NCNO 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	3.42%	2.96%	3.15%	4.44%	4.64%	4.62%	16.88	18.52	16.11	19.40
周度	6.98%	7.56%	7.16%	10.34%	10.22%	10.17%	15.96	19.58	14.41	21.69
月度	11.11%	12.62%	11.80%	21.67%	21.27%	21.17%	14.29	21.87	11.55	27.06
季度	16.36%	18.39%	18.63%	35.38%	36.85%	36.67%	12.23	25.56	8.46	36.94
Annual	—	—	—	—	73.69%	73.34%	8.46	36.94	4.05	77.19
Option Time Horizon	—	—	—	—	28.08%	27.95%	13.35	23.41	10.08	31.00

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $17.68 | Strike (K): $20.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.1500 (Bid $0.9000 / Ask $1.4000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 73.69% (CRR binomial tree, American, n=20 steps) | BS IV: 72.84% (European Black-Scholes) | Yahoo IV (Annual): 73.34% → 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 0.21. Further, an Excess 峰度 of 6.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.32%	12	0.83%	0.83%
-10.32% to -7.76%	12	0.83%	1.65%
-7.76% to -5.19%	53	3.65%	5.30%
-5.19% to -2.62%	165	11.36%	16.67%
-2.62% to -0.06%	484	33.33%	50.00%
-0.06% to 2.51%	478	32.92%	82.92%
2.51% to 5.08%	183	12.60%	95.52%
5.08% to 7.65%	43	2.96%	98.48%
7.65% to 10.21%	9	0.62%	99.10%
Greater than 10.21%	13	0.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.48%	3.37%	77.41%	68.27%
±2σ	-6.90%	6.79%	95.32%	95.45%
±3σ	-10.32%	10.21%	98.28%	99.73%

Descriptive Statistics

均值	-0.055%
Standard Error	0.090%
中位数	-0.054%
Mode	0.000%
Standard Deviation	3.423%
Sample Variance	11.714%
峰度	6.21
偏度	0.21
Range	45.488%
Minimum	-21.018%
Maximum	24.470%
Count	1452

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.373%	710	48.90%	1.160%
负向	-2.404%	734	50.55%	-1.215%
Zero	0.000%	8	0.55%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.21%
20	1 Month	5.54%
60	1 Quarter	5.87%
250	1 Year	3.99%
750	3 Years	3.72%
1,250	5 Years	4.44%
2,500	10 Years	4.62%
5,000	20 Years	4.62%
12,500	50 Years	4.62%

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 3.10. Further, an Excess 峰度 of 17.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.38%	0	0.00%	0.00%
-4.38% to -2.16%	0	0.00%	0.00%
-2.16% to 0.06%	0	0.00%	0.00%
0.06% to 2.28%	246	16.93%	16.93%
2.28% to 4.50%	661	45.49%	62.42%
4.50% to 6.72%	331	22.78%	85.20%
6.72% to 8.94%	128	8.81%	94.01%
8.94% to 11.16%	40	2.75%	96.77%
11.16% to 13.38%	18	1.24%	98.00%
Greater than 13.38%	29	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.54%	7.46%	86.10%	68.27%
±2σ	-1.42%	10.42%	96.28%	95.45%
±3σ	-4.38%	13.38%	98.00%	99.73%

Descriptive Statistics

均值	4.501%
Standard Error	0.078%
中位数	3.728%
Mode	2.158%
Standard Deviation	2.961%
Sample Variance	8.765%
峰度	17.69
偏度	3.10
Range	34.699%
Minimum	0.906%
Maximum	35.605%
Count	1453

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.501%	1453	100.00%	4.501%
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 -0.07. Further, an Excess 峰度 of 6.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.31%	12	0.83%	0.83%
-9.31% to -6.95%	9	0.62%	1.45%
-6.95% to -4.59%	53	3.65%	5.09%
-4.59% to -2.23%	163	11.22%	16.31%
-2.23% to 0.14%	516	35.51%	51.82%
0.14% to 2.50%	453	31.18%	83.00%
2.50% to 4.86%	164	11.29%	94.29%
4.86% to 7.22%	56	3.85%	98.14%
7.22% to 9.58%	15	1.03%	99.17%
Greater than 9.58%	12	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.01%	3.28%	77.56%	68.27%
±2σ	-6.16%	6.43%	95.32%	95.45%
±3σ	-9.31%	9.58%	98.35%	99.73%

Descriptive Statistics

均值	0.135%
Standard Error	0.083%
中位数	0.041%
Mode	0.000%
Standard Deviation	3.147%
Sample Variance	9.903%
峰度	6.25
偏度	-0.07
Range	41.567%
Minimum	-22.481%
Maximum	19.086%
Count	1453

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.266%	742	51.07%	1.157%
负向	-2.103%	706	48.59%	-1.022%
Zero	0.000%	5	0.34%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.16. Further, an Excess 峰度 of 1.58 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.17%	1	0.33%	0.33%
-21.17% to -15.93%	4	1.33%	1.66%
-15.93% to -10.70%	13	4.32%	5.98%
-10.70% to -5.46%	38	12.62%	18.60%
-5.46% to -0.23%	94	31.23%	49.83%
-0.23% to 5.00%	93	30.90%	80.73%
5.00% to 10.24%	40	13.29%	94.02%
10.24% to 15.47%	10	3.32%	97.34%
15.47% to 20.71%	7	2.33%	99.67%
Greater than 20.71%	1	0.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.21%	6.75%	75.08%	68.27%
±2σ	-14.19%	13.73%	94.35%	95.45%
±3σ	-21.17%	20.71%	99.34%	99.73%

Descriptive Statistics

均值	-0.231%
Standard Error	0.402%
中位数	-0.223%
Mode	-0.634%
Standard Deviation	6.979%
Sample Variance	48.700%
峰度	1.58
偏度	0.16
Range	51.766%
Minimum	-23.829%
Maximum	27.937%
Count	301

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.099%	143	47.51%	2.422%
负向	-5.088%	157	52.16%	-2.654%
Zero	0.000%	1	0.33%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.03%
12	1 Quarter	13.58%
52	1 Year	9.49%
156	3 Years	8.76%
260	5 Years	10.34%
520	10 Years	10.66%
1,040	20 Years	10.66%
2,600	50 Years	10.66%

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 2.08. Further, an Excess 峰度 of 5.63 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.13%	0	0.00%	0.00%
-11.13% to -5.46%	0	0.00%	0.00%
-5.46% to 0.21%	0	0.00%	0.00%
0.21% to 5.88%	55	18.21%	18.21%
5.88% to 11.55%	134	44.37%	62.58%
11.55% to 17.22%	62	20.53%	83.11%
17.22% to 22.89%	32	10.60%	93.71%
22.89% to 28.56%	6	1.99%	95.70%
28.56% to 34.23%	5	1.66%	97.35%
Greater than 34.23%	8	2.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.99%	19.11%	84.11%	68.27%
±2σ	-3.57%	26.67%	95.70%	95.45%
±3σ	-11.13%	34.23%	97.35%	99.73%

Descriptive Statistics

均值	11.549%
Standard Error	0.435%
中位数	9.339%
Mode	8.186%
Standard Deviation	7.559%
Sample Variance	57.145%
峰度	5.63
偏度	2.08
Range	48.860%
Minimum	2.233%
Maximum	51.093%
Count	302

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.549%	302	100.00%	11.549%
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 0.67. Further, an Excess 峰度 of 2.19 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.73%	1	0.33%	0.33%
-20.73% to -15.36%	2	0.66%	0.99%
-15.36% to -9.99%	12	3.97%	4.97%
-9.99% to -4.62%	41	13.58%	18.54%
-4.62% to 0.75%	105	34.77%	53.31%
0.75% to 6.12%	91	30.13%	83.44%
6.12% to 11.49%	27	8.94%	92.38%
11.49% to 16.86%	16	5.30%	97.68%
16.86% to 22.23%	3	0.99%	98.68%
Greater than 22.23%	4	1.32%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.41%	7.91%	74.83%	68.27%
±2σ	-13.57%	15.07%	93.71%	95.45%
±3σ	-20.73%	22.23%	98.34%	99.73%

Descriptive Statistics

均值	0.754%
Standard Error	0.412%
中位数	0.386%
Mode	-6.256%
Standard Deviation	7.160%
Sample Variance	51.267%
峰度	2.19
偏度	0.67
Range	51.180%
Minimum	-21.079%
Maximum	30.101%
Count	302

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.601%	159	52.65%	2.949%
负向	-4.667%	142	47.02%	-2.194%
Zero	0.000%	1	0.33%	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 -0.41 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.85%	0	0.00%	0.00%
-34.85% to -26.52%	0	0.00%	0.00%
-26.52% to -18.19%	3	4.35%	4.35%
-18.19% to -9.87%	14	20.29%	24.64%
-9.87% to -1.54%	21	30.43%	55.07%
-1.54% to 6.79%	16	23.19%	78.26%
6.79% to 15.12%	9	13.04%	91.30%
15.12% to 23.45%	5	7.25%	98.55%
23.45% to 31.78%	1	1.45%	100.00%
Greater than 31.78%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.64%	9.57%	68.12%	68.27%
±2σ	-23.75%	20.67%	95.65%	95.45%
±3σ	-34.85%	31.78%	100.00%	99.73%

Descriptive Statistics

均值	-1.536%
Standard Error	1.337%
中位数	-1.993%
Mode	-24.403%
Standard Deviation	11.105%
Sample Variance	123.332%
峰度	-0.41
偏度	0.27
Range	49.671%
Minimum	-24.403%
Maximum	25.268%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.310%	28	40.58%	3.778%
负向	-8.942%	41	59.42%	-5.313%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.39%
12	1 Year	20.20%
36	3 Years	19.77%
60	5 Years	21.67%
120	10 Years	21.92%
240	20 Years	21.92%
600	50 Years	21.92%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.93. Further, an Excess 峰度 of 0.36 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.22%	0	0.00%	0.00%
-12.22% to -2.75%	0	0.00%	0.00%
-2.75% to 6.72%	0	0.00%	0.00%
6.72% to 16.18%	21	30.00%	30.00%
16.18% to 25.65%	19	27.14%	57.14%
25.65% to 35.12%	17	24.29%	81.43%
35.12% to 44.59%	7	10.00%	91.43%
44.59% to 54.06%	3	4.29%	95.71%
54.06% to 63.52%	3	4.29%	100.00%
Greater than 63.52%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.03%	38.28%	67.14%	68.27%
±2σ	0.40%	50.90%	94.29%	95.45%
±3σ	-12.22%	63.52%	100.00%	99.73%

Descriptive Statistics

均值	25.652%
Standard Error	1.509%
中位数	23.276%
Mode	10.338%
Standard Deviation	12.624%
Sample Variance	159.376%
峰度	0.36
偏度	0.93
Range	52.193%
Minimum	10.338%
Maximum	62.531%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.652%	70	100.00%	25.652%
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 0.08. Further, an Excess 峰度 of -0.11 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.75%	0	0.00%	0.00%
-32.75% to -23.90%	1	1.43%	1.43%
-23.90% to -15.05%	3	4.29%	5.71%
-15.05% to -6.20%	11	15.71%	21.43%
-6.20% to 2.65%	23	32.86%	54.29%
2.65% to 11.51%	16	22.86%	77.14%
11.51% to 20.36%	11	15.71%	92.86%
20.36% to 29.21%	4	5.71%	98.57%
29.21% to 38.06%	1	1.43%	100.00%
Greater than 38.06%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.15%	14.46%	65.71%	68.27%
±2σ	-20.95%	26.26%	95.71%	95.45%
±3σ	-32.75%	38.06%	100.00%	99.73%

Descriptive Statistics

均值	2.655%
Standard Error	1.410%
中位数	2.102%
Mode	-26.826%
Standard Deviation	11.801%
Sample Variance	139.264%
峰度	-0.11
偏度	0.08
Range	59.602%
Minimum	-26.826%
Maximum	32.776%
Count	70

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.348%	41	58.57%	6.061%
负向	-8.220%	29	41.43%	-3.405%
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 0.28. Further, an Excess 峰度 of 0.02 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.03%	0	0.00%	0.00%
-54.03% to -41.77%	0	0.00%	0.00%
-41.77% to -29.50%	2	8.70%	8.70%
-29.50% to -17.23%	2	8.70%	17.39%
-17.23% to -4.96%	9	39.13%	56.52%
-4.96% to 7.32%	4	17.39%	73.91%
7.32% to 19.59%	4	17.39%	91.30%
19.59% to 31.86%	2	8.70%	100.00%
31.86% to 44.12%	0	0.00%	100.00%
Greater than 44.12%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.31%	11.40%	65.22%	68.27%
±2σ	-37.67%	27.77%	95.65%	95.45%
±3σ	-54.03%	44.12%	100.00%	99.73%

Descriptive Statistics

均值	-4.955%
Standard Error	3.411%
中位数	-8.801%
Mode	-36.925%
Standard Deviation	16.360%
Sample Variance	267.651%
峰度	0.02
偏度	0.28
Range	67.738%
Minimum	-36.925%
Maximum	30.813%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.055%	7	30.43%	4.582%
负向	-13.710%	16	69.56%	-9.537%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.68%
12	3 Years	33.21%
20	5 Years	35.38%
40	10 Years	35.97%
80	20 Years	35.97%
200	50 Years	35.97%

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 1.39. Further, an Excess 峰度 of 2.55 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.72%	0	0.00%	0.00%
-8.72% to 5.07%	0	0.00%	0.00%
5.07% to 18.86%	0	0.00%	0.00%
18.86% to 32.65%	4	16.67%	16.67%
32.65% to 46.44%	11	45.83%	62.50%
46.44% to 60.23%	5	20.83%	83.33%
60.23% to 74.02%	2	8.33%	91.67%
74.02% to 87.81%	1	4.17%	95.83%
87.81% to 101.60%	1	4.17%	100.00%
Greater than 101.60%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	28.05%	64.83%	83.33%	68.27%
±2σ	9.67%	83.22%	91.67%	95.45%
±3σ	-8.72%	101.60%	100.00%	99.73%

Descriptive Statistics

均值	46.442%
Standard Error	3.753%
中位数	42.638%
Mode	19.333%
Standard Deviation	18.387%
Sample Variance	338.084%
峰度	2.55
偏度	1.39
Range	81.759%
Minimum	19.333%
Maximum	101.092%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.442%	24	100.00%	46.442%
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 0.78. Further, an Excess 峰度 of 1.36 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.62%	0	0.00%	0.00%
-48.62% to -34.66%	0	0.00%	0.00%
-34.66% to -20.69%	1	4.17%	4.17%
-20.69% to -6.72%	6	25.00%	29.17%
-6.72% to 7.25%	4	16.67%	45.83%
7.25% to 21.22%	9	37.50%	83.33%
21.22% to 35.19%	2	8.33%	91.67%
35.19% to 49.16%	1	4.17%	95.83%
49.16% to 63.13%	1	4.17%	100.00%
Greater than 63.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.37%	25.88%	75.00%	68.27%
±2σ	-30.00%	44.51%	95.83%	95.45%
±3σ	-48.62%	63.13%	100.00%	99.73%

Descriptive Statistics

均值	7.253%
Standard Error	3.802%
中位数	9.197%
Mode	-24.080%
Standard Deviation	18.626%
Sample Variance	346.929%
峰度	1.36
偏度	0.78
Range	83.277%
Minimum	-24.080%
Maximum	59.197%
Count	24

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.954%	16	66.67%	11.303%
负向	-12.148%	8	33.33%	-4.049%
Zero	0.000%	0	0.00%	0.000%

NCNO 深度分析报告