰度	3.30
偏度	1.12
Range	113.571%
Minimum	-34.694%
Maximum	78.877%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.964%	71	55.04%	8.236%
负向	-9.179%	57	44.19%	-4.056%
Zero	0.000%	1	0.78%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	54.04%
12	1 Year	42.42%
36	3 Years	31.02%
60	5 Years	25.04%
120	10 Years	23.98%
240	20 Years	23.95%
600	50 Years	23.95%

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 1.65. 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 -12.59%	0	0.00%	0.00%
-12.59% to -2.69%	0	0.00%	0.00%
-2.69% to 7.22%	0	0.00%	0.00%
7.22% to 17.12%	27	20.77%	20.77%
17.12% to 27.02%	52	40.00%	60.77%
27.02% to 36.92%	29	22.31%	83.08%
36.92% to 46.83%	11	8.46%	91.54%
46.83% to 56.73%	7	5.38%	96.92%
56.73% to 66.63%	2	1.54%	98.46%
Greater than 66.63%	2	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.82%	40.22%	77.69%	68.27%
±2σ	0.62%	53.43%	95.38%	95.45%
±3σ	-12.59%	66.63%	98.46%	99.73%

Descriptive Statistics

均值	27.022%
Standard Error	1.158%
中位数	24.276%
Mode	7.298%
Standard Deviation	13.203%
Sample Variance	174.321%
峰度	4.20
偏度	1.65
Range	81.596%
Minimum	7.298%
Maximum	88.894%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.022%	130	100.00%	27.022%
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 0.39. Further, an Excess 峰度 of 1.22 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.94%	0	0.00%	0.00%
-45.94% to -34.77%	2	1.54%	1.54%
-34.77% to -23.60%	5	3.85%	5.38%
-23.60% to -12.43%	25	19.23%	24.62%
-12.43% to -1.26%	31	23.85%	48.46%
-1.26% to 9.90%	41	31.54%	80.00%
9.90% to 21.07%	19	14.62%	94.62%
21.07% to 32.24%	4	3.08%	97.69%
32.24% to 43.41%	2	1.54%	99.23%
Greater than 43.41%	1	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.16%	13.63%	73.85%	68.27%
±2σ	-31.05%	28.52%	96.15%	95.45%
±3σ	-45.94%	43.41%	99.23%	99.73%

Descriptive Statistics

均值	-1.264%
Standard Error	1.306%
中位数	-0.825%
Mode	-42.148%
Standard Deviation	14.892%
Sample Variance	221.758%
峰度	1.22
偏度	0.39
Range	97.695%
Minimum	-42.148%
Maximum	55.547%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.086%	61	46.92%	5.202%
负向	-12.182%	69	53.08%	-6.466%
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 1.44. Further, an Excess 峰度 of 2.51 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.77%	0	0.00%	0.00%
-87.77% to -62.47%	0	0.00%	0.00%
-62.47% to -37.17%	0	0.00%	0.00%
-37.17% to -11.87%	9	20.93%	20.93%
-11.87% to 13.43%	17	39.53%	60.47%
13.43% to 38.73%	11	25.58%	86.05%
38.73% to 64.03%	2	4.65%	90.70%
64.03% to 89.33%	2	4.65%	95.35%
89.33% to 114.64%	1	2.33%	97.67%
Greater than 114.64%	1	2.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.30%	47.17%	79.07%	68.27%
±2σ	-54.04%	80.90%	90.70%	95.45%
±3σ	-87.77%	114.64%	97.67%	99.73%

Descriptive Statistics

均值	13.431%
Standard Error	5.145%
中位数	10.648%
Mode	-30.590%
Standard Deviation	33.735%
Sample Variance	1138.081%
峰度	2.51
偏度	1.44
Range	155.590%
Minimum	-30.590%
Maximum	125.000%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.515%	28	65.12%	19.219%
负向	-16.594%	15	34.88%	-5.789%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	116.07%
12	3 Years	72.60%
20	5 Years	54.55%
40	10 Years	47.00%
80	20 Years	47.16%
200	50 Years	47.16%

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 1.48. Further, an Excess 峰度 of 2.20 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.67%	0	0.00%	0.00%
-30.67% to -9.23%	0	0.00%	0.00%
-9.23% to 12.21%	0	0.00%	0.00%
12.21% to 33.65%	11	25.00%	25.00%
33.65% to 55.09%	17	38.64%	63.64%
55.09% to 76.53%	8	18.18%	81.82%
76.53% to 97.97%	4	9.09%	90.91%
97.97% to 119.41%	2	4.55%	95.45%
119.41% to 140.85%	1	2.27%	97.73%
Greater than 140.85%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	26.50%	83.68%	75.00%	68.27%
±2σ	-2.08%	112.27%	95.45%	95.45%
±3σ	-30.67%	140.85%	97.73%	99.73%

Descriptive Statistics

均值	55.092%
Standard Error	4.310%
中位数	50.840%
Mode	15.947%
Standard Deviation	28.587%
Sample Variance	817.199%
峰度	2.20
偏度	1.48
Range	127.267%
Minimum	15.947%
Maximum	143.214%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	55.092%	44	100.00%	55.092%
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 2.11 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -83.45%	0	0.00%	0.00%
-83.45% to -63.60%	0	0.00%	0.00%
-63.60% to -43.74%	4	9.09%	9.09%
-43.74% to -23.89%	4	9.09%	18.18%
-23.89% to -4.04%	18	40.91%	59.09%
-4.04% to 15.81%	9	20.45%	79.55%
15.81% to 35.66%	7	15.91%	95.45%
35.66% to 55.51%	1	2.27%	97.73%
55.51% to 75.36%	0	0.00%	97.73%
Greater than 75.36%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.51%	22.43%	70.45%	68.27%
±2σ	-56.98%	48.89%	97.73%	95.45%
±3σ	-83.45%	75.36%	97.73%	99.73%

Descriptive Statistics

均值	-4.043%
Standard Error	3.990%
中位数	-8.959%
Mode	-54.007%
Standard Deviation	26.468%
Sample Variance	700.555%
峰度	2.11
偏度	0.83
Range	141.455%
Minimum	-54.007%
Maximum	87.448%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.434%	15	34.09%	8.330%
负向	-18.772%	29	65.91%	-12.372%
Zero	0.000%	0	0.00%	0.000%

LITE 深度分析报告