NCLH 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	3.51%	3.15%	2.77%	4.78%	3.97%	4.05%	17.79	19.26	17.10	20.04
周度	7.35%	9.83%	8.26%	11.38%	8.74%	8.91%	16.96	20.20	15.54	22.05
月度	14.78%	35.96%	23.01%	24.54%	18.19%	18.55%	15.43	22.20	12.86	26.63
季度	24.41%	93.71%	38.19%	43.89%	31.51%	32.13%	13.51	25.37	9.86	34.76
Annual	—	—	—	—	63.02%	64.26%	9.86	34.76	5.25	65.28
Option Time Horizon	—	—	—	—	24.01%	24.49%	14.56	23.53	11.45	29.92

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $18.51 | Strike (K): $19.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.6100 (Bid $1.5800 / Ask $1.6400) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 63.02% (CRR binomial tree, American, n=20 steps) | BS IV: 63.37% (European Black-Scholes) | Yahoo IV (Annual): 64.26% → 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 0.24. Further, an Excess 峰度 of 18.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.47%	31	0.93%	0.93%
-10.47% to -7.84%	23	0.69%	1.62%
-7.84% to -5.21%	81	2.43%	4.05%
-5.21% to -2.58%	286	8.58%	12.62%
-2.58% to 0.05%	1266	37.96%	50.58%
0.05% to 2.68%	1208	36.22%	86.81%
2.68% to 5.31%	287	8.61%	95.41%
5.31% to 7.94%	96	2.88%	98.29%
7.94% to 10.57%	31	0.93%	99.22%
Greater than 10.57%	26	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.45%	3.56%	83.12%	68.27%
±2σ	-6.96%	7.07%	95.47%	95.45%
±3σ	-10.47%	10.57%	98.29%	99.73%

Descriptive Statistics

均值	0.053%
Standard Error	0.061%
中位数	0.018%
Mode	0.000%
Standard Deviation	3.507%
Sample Variance	12.297%
峰度	18.90
偏度	0.24
Range	77.987%
Minimum	-35.795%
Maximum	42.192%
Count	3335

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.211%	1670	50.08%	1.107%
负向	-2.139%	1643	49.27%	-1.054%
Zero	0.000%	22	0.66%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.93%
20	1 Month	5.86%
60	1 Quarter	6.02%
250	1 Year	4.32%
750	3 Years	4.25%
1,250	5 Years	4.78%
2,500	10 Years	4.43%
5,000	20 Years	4.03%
12,500	50 Years	4.03%

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 4.56. Further, an Excess 峰度 of 36.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.64%	0	0.00%	0.00%
-5.64% to -3.28%	0	0.00%	0.00%
-3.28% to -0.92%	0	0.00%	0.00%
-0.92% to 1.45%	309	9.26%	9.26%
1.45% to 3.81%	1886	56.53%	65.80%
3.81% to 6.17%	708	21.22%	87.02%
6.17% to 8.54%	248	7.43%	94.45%
8.54% to 10.90%	98	2.94%	97.39%
10.90% to 13.26%	40	1.20%	98.59%
Greater than 13.26%	47	1.41%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.66%	6.96%	90.89%	68.27%
±2σ	-2.49%	10.11%	96.76%	95.45%
±3σ	-5.64%	13.26%	98.59%	99.73%

Descriptive Statistics

均值	3.810%
Standard Error	0.055%
中位数	2.992%
Mode	2.379%
Standard Deviation	3.150%
Sample Variance	9.920%
峰度	36.02
偏度	4.56
Range	41.470%
Minimum	0.635%
Maximum	42.105%
Count	3336

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.810%	3336	100.00%	3.810%
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 1.18. Further, an Excess 峰度 of 11.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.21%	14	0.42%	0.42%
-8.21% to -6.13%	45	1.35%	1.77%
-6.13% to -4.05%	89	2.67%	4.44%
-4.05% to -1.98%	356	10.67%	15.11%
-1.98% to 0.10%	1242	37.23%	52.34%
0.10% to 2.18%	1105	33.12%	85.46%
2.18% to 4.26%	321	9.62%	95.08%
4.26% to 6.34%	91	2.73%	97.81%
6.34% to 8.41%	38	1.14%	98.95%
Greater than 8.41%	35	1.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.67%	2.87%	79.80%	68.27%
±2σ	-5.44%	5.64%	94.90%	95.45%
±3σ	-8.21%	8.41%	98.53%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.048%
中位数	0.018%
Mode	0.000%
Standard Deviation	2.771%
Sample Variance	7.680%
峰度	11.29
偏度	1.18
Range	43.980%
Minimum	-15.171%
Maximum	28.809%
Count	3336

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.937%	1673	50.15%	0.971%
负向	-1.767%	1642	49.22%	-0.870%
Zero	0.000%	21	0.63%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.01. Further, an Excess 峰度 of 9.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.83%	4	0.58%	0.58%
-21.83% to -16.31%	10	1.45%	2.02%
-16.31% to -10.79%	22	3.18%	5.20%
-10.79% to -5.28%	73	10.55%	15.75%
-5.28% to 0.24%	229	33.09%	48.84%
0.24% to 5.75%	246	35.55%	84.39%
5.75% to 11.27%	71	10.26%	94.65%
11.27% to 16.78%	28	4.05%	98.70%
16.78% to 22.30%	5	0.72%	99.42%
Greater than 22.30%	4	0.58%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.12%	7.59%	78.61%	68.27%
±2σ	-14.47%	14.94%	94.80%	95.45%
±3σ	-21.83%	22.30%	98.84%	99.73%

Descriptive Statistics

均值	0.236%
Standard Error	0.280%
中位数	0.325%
Mode	0.000%
Standard Deviation	7.354%
Sample Variance	54.077%
峰度	9.32
偏度	-0.01
Range	100.125%
Minimum	-44.775%
Maximum	55.350%
Count	692

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.813%	369	53.32%	2.566%
负向	-5.039%	320	46.24%	-2.330%
Zero	0.000%	3	0.43%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.47%
12	1 Quarter	13.14%
52	1 Year	10.24%
156	3 Years	10.15%
260	5 Years	11.38%
520	10 Years	10.58%
1,040	20 Years	9.58%
2,600	50 Years	9.58%

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 5.86. Further, an Excess 峰度 of 53.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.27%	0	0.00%	0.00%
-19.27% to -11.90%	0	0.00%	0.00%
-11.90% to -4.53%	0	0.00%	0.00%
-4.53% to 2.84%	21	3.03%	3.03%
2.84% to 10.21%	450	64.94%	67.97%
10.21% to 17.58%	143	20.63%	88.60%
17.58% to 24.95%	51	7.36%	95.96%
24.95% to 32.32%	12	1.73%	97.69%
32.32% to 39.69%	6	0.87%	98.56%
Greater than 39.69%	10	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.39%	20.04%	92.21%	68.27%
±2σ	-9.44%	29.87%	97.69%	95.45%
±3σ	-19.27%	39.69%	98.56%	99.73%

Descriptive Statistics

均值	10.213%
Standard Error	0.373%
中位数	7.743%
Mode	2.877%
Standard Deviation	9.826%
Sample Variance	96.559%
峰度	53.90
偏度	5.86
Range	129.797%
Minimum	1.974%
Maximum	131.771%
Count	693

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.213%	693	100.00%	10.213%
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 4.33. Further, an Excess 峰度 of 46.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.26%	2	0.29%	0.29%
-24.26% to -18.07%	1	0.14%	0.43%
-18.07% to -11.87%	12	1.73%	2.16%
-11.87% to -5.67%	78	11.26%	13.42%
-5.67% to 0.52%	299	43.15%	56.57%
0.52% to 6.72%	218	31.46%	88.02%
6.72% to 12.92%	52	7.50%	95.53%
12.92% to 19.11%	16	2.31%	97.84%
19.11% to 25.31%	10	1.44%	99.28%
Greater than 25.31%	5	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.74%	8.79%	83.84%	68.27%
±2σ	-16.00%	17.05%	96.25%	95.45%
±3σ	-24.26%	25.31%	98.99%	99.73%

Descriptive Statistics

均值	0.523%
Standard Error	0.314%
中位数	-0.263%
Mode	-4.424%
Standard Deviation	8.262%
Sample Variance	68.258%
峰度	46.37
偏度	4.33
Range	136.351%
Minimum	-33.060%
Maximum	103.291%
Count	693

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.570%	336	48.48%	2.701%
负向	-4.251%	355	51.23%	-2.178%
Zero	0.000%	2	0.29%	0.000%

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 4.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.33%	1	0.63%	0.63%
-43.33% to -32.25%	0	0.00%	0.63%
-32.25% to -21.17%	8	5.03%	5.66%
-21.17% to -10.09%	17	10.69%	16.35%
-10.09% to 1.00%	53	33.33%	49.69%
1.00% to 12.08%	54	33.96%	83.65%
12.08% to 23.16%	16	10.06%	93.71%
23.16% to 34.24%	6	3.77%	97.48%
34.24% to 45.32%	1	0.63%	98.11%
Greater than 45.32%	3	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.78%	15.77%	78.62%	68.27%
±2σ	-28.55%	30.55%	94.97%	95.45%
±3σ	-43.33%	45.32%	97.48%	99.73%

Descriptive Statistics

均值	0.996%
Standard Error	1.172%
中位数	1.378%
Mode	0.000%
Standard Deviation	14.775%
Sample Variance	218.304%
峰度	4.24
偏度	-0.17
Range	120.220%
Minimum	-70.585%
Maximum	49.635%
Count	159

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.917%	83	52.20%	5.699%
负向	-10.105%	74	46.54%	-4.703%
Zero	0.000%	2	1.26%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	23.89%
12	1 Year	21.82%
36	3 Years	22.27%
60	5 Years	24.54%
120	10 Years	22.98%
240	20 Years	20.78%
600	50 Years	20.78%

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 9.09. Further, an Excess 峰度 of 99.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -82.17%	0	0.00%	0.00%
-82.17% to -55.20%	0	0.00%	0.00%
-55.20% to -28.23%	0	0.00%	0.00%
-28.23% to -1.26%	0	0.00%	0.00%
-1.26% to 25.71%	110	68.75%	68.75%
25.71% to 52.68%	40	25.00%	93.75%
52.68% to 79.65%	6	3.75%	97.50%
79.65% to 106.62%	2	1.25%	98.75%
106.62% to 133.59%	1	0.62%	99.38%
Greater than 133.59%	1	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.25%	61.67%	96.88%	68.27%
±2σ	-46.21%	97.63%	98.75%	95.45%
±3σ	-82.17%	133.59%	99.38%	99.73%

Descriptive Statistics

均值	25.709%
Standard Error	2.843%
中位数	17.790%
Mode	6.020%
Standard Deviation	35.959%
Sample Variance	1293.073%
峰度	99.43
偏度	9.09
Range	421.718%
Minimum	6.020%
Maximum	427.738%
Count	160

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.709%	160	100.00%	25.709%
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 6.95. Further, an Excess 峰度 of 70.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -67.18%	0	0.00%	0.00%
-67.18% to -49.92%	0	0.00%	0.00%
-49.92% to -32.66%	1	0.62%	0.62%
-32.66% to -15.40%	11	6.88%	7.50%
-15.40% to 1.86%	85	53.12%	60.62%
1.86% to 19.12%	47	29.38%	90.00%
19.12% to 36.38%	13	8.12%	98.12%
36.38% to 53.63%	2	1.25%	99.38%
53.63% to 70.89%	0	0.00%	99.38%
Greater than 70.89%	1	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.16%	24.87%	90.00%	68.27%
±2σ	-44.17%	47.88%	99.38%	95.45%
±3σ	-67.18%	70.89%	99.38%	99.73%

Descriptive Statistics

均值	1.857%
Standard Error	1.819%
中位数	-1.331%
Mode	-35.976%
Standard Deviation	23.012%
Sample Variance	529.565%
峰度	70.46
偏度	6.95
Range	274.480%
Minimum	-35.976%
Maximum	238.504%
Count	160

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.143%	74	46.25%	6.541%
负向	-8.715%	86	53.75%	-4.684%
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 -0.06. Further, an Excess 峰度 of 1.27 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -70.59%	0	0.00%	0.00%
-70.59% to -52.29%	1	1.89%	1.89%
-52.29% to -33.98%	3	5.66%	7.55%
-33.98% to -15.68%	5	9.43%	16.98%
-15.68% to 2.63%	18	33.96%	50.94%
2.63% to 20.93%	17	32.08%	83.02%
20.93% to 39.24%	7	13.21%	96.23%
39.24% to 57.54%	0	0.00%	96.23%
57.54% to 75.85%	2	3.77%	100.00%
Greater than 75.85%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.78%	27.03%	73.58%	68.27%
±2σ	-46.19%	51.44%	94.34%	95.45%
±3σ	-70.59%	75.85%	100.00%	99.73%

Descriptive Statistics

均值	2.626%
Standard Error	3.353%
中位数	2.114%
Mode	-69.545%
Standard Deviation	24.407%
Sample Variance	595.687%
峰度	1.27
偏度	-0.06
Range	134.863%
Minimum	-69.545%
Maximum	65.318%
Count	53

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.289%	30	56.60%	10.352%
负向	-17.802%	23	43.40%	-7.725%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	39.62%
12	3 Years	44.82%
20	5 Years	43.89%
40	10 Years	39.99%
80	20 Years	36.19%
200	50 Years	36.19%

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 6.27. Further, an Excess 峰度 of 42.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -226.08%	0	0.00%	0.00%
-226.08% to -155.80%	0	0.00%	0.00%
-155.80% to -85.51%	0	0.00%	0.00%
-85.51% to -15.23%	0	0.00%	0.00%
-15.23% to 55.06%	39	72.22%	72.22%
55.06% to 125.34%	13	24.07%	96.30%
125.34% to 195.63%	1	1.85%	98.15%
195.63% to 265.91%	0	0.00%	98.15%
265.91% to 336.19%	0	0.00%	98.15%
Greater than 336.19%	1	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-38.66%	148.77%	96.30%	68.27%
±2σ	-132.37%	242.48%	98.15%	95.45%
±3σ	-226.08%	336.19%	98.15%	99.73%

Descriptive Statistics

均值	55.056%
Standard Error	12.753%
中位数	32.655%
Mode	10.599%
Standard Deviation	93.713%
Sample Variance	8782.135%
峰度	42.72
偏度	6.27
Range	683.853%
Minimum	10.599%
Maximum	694.452%
Count	54

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	55.056%	54	100.00%	55.056%
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 4.13. Further, an Excess 峰度 of 23.16 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -110.02%	0	0.00%	0.00%
-110.02% to -81.38%	0	0.00%	0.00%
-81.38% to -52.73%	0	0.00%	0.00%
-52.73% to -24.09%	6	11.11%	11.11%
-24.09% to 4.55%	29	53.70%	64.81%
4.55% to 33.19%	14	25.93%	90.74%
33.19% to 61.84%	2	3.70%	94.44%
61.84% to 90.48%	2	3.70%	98.15%
90.48% to 119.12%	0	0.00%	98.15%
Greater than 119.12%	1	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.64%	42.74%	88.89%	68.27%
±2σ	-71.83%	80.93%	98.15%	95.45%
±3σ	-110.02%	119.12%	98.15%	99.73%

Descriptive Statistics

均值	4.551%
Standard Error	5.197%
中位数	-2.428%
Mode	-39.012%
Standard Deviation	38.190%
Sample Variance	1458.488%
峰度	23.16
偏度	4.13
Range	269.439%
Minimum	-39.012%
Maximum	230.427%
Count	54

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.009%	23	42.59%	12.356%
负向	-14.049%	30	55.56%	-7.805%
Zero	0.000%	1	1.85%	0.000%

NCLH 深度分析报告