NET 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	4.23%	3.12%	3.64%	5.51%	4.54%	4.58%	197.88	216.69	189.09	226.76
周度	9.82%	9.03%	10.15%	13.34%	10.00%	10.09%	187.37	228.84	169.54	252.91
月度	18.72%	16.85%	17.66%	29.09%	20.81%	21.01%	168.16	254.98	136.56	313.98
季度	34.01%	33.92%	34.05%	54.40%	36.05%	36.38%	144.40	296.95	100.69	425.84
Annual	—	—	—	—	72.10%	72.77%	100.69	425.84	48.96	875.74
Option Time Horizon	—	—	—	—	27.47%	27.73%	157.32	272.54	119.53	358.72

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $207.07 | Strike (K): $210.00 (first OTM call ≥ spot) | Observed Mid-价格: $21.7750 (Bid $21.2500 / Ask $22.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 72.10% (CRR binomial tree, American, n=20 steps) | BS IV: 71.92% (European Black-Scholes) | Yahoo IV (Annual): 72.77% → 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 0.36. Further, an Excess 峰度 of 4.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.45%	13	0.78%	0.78%
-12.45% to -9.28%	16	0.96%	1.75%
-9.28% to -6.11%	65	3.91%	5.66%
-6.11% to -2.94%	181	10.90%	16.56%
-2.94% to 0.24%	562	33.84%	50.39%
0.24% to 3.41%	545	32.81%	83.20%
3.41% to 6.58%	192	11.56%	94.76%
6.58% to 9.75%	55	3.31%	98.07%
9.75% to 12.93%	15	0.90%	98.98%
Greater than 12.93%	17	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.99%	4.47%	77.12%	68.27%
±2σ	-8.22%	8.70%	94.58%	95.45%
±3σ	-12.45%	12.93%	98.19%	99.73%

Descriptive Statistics

均值	0.236%
Standard Error	0.104%
中位数	0.175%
Mode	0.000%
Standard Deviation	4.230%
Sample Variance	17.895%
峰度	4.41
偏度	0.36
Range	48.089%
Minimum	-21.031%
Maximum	27.058%
Count	1661

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.081%	871	52.44%	1.616%
负向	-2.922%	784	47.20%	-1.379%
Zero	0.000%	6	0.36%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.85%
20	1 Month	6.42%
60	1 Quarter	6.16%
250	1 Year	4.48%
750	3 Years	4.54%
1,250	5 Years	5.51%
2,500	10 Years	5.65%
5,000	20 Years	5.65%
12,500	50 Years	5.65%

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 1.82. Further, an Excess 峰度 of 4.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.92%	0	0.00%	0.00%
-3.92% to -1.58%	0	0.00%	0.00%
-1.58% to 0.76%	0	0.00%	0.00%
0.76% to 3.10%	339	20.40%	20.40%
3.10% to 5.44%	700	42.12%	62.52%
5.44% to 7.78%	338	20.34%	82.85%
7.78% to 10.12%	147	8.84%	91.70%
10.12% to 12.46%	72	4.33%	96.03%
12.46% to 14.80%	35	2.11%	98.13%
Greater than 14.80%	31	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.32%	8.56%	80.08%	68.27%
±2σ	-0.80%	11.68%	95.01%	95.45%
±3σ	-3.92%	14.80%	98.13%	99.73%

Descriptive Statistics

均值	5.439%
Standard Error	0.077%
中位数	4.599%
Mode	2.883%
Standard Deviation	3.121%
Sample Variance	9.740%
峰度	4.57
偏度	1.82
Range	24.818%
Minimum	1.066%
Maximum	25.884%
Count	1662

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.439%	1662	100.00%	5.439%
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 0.20. Further, an Excess 峰度 of 2.37 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.98%	7	0.42%	0.42%
-10.98% to -8.25%	22	1.32%	1.74%
-8.25% to -5.52%	58	3.49%	5.23%
-5.52% to -2.79%	228	13.72%	18.95%
-2.79% to -0.06%	541	32.55%	51.50%
-0.06% to 2.67%	500	30.08%	81.59%
2.67% to 5.40%	203	12.21%	93.80%
5.40% to 8.14%	66	3.97%	97.77%
8.14% to 10.87%	19	1.14%	98.92%
Greater than 10.87%	18	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.70%	3.58%	75.81%	68.27%
±2σ	-7.34%	7.22%	94.40%	95.45%
±3σ	-10.98%	10.87%	98.50%	99.73%

Descriptive Statistics

均值	-0.059%
Standard Error	0.089%
中位数	-0.170%
Mode	0.000%
Standard Deviation	3.642%
Sample Variance	13.267%
峰度	2.37
偏度	0.20
Range	34.731%
Minimum	-18.952%
Maximum	15.779%
Count	1662

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.731%	791	47.59%	1.300%
负向	-2.608%	866	52.11%	-1.359%
Zero	0.000%	5	0.30%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.32. Further, an Excess 峰度 of 2.58 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.28%	3	0.87%	0.87%
-28.28% to -20.92%	3	0.87%	1.74%
-20.92% to -13.55%	9	2.61%	4.35%
-13.55% to -6.19%	47	13.62%	17.97%
-6.19% to 1.18%	121	35.07%	53.04%
1.18% to 8.54%	102	29.57%	82.61%
8.54% to 15.91%	41	11.88%	94.49%
15.91% to 23.27%	9	2.61%	97.10%
23.27% to 30.63%	5	1.45%	98.55%
Greater than 30.63%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.64%	11.00%	75.65%	68.27%
±2σ	-18.46%	20.82%	93.91%	95.45%
±3σ	-28.28%	30.63%	97.68%	99.73%

Descriptive Statistics

均值	1.177%
Standard Error	0.529%
中位数	0.612%
Mode	-0.449%
Standard Deviation	9.819%
Sample Variance	96.408%
峰度	2.58
偏度	0.32
Range	81.112%
Minimum	-37.093%
Maximum	44.019%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.856%	182	52.75%	4.144%
负向	-6.280%	163	47.25%	-2.967%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.22%
12	1 Quarter	15.03%
52	1 Year	10.66%
156	3 Years	10.88%
260	5 Years	13.34%
520	10 Years	13.58%
1,040	20 Years	13.58%
2,600	50 Years	13.58%

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 2.12. Further, an Excess 峰度 of 6.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.43%	0	0.00%	0.00%
-12.43% to -5.66%	0	0.00%	0.00%
-5.66% to 1.11%	0	0.00%	0.00%
1.11% to 7.88%	59	17.05%	17.05%
7.88% to 14.65%	160	46.24%	63.29%
14.65% to 21.42%	67	19.36%	82.66%
21.42% to 28.19%	40	11.56%	94.22%
28.19% to 34.97%	5	1.45%	95.66%
34.97% to 41.73%	7	2.02%	97.69%
Greater than 41.73%	8	2.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.63%	23.68%	81.50%	68.27%
±2σ	-3.40%	32.71%	95.09%	95.45%
±3σ	-12.43%	41.73%	97.69%	99.73%

Descriptive Statistics

均值	14.654%
Standard Error	0.485%
中位数	12.062%
Mode	22.647%
Standard Deviation	9.027%
Sample Variance	81.482%
峰度	6.42
偏度	2.12
Range	63.983%
Minimum	3.249%
Maximum	67.232%
Count	346

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.654%	346	100.00%	14.654%
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 1.24. Further, an Excess 峰度 of 5.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.58%	1	0.29%	0.29%
-30.58% to -22.96%	4	1.16%	1.45%
-22.96% to -15.35%	7	2.02%	3.47%
-15.35% to -7.73%	51	14.74%	18.21%
-7.73% to -0.12%	127	36.71%	54.91%
-0.12% to 7.50%	107	30.92%	85.84%
7.50% to 15.12%	27	7.80%	93.64%
15.12% to 22.73%	13	3.76%	97.40%
22.73% to 30.35%	4	1.16%	98.55%
Greater than 30.35%	5	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.27%	10.04%	77.75%	68.27%
±2σ	-20.42%	20.19%	95.38%	95.45%
±3σ	-30.58%	30.35%	98.27%	99.73%

Descriptive Statistics

均值	-0.115%
Standard Error	0.546%
中位数	-0.825%
Mode	4.485%
Standard Deviation	10.154%
Sample Variance	103.100%
峰度	5.56
偏度	1.24
Range	90.785%
Minimum	-32.139%
Maximum	58.646%
Count	346

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.789%	156	45.09%	3.512%
负向	-6.605%	190	54.91%	-3.627%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.62. Further, an Excess 峰度 of 1.46 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.44%	0	0.00%	0.00%
-51.44% to -37.40%	0	0.00%	0.00%
-37.40% to -23.36%	5	6.33%	6.33%
-23.36% to -9.32%	10	12.66%	18.99%
-9.32% to 4.71%	28	35.44%	54.43%
4.71% to 18.75%	19	24.05%	78.48%
18.75% to 32.79%	12	15.19%	93.67%
32.79% to 46.83%	3	3.80%	97.47%
46.83% to 60.87%	1	1.27%	98.73%
Greater than 60.87%	1	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.00%	23.43%	74.68%	68.27%
±2σ	-32.72%	42.15%	94.94%	95.45%
±3σ	-51.44%	60.87%	98.73%	99.73%

Descriptive Statistics

均值	4.715%
Standard Error	2.106%
中位数	2.750%
Mode	2.817%
Standard Deviation	18.718%
Sample Variance	350.363%
峰度	1.46
偏度	0.62
Range	107.844%
Minimum	-34.990%
Maximum	72.854%
Count	79

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.974%	47	59.49%	9.504%
负向	-11.821%	32	40.51%	-4.788%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	30.36%
12	1 Year	24.10%
36	3 Years	25.01%
60	5 Years	29.09%
120	10 Years	29.18%
240	20 Years	29.18%
600	50 Years	29.18%

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 1.21. Further, an Excess 峰度 of 1.15 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.39%	0	0.00%	0.00%
-16.39% to -3.75%	0	0.00%	0.00%
-3.75% to 8.89%	0	0.00%	0.00%
8.89% to 21.52%	17	21.25%	21.25%
21.52% to 34.16%	30	37.50%	58.75%
34.16% to 46.80%	17	21.25%	80.00%
46.80% to 59.43%	8	10.00%	90.00%
59.43% to 72.07%	3	3.75%	93.75%
72.07% to 84.71%	4	5.00%	98.75%
Greater than 84.71%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.31%	51.01%	71.25%	68.27%
±2σ	0.46%	67.86%	93.75%	95.45%
±3σ	-16.39%	84.71%	98.75%	99.73%

Descriptive Statistics

均值	34.161%
Standard Error	1.884%
中位数	29.137%
Mode	11.198%
Standard Deviation	16.849%
Sample Variance	283.903%
峰度	1.15
偏度	1.21
Range	75.990%
Minimum	11.198%
Maximum	87.188%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.161%	80	100.00%	34.161%
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 0.75. Further, an Excess 峰度 of 0.99 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.14%	0	0.00%	0.00%
-54.14% to -40.90%	1	1.25%	1.25%
-40.90% to -27.65%	2	2.50%	3.75%
-27.65% to -14.40%	15	18.75%	22.50%
-14.40% to -1.16%	26	32.50%	55.00%
-1.16% to 12.09%	24	30.00%	85.00%
12.09% to 25.33%	3	3.75%	88.75%
25.33% to 38.58%	6	7.50%	96.25%
38.58% to 51.82%	2	2.50%	98.75%
Greater than 51.82%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.82%	16.50%	73.75%	68.27%
±2σ	-36.48%	34.16%	93.75%	95.45%
±3σ	-54.14%	51.82%	98.75%	99.73%

Descriptive Statistics

均值	-1.160%
Standard Error	1.974%
中位数	-2.712%
Mode	-41.963%
Standard Deviation	17.660%
Sample Variance	311.880%
峰度	0.99
偏度	0.75
Range	95.481%
Minimum	-41.963%
Maximum	53.518%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.834%	35	43.75%	6.052%
负向	-12.822%	45	56.25%	-7.212%
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 0.01. 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 -86.66%	0	0.00%	0.00%
-86.66% to -61.15%	0	0.00%	0.00%
-61.15% to -35.64%	2	7.69%	7.69%
-35.64% to -10.13%	6	23.08%	30.77%
-10.13% to 15.38%	6	23.08%	53.85%
15.38% to 40.89%	6	23.08%	76.92%
40.89% to 66.40%	4	15.38%	92.31%
66.40% to 91.91%	2	7.69%	100.00%
91.91% to 117.42%	0	0.00%	100.00%
Greater than 117.42%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.63%	49.40%	73.08%	68.27%
±2σ	-52.64%	83.41%	100.00%	95.45%
±3σ	-86.66%	117.42%	100.00%	99.73%

Descriptive Statistics

均值	15.383%
Standard Error	6.671%
中位数	12.549%
Mode	-50.493%
Standard Deviation	34.013%
Sample Variance	1156.892%
峰度	-0.62
偏度	0.01
Range	127.148%
Minimum	-50.493%
Maximum	76.655%
Count	26

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.789%	17	65.39%	22.747%
负向	-21.273%	9	34.62%	-7.364%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	45.69%
12	3 Years	49.15%
20	5 Years	54.40%
40	10 Years	55.98%
80	20 Years	55.98%
200	50 Years	55.98%

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 1.81. Further, an Excess 峰度 of 4.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.12%	0	0.00%	0.00%
-30.12% to -4.67%	0	0.00%	0.00%
-4.67% to 20.77%	0	0.00%	0.00%
20.77% to 46.21%	6	22.22%	22.22%
46.21% to 71.66%	9	33.33%	55.56%
71.66% to 97.10%	9	33.33%	88.89%
97.10% to 122.54%	1	3.70%	92.59%
122.54% to 147.99%	1	3.70%	96.30%
147.99% to 173.43%	0	0.00%	96.30%
Greater than 173.43%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	37.73%	105.58%	81.48%	68.27%
±2σ	3.81%	139.51%	92.59%	95.45%
±3σ	-30.12%	173.43%	96.30%	99.73%

Descriptive Statistics

均值	71.656%
Standard Error	6.529%
中位数	66.367%
Mode	27.331%
Standard Deviation	33.925%
Sample Variance	1150.921%
峰度	4.86
偏度	1.81
Range	161.978%
Minimum	27.331%
Maximum	189.309%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	71.656%	27	100.00%	71.656%
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 1.53. Further, an Excess 峰度 of 2.77 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -105.80%	0	0.00%	0.00%
-105.80% to -80.27%	0	0.00%	0.00%
-80.27% to -54.73%	0	0.00%	0.00%
-54.73% to -29.20%	6	22.22%	22.22%
-29.20% to -3.66%	11	40.74%	62.96%
-3.66% to 21.87%	7	25.93%	88.89%
21.87% to 47.41%	1	3.70%	92.59%
47.41% to 72.94%	1	3.70%	96.30%
72.94% to 98.47%	0	0.00%	96.30%
Greater than 98.47%	1	3.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.71%	30.38%	77.78%	68.27%
±2σ	-71.75%	64.43%	92.59%	95.45%
±3σ	-105.80%	98.48%	96.30%	99.73%

Descriptive Statistics

均值	-3.663%
Standard Error	6.552%
中位数	-11.914%
Mode	-44.330%
Standard Deviation	34.046%
Sample Variance	1159.097%
峰度	2.77
偏度	1.53
Range	146.353%
Minimum	-44.330%
Maximum	102.023%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.423%	10	37.04%	11.268%
负向	-23.714%	17	62.96%	-14.931%
Zero	0.000%	0	0.00%	0.000%

NET 深度分析报告