MVIS 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	6.13%	6.34%	5.18%	8.19%	10.42%	10.43%	0.59	0.72	0.53	0.80
周度	16.42%	19.19%	13.49%	18.76%	22.93%	22.97%	0.52	0.82	0.41	1.03
月度	27.68%	41.06%	24.77%	38.90%	47.74%	47.81%	0.40	1.05	0.25	1.69
季度	64.23%	99.90%	44.17%	78.01%	82.68%	82.81%	0.28	1.49	0.12	3.40
Annual	—	—	—	—	165.36%	165.63%	0.12	3.40	0.02	17.75
Option Time Horizon	—	—	—	—	63.01%	63.11%	0.35	1.22	0.18	2.29

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $0.65 | Strike (K): $1.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.0750 (Bid $0.0500 / Ask $0.1000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 165.36% (CRR binomial tree, American, n=20 steps) | BS IV: 167.05% (European Black-Scholes) | Yahoo IV (Annual): 165.63% → 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 4.15. Further, an Excess 峰度 of 77.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.27%	27	0.36%	0.36%
-18.27% to -13.68%	33	0.44%	0.80%
-13.68% to -9.08%	157	2.10%	2.91%
-9.08% to -4.48%	902	12.09%	15.00%
-4.48% to 0.12%	3081	41.29%	56.29%
0.12% to 4.71%	2234	29.94%	86.24%
4.71% to 9.31%	666	8.93%	95.16%
9.31% to 13.90%	219	2.94%	98.10%
13.90% to 18.50%	78	1.05%	99.14%
Greater than 18.50%	64	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.01%	6.24%	81.30%	68.27%
±2σ	-12.14%	12.37%	96.15%	95.45%
±3σ	-18.27%	18.50%	98.78%	99.73%

Descriptive Statistics

均值	0.115%
Standard Error	0.071%
中位数	-0.142%
Mode	0.000%
Standard Deviation	6.129%
Sample Variance	37.564%
峰度	77.56
偏度	4.15
Range	203.448%
Minimum	-53.448%
Maximum	150.000%
Count	7461

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.532%	3265	43.76%	1.983%
负向	-3.721%	3746	50.21%	-1.868%
Zero	0.000%	450	6.03%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.09%
20	1 Month	7.19%
60	1 Quarter	8.94%
250	1 Year	7.47%
750	3 Years	8.09%
1,250	5 Years	8.19%
2,500	10 Years	8.86%
5,000	20 Years	8.09%
12,500	50 Years	7.82%

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 9.77. Further, an Excess 峰度 of 256.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.07%	0	0.00%	0.00%
-11.07% to -6.32%	0	0.00%	0.00%
-6.32% to -1.56%	0	0.00%	0.00%
-1.56% to 3.19%	601	8.05%	8.05%
3.19% to 7.94%	4157	55.71%	63.76%
7.94% to 12.69%	1794	24.04%	87.80%
12.69% to 17.45%	551	7.38%	95.19%
17.45% to 22.20%	186	2.49%	97.68%
22.20% to 26.95%	80	1.07%	98.75%
Greater than 26.95%	93	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.60%	14.28%	90.89%	68.27%
±2σ	-4.73%	20.61%	97.17%	95.45%
±3σ	-11.07%	26.95%	98.75%	99.73%

Descriptive Statistics

均值	7.941%
Standard Error	0.073%
中位数	6.494%
Mode	5.263%
Standard Deviation	6.337%
Sample Variance	40.160%
峰度	256.75
偏度	9.77
Range	234.488%
Minimum	0.806%
Maximum	235.294%
Count	7462

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.941%	7462	100.00%	7.941%
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 -0.22. Further, an Excess 峰度 of 6.59 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.92%	49	0.66%	0.66%
-14.92% to -11.03%	98	1.31%	1.97%
-11.03% to -7.15%	244	3.27%	5.24%
-7.15% to -3.26%	852	11.42%	16.66%
-3.26% to 0.63%	2450	32.83%	49.49%
0.63% to 4.52%	2486	33.32%	82.81%
4.52% to 8.40%	905	12.13%	94.93%
8.40% to 12.29%	254	3.40%	98.34%
12.29% to 16.18%	75	1.01%	99.34%
Greater than 16.18%	49	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.55%	5.81%	76.99%	68.27%
±2σ	-9.74%	10.99%	94.99%	95.45%
±3σ	-14.92%	16.18%	98.69%	99.73%

Descriptive Statistics

均值	0.629%
Standard Error	0.060%
中位数	0.671%
Mode	0.000%
Standard Deviation	5.183%
Sample Variance	26.866%
峰度	6.59
偏度	-0.22
Range	89.178%
Minimum	-52.124%
Maximum	37.054%
Count	7462

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.949%	4066	54.49%	2.152%
负向	-3.774%	3011	40.35%	-1.523%
Zero	0.000%	385	5.16%	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 6.74. Further, an Excess 峰度 of 109.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.55%	1	0.06%	0.06%
-48.55% to -36.24%	3	0.19%	0.26%
-36.24% to -23.92%	30	1.94%	2.20%
-23.92% to -11.60%	157	10.15%	12.35%
-11.60% to 0.72%	695	44.93%	57.27%
0.72% to 13.04%	477	30.83%	88.11%
13.04% to 25.35%	128	8.27%	96.38%
25.35% to 37.67%	30	1.94%	98.32%
37.67% to 49.99%	10	0.65%	98.97%
Greater than 49.99%	16	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.71%	17.14%	85.13%	68.27%
±2σ	-32.13%	33.57%	97.29%	95.45%
±3σ	-48.55%	49.99%	98.90%	99.73%

Descriptive Statistics

均值	0.718%
Standard Error	0.418%
中位数	-1.031%
Mode	0.000%
Standard Deviation	16.424%
Sample Variance	269.751%
峰度	109.13
偏度	6.74
Range	374.690%
Minimum	-51.613%
Maximum	323.077%
Count	1547

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.463%	684	44.22%	5.068%
负向	-8.196%	821	53.07%	-4.350%
Zero	0.000%	42	2.71%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.36%
12	1 Quarter	19.39%
52	1 Year	16.31%
156	3 Years	18.35%
260	5 Years	18.76%
520	10 Years	21.41%
1,040	20 Years	19.16%
2,600	50 Years	18.48%

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 7.81. Further, an Excess 峰度 of 104.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.85%	0	0.00%	0.00%
-36.85% to -22.46%	0	0.00%	0.00%
-22.46% to -8.07%	0	0.00%	0.00%
-8.07% to 6.32%	52	3.36%	3.36%
6.32% to 20.70%	965	62.34%	65.70%
20.70% to 35.09%	380	24.55%	90.25%
35.09% to 49.48%	91	5.88%	96.12%
49.48% to 63.87%	33	2.13%	98.26%
63.87% to 78.26%	10	0.65%	98.90%
Greater than 78.26%	17	1.10%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.52%	39.89%	92.83%	68.27%
±2σ	-17.67%	59.08%	97.55%	95.45%
±3σ	-36.85%	78.26%	98.90%	99.73%

Descriptive Statistics

均值	20.704%
Standard Error	0.488%
中位数	16.482%
Mode	14.286%
Standard Deviation	19.186%
Sample Variance	368.089%
峰度	104.63
偏度	7.81
Range	371.809%
Minimum	3.191%
Maximum	375.000%
Count	1548

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.704%	1548	100.00%	20.704%
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 0.98. Further, an Excess 峰度 of 9.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.85%	6	0.39%	0.39%
-38.85% to -28.73%	14	0.90%	1.29%
-28.73% to -18.61%	53	3.42%	4.72%
-18.61% to -8.49%	181	11.69%	16.41%
-8.49% to 1.63%	546	35.27%	51.68%
1.63% to 11.75%	509	32.88%	84.56%
11.75% to 21.87%	174	11.24%	95.80%
21.87% to 31.99%	31	2.00%	97.80%
31.99% to 42.11%	19	1.23%	99.03%
Greater than 42.11%	15	0.97%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.86%	15.12%	78.81%	68.27%
±2σ	-25.36%	28.62%	95.48%	95.45%
±3σ	-38.85%	42.11%	98.64%	99.73%

Descriptive Statistics

均值	1.631%
Standard Error	0.343%
中位数	1.227%
Mode	0.000%
Standard Deviation	13.493%
Sample Variance	182.064%
峰度	9.10
偏度	0.98
Range	183.031%
Minimum	-76.364%
Maximum	106.667%
Count	1548

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.108%	835	53.94%	5.452%
负向	-8.868%	667	43.09%	-3.821%
Zero	0.000%	46	2.97%	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 1.98. Further, an Excess 峰度 of 6.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -81.12%	0	0.00%	0.00%
-81.12% to -60.36%	1	0.28%	0.28%
-60.36% to -39.60%	3	0.84%	1.12%
-39.60% to -18.84%	56	15.73%	16.85%
-18.84% to 1.92%	152	42.70%	59.55%
1.92% to 22.68%	91	25.56%	85.11%
22.68% to 43.44%	28	7.87%	92.98%
43.44% to 64.21%	13	3.65%	96.63%
64.21% to 84.97%	6	1.69%	98.31%
Greater than 84.97%	6	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.76%	29.60%	80.06%	68.27%
±2σ	-53.44%	57.28%	95.51%	95.45%
±3σ	-81.12%	84.97%	98.31%	99.73%

Descriptive Statistics

均值	1.921%
Standard Error	1.467%
中位数	-2.811%
Mode	0.000%
Standard Deviation	27.682%
Sample Variance	766.307%
峰度	6.52
偏度	1.98
Range	212.967%
Minimum	-61.538%
Maximum	151.429%
Count	356

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.842%	159	44.66%	10.202%
负向	-15.196%	194	54.49%	-8.281%
Zero	0.000%	3	0.84%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	32.00%
12	1 Year	30.83%
36	3 Years	39.32%
60	5 Years	38.90%
120	10 Years	49.48%
240	20 Years	42.99%
600	50 Years	41.03%

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 3.66. Further, an Excess 峰度 of 19.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.30%	0	0.00%	0.00%
-72.30% to -41.51%	0	0.00%	0.00%
-41.51% to -10.72%	0	0.00%	0.00%
-10.72% to 20.07%	30	8.40%	8.40%
20.07% to 50.87%	212	59.38%	67.79%
50.87% to 81.66%	73	20.45%	88.24%
81.66% to 112.45%	20	5.60%	93.84%
112.45% to 143.24%	11	3.08%	96.92%
143.24% to 174.03%	3	0.84%	97.76%
Greater than 174.03%	8	2.24%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.81%	91.92%	90.76%	68.27%
±2σ	-31.25%	132.98%	95.52%	95.45%
±3σ	-72.30%	174.03%	97.76%	99.73%

Descriptive Statistics

均值	50.866%
Standard Error	2.173%
中位数	39.583%
Mode	66.667%
Standard Deviation	41.056%
Sample Variance	1685.598%
峰度	19.79
偏度	3.66
Range	367.958%
Minimum	10.989%
Maximum	378.947%
Count	357

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.866%	357	100.00%	50.866%
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 0.88. Further, an Excess 峰度 of 4.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -69.42%	0	0.00%	0.00%
-69.42% to -50.84%	5	1.40%	1.40%
-50.84% to -32.26%	14	3.92%	5.32%
-32.26% to -13.68%	46	12.89%	18.21%
-13.68% to 4.90%	128	35.85%	54.06%
4.90% to 23.48%	99	27.73%	81.79%
23.48% to 42.06%	40	11.20%	93.00%
42.06% to 60.64%	18	5.04%	98.04%
60.64% to 79.22%	4	1.12%	99.16%
Greater than 79.22%	3	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.87%	29.67%	74.51%	68.27%
±2σ	-44.64%	54.45%	94.68%	95.45%
±3σ	-69.42%	79.22%	99.16%	99.73%

Descriptive Statistics

均值	4.901%
Standard Error	1.311%
中位数	3.061%
Mode	0.000%
Standard Deviation	24.773%
Sample Variance	613.696%
峰度	4.35
偏度	0.88
Range	217.143%
Minimum	-57.143%
Maximum	160.000%
Count	357

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.682%	200	56.02%	11.586%
负向	-15.701%	152	42.58%	-6.685%
Zero	0.000%	5	1.40%	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 4.46. Further, an Excess 峰度 of 27.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -185.78%	0	0.00%	0.00%
-185.78% to -137.60%	0	0.00%	0.00%
-137.60% to -89.43%	0	0.00%	0.00%
-89.43% to -41.26%	10	8.47%	8.47%
-41.26% to 6.92%	64	54.24%	62.71%
6.92% to 55.09%	29	24.58%	87.29%
55.09% to 103.26%	11	9.32%	96.61%
103.26% to 151.44%	2	1.69%	98.31%
151.44% to 199.61%	0	0.00%	98.31%
Greater than 199.61%	2	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-57.31%	71.15%	91.53%	68.27%
±2σ	-121.55%	135.38%	97.46%	95.45%
±3σ	-185.78%	199.61%	98.31%	99.73%

Descriptive Statistics

均值	6.916%
Standard Error	5.913%
中位数	-5.914%
Mode	-46.154%
Standard Deviation	64.231%
Sample Variance	4125.631%
峰度	27.75
偏度	4.46
Range	547.279%
Minimum	-70.136%
Maximum	477.143%
Count	118

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	49.069%	50	42.37%	20.792%
负向	-24.078%	68	57.63%	-13.875%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	47.98%
12	3 Years	79.97%
20	5 Years	78.01%
40	10 Years	100.98%
80	20 Years	82.81%
200	50 Years	76.67%

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 4.07. Further, an Excess 峰度 of 22.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -190.92%	0	0.00%	0.00%
-190.92% to -115.99%	0	0.00%	0.00%
-115.99% to -41.06%	0	0.00%	0.00%
-41.06% to 33.87%	6	5.04%	5.04%
33.87% to 108.80%	79	66.39%	71.43%
108.80% to 183.72%	20	16.81%	88.24%
183.72% to 258.65%	7	5.88%	94.12%
258.65% to 333.58%	4	3.36%	97.48%
333.58% to 408.51%	1	0.84%	98.32%
Greater than 408.51%	2	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	8.89%	208.70%	92.44%	68.27%
±2σ	-91.01%	308.60%	94.96%	95.45%
±3σ	-190.92%	408.51%	98.32%	99.73%

Descriptive Statistics

均值	108.796%
Standard Error	9.158%
中位数	85.938%
Mode	26.429%
Standard Deviation	99.904%
Sample Variance	9980.781%
峰度	22.58
偏度	4.07
Range	781.466%
Minimum	26.429%
Maximum	807.895%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	108.796%	119	100.00%	108.796%
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 1.34. Further, an Excess 峰度 of 4.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -119.57%	0	0.00%	0.00%
-119.57% to -86.44%	0	0.00%	0.00%
-86.44% to -53.32%	3	2.52%	2.52%
-53.32% to -20.19%	20	16.81%	19.33%
-20.19% to 12.94%	46	38.66%	57.98%
12.94% to 46.07%	29	24.37%	82.35%
46.07% to 79.19%	11	9.24%	91.60%
79.19% to 112.32%	8	6.72%	98.32%
112.32% to 145.45%	1	0.84%	99.16%
Greater than 145.45%	1	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.23%	57.11%	77.31%	68.27%
±2σ	-75.40%	101.28%	95.80%	95.45%
±3σ	-119.57%	145.45%	99.16%	99.73%

Descriptive Statistics

均值	12.938%
Standard Error	4.049%
中位数	7.044%
Mode	-78.218%
Standard Deviation	44.170%
Sample Variance	1951.020%
峰度	4.90
偏度	1.34
Range	316.097%
Minimum	-78.218%
Maximum	237.879%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.931%	68	57.14%	22.818%
负向	-23.513%	50	42.02%	-9.879%
Zero	0.000%	1	0.84%	0.000%

MVIS 深度分析报告