LI 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	4.33%	3.23%	3.23%	5.05%	2.88%	3.20%	17.62	18.66	17.12	19.20
周度	9.56%	9.53%	8.98%	12.29%	6.33%	7.04%	17.02	19.32	15.97	20.58
月度	22.52%	21.02%	19.80%	27.73%	13.19%	14.66%	15.89	20.69	13.93	23.60
季度	38.38%	41.44%	40.59%	53.36%	22.84%	25.39%	14.43	22.78	11.48	28.63
Annual	—	—	—	—	45.68%	50.78%	11.48	28.63	7.27	45.20
Option Time Horizon	—	—	—	—	17.41%	19.35%	15.23	21.58	12.80	25.68

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $18.13 | Strike (K): $19.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.9500 (Bid $0.8500 / Ask $1.0500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 45.68% (CRR binomial tree, American, n=20 steps) | BS IV: 46.19% (European Black-Scholes) | Yahoo IV (Annual): 50.78% → 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 0.74. 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 -12.88%	11	0.76%	0.76%
-12.88% to -9.63%	10	0.69%	1.46%
-9.63% to -6.39%	41	2.85%	4.31%
-6.39% to -3.15%	176	12.22%	16.53%
-3.15% to 0.10%	533	37.01%	53.54%
0.10% to 3.34%	438	30.42%	83.96%
3.34% to 6.59%	139	9.65%	93.61%
6.59% to 9.83%	57	3.96%	97.57%
9.83% to 13.07%	21	1.46%	99.03%
Greater than 13.07%	14	0.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.23%	4.42%	79.24%	68.27%
±2σ	-8.55%	8.75%	94.86%	95.45%
±3σ	-12.88%	13.07%	98.26%	99.73%

Descriptive Statistics

均值	0.099%
Standard Error	0.114%
中位数	-0.189%
Mode	0.000%
Standard Deviation	4.325%
Sample Variance	18.703%
峰度	6.12
偏度	0.74
Range	52.512%
Minimum	-20.613%
Maximum	31.899%
Count	1440

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.291%	683	47.43%	1.561%
负向	-2.804%	751	52.15%	-1.462%
Zero	0.000%	6	0.42%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.54%
20	1 Month	2.96%
60	1 Quarter	3.30%
250	1 Year	3.26%
750	3 Years	4.13%
1,250	5 Years	5.05%
2,500	10 Years	5.47%
5,000	20 Years	5.47%
12,500	50 Years	5.47%

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 2.67. Further, an Excess 峰度 of 13.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.97%	0	0.00%	0.00%
-4.97% to -2.55%	0	0.00%	0.00%
-2.55% to -0.12%	0	0.00%	0.00%
-0.12% to 2.30%	263	18.25%	18.25%
2.30% to 4.72%	644	44.69%	62.94%
4.72% to 7.15%	303	21.03%	83.97%
7.15% to 9.57%	133	9.23%	93.20%
9.57% to 11.99%	53	3.68%	96.88%
11.99% to 14.42%	12	0.83%	97.71%
Greater than 14.42%	33	2.29%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.49%	7.96%	83.90%	68.27%
±2σ	-1.74%	11.19%	96.18%	95.45%
±3σ	-4.97%	14.42%	97.78%	99.73%

Descriptive Statistics

均值	4.723%
Standard Error	0.085%
中位数	3.832%
Mode	1.764%
Standard Deviation	3.232%
Sample Variance	10.448%
峰度	13.15
偏度	2.67
Range	34.863%
Minimum	0.660%
Maximum	35.523%
Count	1441

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.723%	1441	100.00%	4.723%
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 0.74. Further, an Excess 峰度 of 6.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.51%	6	0.42%	0.42%
-9.51% to -7.08%	16	1.11%	1.53%
-7.08% to -4.66%	53	3.68%	5.20%
-4.66% to -2.23%	164	11.38%	16.59%
-2.23% to 0.19%	503	34.91%	51.49%
0.19% to 2.62%	479	33.24%	84.73%
2.62% to 5.04%	139	9.65%	94.38%
5.04% to 7.47%	48	3.33%	97.71%
7.47% to 9.89%	17	1.18%	98.89%
Greater than 9.89%	16	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.04%	3.43%	78.56%	68.27%
±2σ	-6.27%	6.66%	94.93%	95.45%
±3σ	-9.50%	9.89%	98.47%	99.73%

Descriptive Statistics

均值	0.194%
Standard Error	0.085%
中位数	0.134%
Mode	0.000%
Standard Deviation	3.233%
Sample Variance	10.455%
峰度	6.57
偏度	0.74
Range	43.008%
Minimum	-18.777%
Maximum	24.231%
Count	1441

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.308%	746	51.77%	1.195%
负向	-2.094%	689	47.81%	-1.001%
Zero	0.000%	6	0.42%	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 0.81. Further, an Excess 峰度 of 3.18 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.22%	1	0.33%	0.33%
-28.22% to -21.05%	1	0.33%	0.67%
-21.05% to -13.87%	12	4.01%	4.68%
-13.87% to -6.70%	38	12.71%	17.39%
-6.70% to 0.47%	117	39.13%	56.52%
0.47% to 7.65%	72	24.08%	80.60%
7.65% to 14.82%	39	13.04%	93.65%
14.82% to 22.00%	13	4.35%	97.99%
22.00% to 29.17%	1	0.33%	98.33%
Greater than 29.17%	5	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.09%	10.04%	73.24%	68.27%
±2σ	-18.65%	19.61%	94.65%	95.45%
±3σ	-28.22%	29.17%	97.99%	99.73%

Descriptive Statistics

均值	0.475%
Standard Error	0.553%
中位数	-0.240%
Mode	7.143%
Standard Deviation	9.565%
Sample Variance	91.490%
峰度	3.18
偏度	0.81
Range	81.120%
Minimum	-31.518%
Maximum	49.602%
Count	299

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.756%	142	47.49%	3.683%
负向	-6.150%	156	52.17%	-3.209%
Zero	0.000%	1	0.33%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	7.36%
12	1 Quarter	8.03%
52	1 Year	7.87%
156	3 Years	10.27%
260	5 Years	12.29%
520	10 Years	13.25%
1,040	20 Years	13.25%
2,600	50 Years	13.25%

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 2.96. Further, an Excess 峰度 of 13.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.66%	0	0.00%	0.00%
-14.66% to -7.51%	0	0.00%	0.00%
-7.51% to -0.36%	0	0.00%	0.00%
-0.36% to 6.79%	53	17.67%	17.67%
6.79% to 13.94%	136	45.33%	63.00%
13.94% to 21.09%	66	22.00%	85.00%
21.09% to 28.24%	27	9.00%	94.00%
28.24% to 35.39%	9	3.00%	97.00%
35.39% to 42.54%	4	1.33%	98.33%
Greater than 42.54%	5	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.41%	23.47%	88.33%	68.27%
±2σ	-5.12%	33.00%	96.33%	95.45%
±3σ	-14.66%	42.54%	98.33%	99.73%

Descriptive Statistics

均值	13.940%
Standard Error	0.550%
中位数	11.478%
Mode	6.765%
Standard Deviation	9.532%
Sample Variance	90.865%
峰度	13.25
偏度	2.96
Range	72.847%
Minimum	4.109%
Maximum	76.956%
Count	300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.940%	300	100.00%	13.940%
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 0.61. Further, an Excess 峰度 of 2.91 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.27%	2	0.67%	0.67%
-26.27% to -19.53%	1	0.33%	1.00%
-19.53% to -12.80%	8	2.67%	3.67%
-12.80% to -6.06%	52	17.33%	21.00%
-6.06% to 0.68%	93	31.00%	52.00%
0.68% to 7.41%	90	30.00%	82.00%
7.41% to 14.15%	37	12.33%	94.33%
14.15% to 20.89%	9	3.00%	97.33%
20.89% to 27.62%	4	1.33%	98.67%
Greater than 27.62%	4	1.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.31%	9.66%	74.67%	68.27%
±2σ	-17.29%	18.64%	94.33%	95.45%
±3σ	-26.27%	27.62%	98.00%	99.73%

Descriptive Statistics

均值	0.676%
Standard Error	0.519%
中位数	0.508%
Mode	-10.000%
Standard Deviation	8.982%
Sample Variance	80.674%
峰度	2.91
偏度	0.61
Range	75.104%
Minimum	-31.979%
Maximum	43.125%
Count	300

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.592%	161	53.67%	3.538%
负向	-6.178%	139	46.33%	-2.862%
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 1.27. Further, an Excess 峰度 of 2.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.18%	0	0.00%	0.00%
-65.18% to -48.29%	0	0.00%	0.00%
-48.29% to -31.40%	2	2.90%	2.90%
-31.40% to -14.52%	11	15.94%	18.84%
-14.52% to 2.37%	31	44.93%	63.77%
2.37% to 19.26%	13	18.84%	82.61%
19.26% to 36.14%	7	10.14%	92.75%
36.14% to 53.03%	2	2.90%	95.65%
53.03% to 69.92%	2	2.90%	98.55%
Greater than 69.92%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.15%	24.89%	81.16%	68.27%
±2σ	-42.66%	47.40%	92.75%	95.45%
±3σ	-65.18%	69.92%	98.55%	99.73%

Descriptive Statistics

均值	2.370%
Standard Error	2.711%
中位数	-2.495%
Mode	-40.808%
Standard Deviation	22.516%
Sample Variance	506.988%
峰度	2.15
偏度	1.27
Range	119.241%
Minimum	-40.808%
Maximum	78.433%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.237%	30	43.48%	9.233%
负向	-12.144%	39	56.52%	-6.864%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	13.10%
12	1 Year	16.75%
36	3 Years	24.27%
60	5 Years	27.73%
120	10 Years	29.88%
240	20 Years	29.88%
600	50 Years	29.88%

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 1.96. Further, an Excess 峰度 of 4.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.14%	0	0.00%	0.00%
-28.14% to -12.37%	0	0.00%	0.00%
-12.37% to 3.40%	0	0.00%	0.00%
3.40% to 19.17%	16	22.86%	22.86%
19.17% to 34.94%	26	37.14%	60.00%
34.94% to 50.70%	15	21.43%	81.43%
50.70% to 66.47%	7	10.00%	91.43%
66.47% to 82.24%	3	4.29%	95.71%
82.24% to 98.01%	1	1.43%	97.14%
Greater than 98.01%	2	2.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.91%	55.96%	82.86%	68.27%
±2σ	-7.11%	76.99%	95.71%	95.45%
±3σ	-28.14%	98.01%	97.14%	99.73%

Descriptive Statistics

均值	34.936%
Standard Error	2.513%
中位数	28.666%
Mode	10.399%
Standard Deviation	21.025%
Sample Variance	442.045%
峰度	4.92
偏度	1.96
Range	112.916%
Minimum	10.399%
Maximum	123.315%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.936%	70	100.00%	34.936%
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 0.35. Further, an Excess 峰度 of 1.28 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -56.33%	0	0.00%	0.00%
-56.33% to -41.48%	0	0.00%	0.00%
-41.48% to -26.64%	6	8.57%	8.57%
-26.64% to -11.79%	10	14.29%	22.86%
-11.79% to 3.06%	18	25.71%	48.57%
3.06% to 17.91%	23	32.86%	81.43%
17.91% to 32.75%	10	14.29%	95.71%
32.75% to 47.60%	2	2.86%	98.57%
47.60% to 62.45%	0	0.00%	98.57%
Greater than 62.45%	1	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.74%	22.86%	75.71%	68.27%
±2σ	-36.53%	42.65%	94.29%	95.45%
±3σ	-56.33%	62.45%	98.57%	99.73%

Descriptive Statistics

均值	3.059%
Standard Error	2.366%
中位数	3.546%
Mode	-39.539%
Standard Deviation	19.796%
Sample Variance	391.899%
峰度	1.28
偏度	0.35
Range	110.714%
Minimum	-39.539%
Maximum	71.175%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.151%	42	60.00%	9.091%
负向	-15.081%	28	40.00%	-6.032%
Zero	0.000%	0	0.00%	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 0.71. Further, an Excess 峰度 of -0.22 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -108.27%	0	0.00%	0.00%
-108.27% to -79.48%	0	0.00%	0.00%
-79.48% to -50.69%	1	4.35%	4.35%
-50.69% to -21.91%	2	8.70%	13.04%
-21.91% to 6.88%	11	47.83%	60.87%
6.88% to 35.67%	4	17.39%	78.26%
35.67% to 64.46%	2	8.70%	86.96%
64.46% to 93.24%	3	13.04%	100.00%
93.24% to 122.03%	0	0.00%	100.00%
Greater than 122.03%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.50%	45.26%	69.57%	68.27%
±2σ	-69.89%	83.65%	100.00%	95.45%
±3σ	-108.27%	122.03%	100.00%	99.73%

Descriptive Statistics

均值	6.881%
Standard Error	8.003%
中位数	-5.058%
Mode	-58.526%
Standard Deviation	38.383%
Sample Variance	1473.280%
峰度	-0.22
偏度	0.71
Range	141.345%
Minimum	-58.526%
Maximum	82.819%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.333%	10	43.48%	17.971%
负向	-19.621%	13	56.52%	-11.090%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	25.84%
12	3 Years	46.02%
20	5 Years	53.36%
40	10 Years	56.58%
80	20 Years	56.58%
200	50 Years	56.58%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.92. Further, an Excess 峰度 of 1.14 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.00%	0	0.00%	0.00%
-53.00% to -21.92%	0	0.00%	0.00%
-21.92% to 9.16%	0	0.00%	0.00%
9.16% to 40.24%	8	33.33%	33.33%
40.24% to 71.32%	5	20.83%	54.17%
71.32% to 102.41%	7	29.17%	83.33%
102.41% to 133.49%	3	12.50%	95.83%
133.49% to 164.57%	0	0.00%	95.83%
164.57% to 195.65%	1	4.17%	100.00%
Greater than 195.65%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.88%	112.77%	70.83%	68.27%
±2σ	-11.56%	154.21%	95.83%	95.45%
±3σ	-53.00%	195.65%	100.00%	99.73%

Descriptive Statistics

均值	71.324%
Standard Error	8.459%
中位数	70.034%
Mode	15.894%
Standard Deviation	41.442%
Sample Variance	1717.441%
峰度	1.14
偏度	0.92
Range	171.509%
Minimum	15.894%
Maximum	187.403%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	71.324%	24	100.00%	71.324%
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 1.78. Further, an Excess 峰度 of 5.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -114.69%	0	0.00%	0.00%
-114.69% to -84.24%	0	0.00%	0.00%
-84.24% to -53.80%	0	0.00%	0.00%
-53.80% to -23.36%	5	20.83%	20.83%
-23.36% to 7.09%	7	29.17%	50.00%
7.09% to 37.53%	10	41.67%	91.67%
37.53% to 67.97%	1	4.17%	95.83%
67.97% to 98.42%	0	0.00%	95.83%
98.42% to 128.86%	0	0.00%	95.83%
Greater than 128.86%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.50%	47.68%	79.17%	68.27%
±2σ	-74.09%	88.27%	95.83%	95.45%
±3σ	-114.69%	128.86%	95.83%	99.73%

Descriptive Statistics

均值	7.087%
Standard Error	8.286%
中位数	7.122%
Mode	-43.458%
Standard Deviation	40.591%
Sample Variance	1647.606%
峰度	5.37
偏度	1.78
Range	190.888%
Minimum	-43.458%
Maximum	147.430%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.627%	13	54.17%	17.673%
负向	-23.097%	11	45.83%	-10.586%
Zero	0.000%	0	0.00%	0.000%

LI 深度分析报告