LMND 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	5.39%	3.84%	4.70%	7.06%	5.46%	5.56%	62.22	69.40	58.91	73.29
周度	12.87%	11.63%	11.90%	16.69%	12.01%	12.23%	58.27	74.10	51.67	83.56
月度	27.11%	24.05%	23.49%	36.30%	25.01%	25.46%	51.17	84.38	39.85	108.36
季度	56.18%	50.50%	45.91%	66.40%	43.32%	44.09%	42.61	101.34	27.63	156.28
Annual	—	—	—	—	86.64%	88.18%	27.63	156.28	11.62	371.68
Option Time Horizon	—	—	—	—	33.01%	33.60%	47.23	91.41	33.95	127.17

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $65.71 | Strike (K): $70.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.1500 (Bid $6.8000 / Ask $7.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 86.64% (CRR binomial tree, American, n=20 steps) | BS IV: 87.65% (European Black-Scholes) | Yahoo IV (Annual): 88.18% → 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 1.09. Further, an Excess 峰度 of 7.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.02%	5	0.34%	0.34%
-16.02% to -11.98%	6	0.41%	0.75%
-11.98% to -7.94%	45	3.08%	3.84%
-7.94% to -3.90%	224	15.35%	19.19%
-3.90% to 0.14%	505	34.61%	53.80%
0.14% to 4.18%	405	27.76%	81.56%
4.18% to 8.22%	186	12.75%	94.31%
8.22% to 12.26%	53	3.63%	97.94%
12.26% to 16.30%	18	1.23%	99.18%
Greater than 16.30%	12	0.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.25%	5.52%	75.67%	68.27%
±2σ	-10.63%	10.91%	95.96%	95.45%
±3σ	-16.02%	16.30%	98.83%	99.73%

Descriptive Statistics

均值	0.137%
Standard Error	0.141%
中位数	-0.361%
Mode	0.000%
Standard Deviation	5.386%
Sample Variance	29.008%
峰度	7.44
偏度	1.09
Range	74.716%
Minimum	-27.716%
Maximum	47.000%
Count	1459

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.345%	679	46.54%	2.022%
负向	-3.549%	775	53.12%	-1.885%
Zero	0.000%	5	0.34%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.72%
20	1 Month	6.38%
60	1 Quarter	7.22%
250	1 Year	6.99%
750	3 Years	6.82%
1,250	5 Years	7.06%
2,500	10 Years	7.36%
5,000	20 Years	7.36%
12,500	50 Years	7.36%

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 2.46. Further, an Excess 峰度 of 11.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.26%	0	0.00%	0.00%
-4.26% to -1.38%	0	0.00%	0.00%
-1.38% to 1.50%	0	0.00%	0.00%
1.50% to 4.37%	280	19.18%	19.18%
4.37% to 7.25%	615	42.12%	61.30%
7.25% to 10.13%	336	23.01%	84.32%
10.13% to 13.01%	132	9.04%	93.36%
13.01% to 15.89%	51	3.49%	96.85%
15.89% to 18.77%	17	1.16%	98.01%
Greater than 18.77%	29	1.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.42%	11.09%	81.23%	68.27%
±2σ	-0.42%	14.93%	96.16%	95.45%
±3σ	-4.26%	18.77%	98.01%	99.73%

Descriptive Statistics

均值	7.253%
Standard Error	0.100%
中位数	6.369%
Mode	4.258%
Standard Deviation	3.838%
Sample Variance	14.730%
峰度	11.66
偏度	2.46
Range	42.633%
Minimum	1.798%
Maximum	44.431%
Count	1460

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.253%	1460	100.00%	7.253%
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 -0.27. 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 -14.01%	11	0.75%	0.75%
-14.01% to -10.48%	12	0.82%	1.58%
-10.48% to -6.95%	68	4.66%	6.23%
-6.95% to -3.43%	205	14.04%	20.27%
-3.43% to 0.10%	418	28.63%	48.90%
0.10% to 3.63%	458	31.37%	80.27%
3.63% to 7.15%	202	13.84%	94.11%
7.15% to 10.68%	66	4.52%	98.63%
10.68% to 14.21%	16	1.10%	99.73%
Greater than 14.21%	4	0.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.60%	4.80%	72.47%	68.27%
±2σ	-9.30%	9.51%	95.68%	95.45%
±3σ	-14.00%	14.21%	98.97%	99.73%

Descriptive Statistics

均值	0.101%
Standard Error	0.123%
中位数	0.269%
Mode	0.000%
Standard Deviation	4.702%
Sample Variance	22.105%
峰度	2.06
偏度	-0.27
Range	48.791%
Minimum	-27.878%
Maximum	20.913%
Count	1460

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.551%	754	51.64%	1.834%
负向	-3.609%	701	48.01%	-1.733%
Zero	0.000%	5	0.34%	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 1.23. Further, an Excess 峰度 of 3.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.91%	0	0.00%	0.00%
-37.91% to -28.26%	2	0.66%	0.66%
-28.26% to -18.61%	10	3.30%	3.96%
-18.61% to -8.96%	49	16.17%	20.13%
-8.96% to 0.70%	105	34.65%	54.79%
0.70% to 10.35%	86	28.38%	83.17%
10.35% to 20.00%	35	11.55%	94.72%
20.00% to 29.66%	8	2.64%	97.36%
29.66% to 39.31%	1	0.33%	97.69%
Greater than 39.31%	7	2.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.17%	13.57%	76.24%	68.27%
±2σ	-25.04%	26.44%	95.05%	95.45%
±3σ	-37.91%	39.31%	97.69%	99.73%

Descriptive Statistics

均值	0.698%
Standard Error	0.739%
中位数	-0.620%
Mode	18.554%
Standard Deviation	12.871%
Sample Variance	165.675%
峰度	3.84
偏度	1.23
Range	96.156%
Minimum	-34.494%
Maximum	61.662%
Count	303

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.366%	144	47.52%	4.926%
负向	-8.110%	158	52.15%	-4.229%
Zero	0.000%	1	0.33%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.70%
12	1 Quarter	18.31%
52	1 Year	16.54%
156	3 Years	16.49%
260	5 Years	16.69%
520	10 Years	17.54%
1,040	20 Years	17.54%
2,600	50 Years	17.54%

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 2.45. Further, an Excess 峰度 of 9.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.53%	0	0.00%	0.00%
-15.53% to -6.81%	0	0.00%	0.00%
-6.81% to 1.91%	0	0.00%	0.00%
1.91% to 10.63%	55	18.09%	18.09%
10.63% to 19.35%	134	44.08%	62.17%
19.35% to 28.07%	70	23.03%	85.20%
28.07% to 36.79%	24	7.89%	93.09%
36.79% to 45.51%	8	2.63%	95.72%
45.51% to 54.23%	5	1.64%	97.37%
Greater than 54.23%	8	2.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.73%	30.98%	84.21%	68.27%
±2σ	-3.90%	42.60%	95.39%	95.45%
±3σ	-15.53%	54.23%	97.37%	99.73%

Descriptive Statistics

均值	19.352%
Standard Error	0.667%
中位数	16.329%
Mode	8.951%
Standard Deviation	11.626%
Sample Variance	135.159%
峰度	9.24
偏度	2.45
Range	91.032%
Minimum	5.847%
Maximum	96.879%
Count	304

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.352%	304	100.00%	19.352%
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 -0.06. Further, an Excess 峰度 of 1.44 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.00%	2	0.66%	0.66%
-35.00% to -26.08%	5	1.64%	2.30%
-26.08% to -17.15%	9	2.96%	5.26%
-17.15% to -8.23%	45	14.80%	20.07%
-8.23% to 0.69%	91	29.93%	50.00%
0.69% to 9.61%	94	30.92%	80.92%
9.61% to 18.53%	41	13.49%	94.41%
18.53% to 27.46%	11	3.62%	98.03%
27.46% to 36.38%	3	0.99%	99.01%
Greater than 36.38%	3	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.21%	12.59%	75.00%	68.27%
±2σ	-23.10%	24.48%	94.08%	95.45%
±3σ	-35.00%	36.38%	98.36%	99.73%

Descriptive Statistics

均值	0.690%
Standard Error	0.682%
中位数	0.747%
Mode	-38.342%
Standard Deviation	11.896%
Sample Variance	141.521%
峰度	1.44
偏度	-0.06
Range	77.391%
Minimum	-38.342%
Maximum	39.049%
Count	304

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.355%	156	51.32%	4.801%
负向	-8.501%	147	48.35%	-4.111%
Zero	0.000%	1	0.33%	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 1.64. Further, an Excess 峰度 of 4.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -78.15%	0	0.00%	0.00%
-78.15% to -57.82%	0	0.00%	0.00%
-57.82% to -37.49%	2	2.90%	2.90%
-37.49% to -17.16%	11	15.94%	18.84%
-17.16% to 3.17%	30	43.48%	62.32%
3.17% to 23.51%	16	23.19%	85.51%
23.51% to 43.84%	5	7.25%	92.75%
43.84% to 64.17%	3	4.35%	97.10%
64.17% to 84.50%	1	1.45%	98.55%
Greater than 84.50%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.93%	30.28%	76.81%	68.27%
±2σ	-51.04%	57.39%	94.20%	95.45%
±3σ	-78.15%	84.50%	98.55%	99.73%

Descriptive Statistics

均值	3.175%
Standard Error	3.263%
中位数	-0.061%
Mode	-40.817%
Standard Deviation	27.108%
Sample Variance	734.836%
峰度	4.32
偏度	1.64
Range	158.781%
Minimum	-40.817%
Maximum	117.964%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.146%	34	49.27%	10.912%
负向	-15.254%	35	50.73%	-7.738%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	39.12%
12	1 Year	36.15%
36	3 Years	37.91%
60	5 Years	36.30%
120	10 Years	37.66%
240	20 Years	37.66%
600	50 Years	37.66%

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 1.31. Further, an Excess 峰度 of 1.78 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.04%	0	0.00%	0.00%
-26.04% to -8.00%	0	0.00%	0.00%
-8.00% to 10.04%	0	0.00%	0.00%
10.04% to 28.07%	14	20.00%	20.00%
28.07% to 46.11%	31	44.29%	64.29%
46.11% to 64.15%	9	12.86%	77.14%
64.15% to 82.18%	11	15.71%	92.86%
82.18% to 100.22%	3	4.29%	97.14%
100.22% to 118.26%	0	0.00%	97.14%
Greater than 118.26%	2	2.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	22.06%	70.16%	74.29%	68.27%
±2σ	-1.99%	94.21%	95.71%	95.45%
±3σ	-26.04%	118.26%	97.14%	99.73%

Descriptive Statistics

均值	46.110%
Standard Error	2.874%
中位数	41.600%
Mode	14.634%
Standard Deviation	24.049%
Sample Variance	578.332%
峰度	1.78
偏度	1.31
Range	114.515%
Minimum	14.634%
Maximum	129.149%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.110%	70	100.00%	46.110%
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 0.29. Further, an Excess 峰度 of 0.54 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.60%	0	0.00%	0.00%
-67.60% to -49.99%	1	1.43%	1.43%
-49.99% to -32.38%	3	4.29%	5.71%
-32.38% to -14.76%	10	14.29%	20.00%
-14.76% to 2.85%	24	34.29%	54.29%
2.85% to 20.47%	18	25.71%	80.00%
20.47% to 38.08%	10	14.29%	94.29%
38.08% to 55.70%	2	2.86%	97.14%
55.70% to 73.31%	2	2.86%	100.00%
Greater than 73.31%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.63%	26.34%	68.57%	68.27%
±2σ	-44.12%	49.83%	95.71%	95.45%
±3σ	-67.60%	73.31%	100.00%	99.73%

Descriptive Statistics

均值	2.854%
Standard Error	2.807%
中位数	1.429%
Mode	-53.117%
Standard Deviation	23.486%
Sample Variance	551.591%
峰度	0.54
偏度	0.29
Range	120.195%
Minimum	-53.117%
Maximum	67.078%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.700%	37	52.86%	10.413%
负向	-16.033%	33	47.14%	-7.558%
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 1.65. Further, an Excess 峰度 of 3.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -157.13%	0	0.00%	0.00%
-157.13% to -115.00%	0	0.00%	0.00%
-115.00% to -72.86%	0	0.00%	0.00%
-72.86% to -30.73%	6	26.09%	26.09%
-30.73% to 11.40%	8	34.78%	60.87%
11.40% to 53.54%	6	26.09%	86.96%
53.54% to 95.67%	1	4.35%	91.30%
95.67% to 137.81%	1	4.35%	95.65%
137.81% to 179.94%	0	0.00%	95.65%
Greater than 179.94%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-44.77%	67.58%	82.61%	68.27%
±2σ	-100.95%	123.76%	95.65%	95.45%
±3σ	-157.13%	179.94%	95.65%	99.73%

Descriptive Statistics

均值	11.405%
Standard Error	11.714%
中位数	-3.695%
Mode	-52.946%
Standard Deviation	56.179%
Sample Variance	3156.035%
峰度	3.54
偏度	1.65
Range	241.771%
Minimum	-52.946%
Maximum	188.825%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	54.026%	11	47.83%	25.838%
负向	-27.665%	12	52.17%	-14.434%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	63.12%
12	3 Years	72.35%
20	5 Years	66.40%
40	10 Years	73.97%
80	20 Years	73.97%
200	50 Years	73.97%

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 2.15. Further, an Excess 峰度 of 5.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.19%	0	0.00%	0.00%
-53.19% to -15.32%	0	0.00%	0.00%
-15.32% to 22.55%	0	0.00%	0.00%
22.55% to 60.42%	3	12.50%	12.50%
60.42% to 98.30%	14	58.33%	70.83%
98.30% to 136.17%	5	20.83%	91.67%
136.17% to 174.04%	0	0.00%	91.67%
174.04% to 211.91%	1	4.17%	95.83%
211.91% to 249.78%	0	0.00%	95.83%
Greater than 249.78%	1	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	47.80%	148.79%	83.33%	68.27%
±2σ	-2.70%	199.29%	91.67%	95.45%
±3σ	-53.19%	249.78%	95.83%	99.73%

Descriptive Statistics

均值	98.297%
Standard Error	10.307%
中位数	86.346%
Mode	45.781%
Standard Deviation	50.496%
Sample Variance	2549.805%
峰度	5.46
偏度	2.15
Range	223.362%
Minimum	45.781%
Maximum	269.143%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	98.297%	24	100.00%	98.297%
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 -0.33 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -128.94%	0	0.00%	0.00%
-128.94% to -94.51%	0	0.00%	0.00%
-94.51% to -60.08%	1	4.17%	4.17%
-60.08% to -25.65%	5	20.83%	25.00%
-25.65% to 8.78%	8	33.33%	58.33%
8.78% to 43.21%	4	16.67%	75.00%
43.21% to 77.64%	4	16.67%	91.67%
77.64% to 112.07%	2	8.33%	100.00%
112.07% to 146.50%	0	0.00%	100.00%
Greater than 146.50%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.13%	54.69%	70.83%	68.27%
±2σ	-83.03%	100.59%	95.83%	95.45%
±3σ	-128.94%	146.50%	100.00%	99.73%

Descriptive Statistics

均值	8.780%
Standard Error	9.371%
中位数	2.877%
Mode	-63.862%
Standard Deviation	45.907%
Sample Variance	2107.464%
峰度	-0.33
偏度	0.57
Range	174.008%
Minimum	-63.862%
Maximum	110.146%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.058%	13	54.17%	22.782%
负向	-30.550%	11	45.83%	-14.002%
Zero	0.000%	0	0.00%	0.000%

LMND 深度分析报告