MDB 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	4.13%	2.70%	3.23%	5.29%	5.19%	5.24%	240.77	267.10	228.59	281.32
周度	9.54%	8.23%	9.68%	13.05%	11.42%	11.54%	226.22	284.28	201.80	318.68
月度	17.08%	14.66%	18.00%	27.26%	23.78%	24.02%	199.92	321.66	157.61	408.01
季度	30.95%	25.42%	28.61%	49.00%	41.19%	41.61%	167.98	382.83	111.27	577.93
Annual	—	—	—	—	82.37%	83.22%	111.27	577.93	48.83	1317.08
Option Time Horizon	—	—	—	—	31.39%	31.71%	185.27	347.10	135.36	475.09

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $253.59 | Strike (K): $260.00 (first OTM call ≥ spot) | Observed Mid-价格: $29.5500 (Bid $29.0000 / Ask $30.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 82.37% (CRR binomial tree, American, n=20 steps) | BS IV: 82.53% (European Black-Scholes) | Yahoo IV (Annual): 83.22% → 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 0.69. Further, an Excess 峰度 of 9.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.22%	11	0.51%	0.51%
-12.22% to -9.12%	15	0.70%	1.22%
-9.12% to -6.02%	80	3.74%	4.96%
-6.02% to -2.92%	236	11.04%	16.00%
-2.92% to 0.18%	748	34.99%	50.98%
0.18% to 3.28%	721	33.72%	84.71%
3.28% to 6.38%	226	10.57%	95.28%
6.38% to 9.48%	69	3.23%	98.50%
9.48% to 12.58%	10	0.47%	98.97%
Greater than 12.58%	22	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.95%	4.31%	79.33%	68.27%
±2σ	-8.09%	8.45%	96.07%	95.45%
±3σ	-12.22%	12.58%	98.46%	99.73%

Descriptive Statistics

均值	0.181%
Standard Error	0.089%
中位数	0.107%
Mode	0.470%
Standard Deviation	4.133%
Sample Variance	17.078%
峰度	9.90
偏度	0.69
Range	64.895%
Minimum	-26.937%
Maximum	37.958%
Count	2138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.903%	1100	51.45%	1.494%
负向	-2.711%	1035	48.41%	-1.312%
Zero	0.000%	3	0.14%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.46%
20	1 Month	5.39%
60	1 Quarter	6.57%
250	1 Year	4.77%
750	3 Years	4.64%
1,250	5 Years	5.29%
2,500	10 Years	5.33%
5,000	20 Years	5.33%
12,500	50 Years	5.33%

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 2.10. Further, an Excess 峰度 of 8.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.02%	0	0.00%	0.00%
-3.02% to -1.00%	0	0.00%	0.00%
-1.00% to 1.02%	0	0.00%	0.00%
1.02% to 3.04%	429	20.06%	20.06%
3.04% to 5.07%	885	41.37%	61.43%
5.07% to 7.09%	459	21.46%	82.89%
7.09% to 9.11%	206	9.63%	92.52%
9.11% to 11.13%	78	3.65%	96.17%
11.13% to 13.16%	40	1.87%	98.04%
Greater than 13.16%	42	1.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.37%	7.76%	79.52%	68.27%
±2σ	-0.33%	10.46%	95.42%	95.45%
±3σ	-3.02%	13.16%	98.04%	99.73%

Descriptive Statistics

均值	5.067%
Standard Error	0.058%
中位数	4.348%
Mode	3.258%
Standard Deviation	2.697%
Sample Variance	7.272%
峰度	8.67
偏度	2.10
Range	29.719%
Minimum	1.062%
Maximum	30.781%
Count	2139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.067%	2139	100.00%	5.067%
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 1.70 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.66%	10	0.47%	0.47%
-9.66% to -7.24%	23	1.08%	1.54%
-7.24% to -4.82%	83	3.88%	5.42%
-4.82% to -2.40%	314	14.68%	20.10%
-2.40% to 0.02%	673	31.46%	51.57%
0.02% to 2.44%	644	30.11%	81.67%
2.44% to 4.86%	249	11.64%	93.31%
4.86% to 7.28%	99	4.63%	97.94%
7.28% to 9.70%	27	1.26%	99.21%
Greater than 9.70%	17	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.20%	3.25%	73.59%	68.27%
±2σ	-6.43%	6.47%	94.62%	95.45%
±3σ	-9.66%	9.70%	98.74%	99.73%

Descriptive Statistics

均值	0.022%
Standard Error	0.070%
中位数	-0.059%
Mode	-4.149%
Standard Deviation	3.226%
Sample Variance	10.406%
峰度	1.70
偏度	0.13
Range	30.218%
Minimum	-15.221%
Maximum	14.997%
Count	2139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.472%	1046	48.90%	1.209%
负向	-2.330%	1090	50.96%	-1.187%
Zero	0.000%	3	0.14%	0.000%

收盘-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 2.86 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.70%	3	0.68%	0.68%
-27.70% to -20.54%	6	1.35%	2.03%
-20.54% to -13.38%	16	3.60%	5.63%
-13.38% to -6.23%	59	13.29%	18.92%
-6.23% to 0.93%	149	33.56%	52.48%
0.93% to 8.09%	128	28.83%	81.31%
8.09% to 15.24%	63	14.19%	95.50%
15.24% to 22.40%	11	2.48%	97.97%
22.40% to 29.56%	3	0.68%	98.65%
Greater than 29.56%	6	1.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.61%	10.47%	76.58%	68.27%
±2σ	-18.16%	20.02%	95.05%	95.45%
±3σ	-27.70%	29.56%	97.97%	99.73%

Descriptive Statistics

均值	0.930%
Standard Error	0.453%
中位数	0.567%
Mode	-6.589%
Standard Deviation	9.543%
Sample Variance	91.064%
峰度	2.86
偏度	0.29
Range	77.403%
Minimum	-32.919%
Maximum	44.484%
Count	444

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.184%	241	54.28%	3.899%
负向	-6.494%	203	45.72%	-2.969%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.36%
12	1 Quarter	15.86%
52	1 Year	12.14%
156	3 Years	11.53%
260	5 Years	13.05%
520	10 Years	12.76%
1,040	20 Years	12.76%
2,600	50 Years	12.76%

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 2.17. Further, an Excess 峰度 of 5.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.06%	0	0.00%	0.00%
-11.06% to -4.89%	0	0.00%	0.00%
-4.89% to 1.28%	0	0.00%	0.00%
1.28% to 7.45%	78	17.53%	17.53%
7.45% to 13.62%	212	47.64%	65.17%
13.62% to 19.79%	90	20.22%	85.39%
19.79% to 25.96%	33	7.42%	92.81%
25.96% to 32.13%	16	3.60%	96.40%
32.13% to 38.30%	2	0.45%	96.85%
Greater than 38.30%	14	3.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.39%	21.85%	83.15%	68.27%
±2σ	-2.84%	30.07%	95.73%	95.45%
±3σ	-11.06%	38.30%	96.85%	99.73%

Descriptive Statistics

均值	13.619%
Standard Error	0.390%
中位数	11.619%
Mode	7.374%
Standard Deviation	8.228%
Sample Variance	67.705%
峰度	5.99
偏度	2.17
Range	51.787%
Minimum	3.378%
Maximum	55.165%
Count	445

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.619%	445	100.00%	13.619%
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 1.11. 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 -28.91%	1	0.22%	0.22%
-28.91% to -21.65%	6	1.35%	1.57%
-21.65% to -14.39%	9	2.02%	3.60%
-14.39% to -7.13%	67	15.06%	18.65%
-7.13% to 0.13%	157	35.28%	53.93%
0.13% to 7.39%	132	29.66%	83.60%
7.39% to 14.64%	49	11.01%	94.61%
14.64% to 21.90%	14	3.15%	97.75%
21.90% to 29.16%	2	0.45%	98.20%
Greater than 29.16%	8	1.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.55%	9.81%	78.20%	68.27%
±2σ	-19.23%	19.48%	95.73%	95.45%
±3σ	-28.91%	29.16%	97.98%	99.73%

Descriptive Statistics

均值	0.127%
Standard Error	0.459%
中位数	-0.443%
Mode	-5.150%
Standard Deviation	9.678%
Sample Variance	93.661%
峰度	4.32
偏度	1.11
Range	79.931%
Minimum	-30.956%
Maximum	48.975%
Count	445

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.449%	208	46.74%	3.482%
负向	-6.300%	237	53.26%	-3.355%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.09. 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 -47.69%	0	0.00%	0.00%
-47.69% to -34.88%	2	1.96%	1.96%
-34.88% to -22.06%	6	5.88%	7.84%
-22.06% to -9.25%	11	10.78%	18.63%
-9.25% to 3.56%	35	34.31%	52.94%
3.56% to 16.38%	26	25.49%	78.43%
16.38% to 29.19%	15	14.71%	93.14%
29.19% to 42.00%	5	4.90%	98.04%
42.00% to 54.82%	2	1.96%	100.00%
Greater than 54.82%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.52%	20.65%	73.53%	68.27%
±2σ	-30.60%	37.73%	92.16%	95.45%
±3σ	-47.69%	54.82%	100.00%	99.73%

Descriptive Statistics

均值	3.564%
Standard Error	1.692%
中位数	2.939%
Mode	-1.657%
Standard Deviation	17.084%
Sample Variance	291.866%
峰度	0.22
偏度	-0.09
Range	83.262%
Minimum	-38.500%
Maximum	44.762%
Count	102

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.500%	59	57.84%	8.387%
负向	-11.441%	43	42.16%	-4.823%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.01%
12	1 Year	25.72%
36	3 Years	25.47%
60	5 Years	27.26%
120	10 Years	27.43%
240	20 Years	27.43%
600	50 Years	27.43%

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 1.08. Further, an Excess 峰度 of 0.66 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.25%	0	0.00%	0.00%
-12.25% to -1.25%	0	0.00%	0.00%
-1.25% to 9.74%	1	0.97%	0.97%
9.74% to 20.74%	24	23.30%	24.27%
20.74% to 31.73%	36	34.95%	59.22%
31.73% to 42.73%	23	22.33%	81.55%
42.73% to 53.72%	9	8.74%	90.29%
53.72% to 64.72%	6	5.83%	96.12%
64.72% to 75.71%	4	3.88%	100.00%
Greater than 75.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.07%	46.39%	74.76%	68.27%
±2σ	2.41%	61.05%	92.23%	95.45%
±3σ	-12.25%	75.71%	100.00%	99.73%

Descriptive Statistics

均值	31.734%
Standard Error	1.444%
中位数	28.703%
Mode	9.504%
Standard Deviation	14.660%
Sample Variance	214.904%
峰度	0.66
偏度	1.08
Range	64.177%
Minimum	9.504%
Maximum	73.681%
Count	103

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.734%	103	100.00%	31.734%
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 1.06. Further, an Excess 峰度 of 1.63 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.71%	0	0.00%	0.00%
-54.71% to -41.22%	0	0.00%	0.00%
-41.22% to -27.72%	3	2.91%	2.91%
-27.72% to -14.22%	20	19.42%	22.33%
-14.22% to -0.72%	32	31.07%	53.40%
-0.72% to 12.77%	32	31.07%	84.47%
12.77% to 26.27%	8	7.77%	92.23%
26.27% to 39.77%	4	3.88%	96.12%
39.77% to 53.26%	2	1.94%	98.06%
Greater than 53.26%	2	1.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.72%	17.27%	72.82%	68.27%
±2σ	-36.72%	35.27%	95.15%	95.45%
±3σ	-54.71%	53.26%	98.06%	99.73%

Descriptive Statistics

均值	-0.725%
Standard Error	1.773%
中位数	-2.724%
Mode	-33.264%
Standard Deviation	17.996%
Sample Variance	323.843%
峰度	1.63
偏度	1.06
Range	93.880%
Minimum	-33.264%
Maximum	60.616%
Count	103

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.610%	44	42.72%	6.241%
负向	-12.161%	59	57.28%	-6.966%
Zero	0.000%	0	0.00%	0.000%

收盘-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 -0.83 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -82.15%	0	0.00%	0.00%
-82.15% to -58.94%	0	0.00%	0.00%
-58.94% to -35.73%	2	5.88%	5.88%
-35.73% to -12.53%	5	14.71%	20.59%
-12.53% to 10.68%	11	32.35%	52.94%
10.68% to 33.89%	7	20.59%	73.53%
33.89% to 57.10%	7	20.59%	94.12%
57.10% to 80.31%	2	5.88%	100.00%
80.31% to 103.52%	0	0.00%	100.00%
Greater than 103.52%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.26%	41.63%	64.71%	68.27%
±2σ	-51.21%	72.57%	97.06%	95.45%
±3σ	-82.15%	103.52%	100.00%	99.73%

Descriptive Statistics

均值	10.684%
Standard Error	5.307%
中位数	5.174%
Mode	-41.425%
Standard Deviation	30.945%
Sample Variance	957.604%
峰度	-0.83
偏度	0.27
Range	117.871%
Minimum	-41.425%
Maximum	76.446%
Count	34

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.055%	20	58.82%	18.268%
负向	-18.416%	14	41.18%	-7.583%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	49.49%
12	3 Years	49.20%
20	5 Years	49.00%
40	10 Years	50.37%
80	20 Years	50.37%
200	50 Years	50.37%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.63. Further, an Excess 峰度 of 0.62 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.12%	0	0.00%	0.00%
-13.12% to 5.94%	0	0.00%	0.00%
5.94% to 25.00%	1	2.86%	2.86%
25.00% to 44.06%	8	22.86%	25.71%
44.06% to 63.13%	9	25.71%	51.43%
63.13% to 82.19%	11	31.43%	82.86%
82.19% to 101.25%	3	8.57%	91.43%
101.25% to 120.32%	2	5.71%	97.14%
120.32% to 139.38%	1	2.86%	100.00%
Greater than 139.38%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	37.71%	88.55%	74.29%	68.27%
±2σ	12.29%	113.96%	97.14%	95.45%
±3σ	-13.12%	139.38%	100.00%	99.73%

Descriptive Statistics

均值	63.128%
Standard Error	4.296%
中位数	61.290%
Mode	16.838%
Standard Deviation	25.417%
Sample Variance	646.015%
峰度	0.62
偏度	0.63
Range	117.746%
Minimum	16.838%
Maximum	134.584%
Count	35

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	63.128%	35	100.00%	63.128%
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 0.66. Further, an Excess 峰度 of -0.09 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.75%	0	0.00%	0.00%
-87.75% to -66.29%	0	0.00%	0.00%
-66.29% to -44.83%	0	0.00%	0.00%
-44.83% to -23.38%	10	28.57%	28.57%
-23.38% to -1.92%	7	20.00%	48.57%
-1.92% to 19.54%	11	31.43%	80.00%
19.54% to 41.00%	3	8.57%	88.57%
41.00% to 62.46%	3	8.57%	97.14%
62.46% to 83.92%	1	2.86%	100.00%
Greater than 83.92%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.53%	26.69%	62.86%	68.27%
±2σ	-59.14%	55.30%	97.14%	95.45%
±3σ	-87.75%	83.91%	100.00%	99.73%

Descriptive Statistics

均值	-1.918%
Standard Error	4.836%
中位数	-1.355%
Mode	-44.025%
Standard Deviation	28.611%
Sample Variance	818.607%
峰度	-0.09
偏度	0.66
Range	112.320%
Minimum	-44.025%
Maximum	68.295%
Count	35

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.514%	15	42.86%	10.506%
负向	-21.742%	20	57.14%	-12.424%
Zero	0.000%	0	0.00%	0.000%

MDB 深度分析报告