NIO 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	5.48%	4.54%	4.39%	6.17%	4.59%	4.58%	5.93	6.50	5.67	6.81
周度	12.07%	13.12%	11.42%	14.94%	10.11%	10.08%	5.61	6.87	5.07	7.60
月度	28.17%	27.80%	27.13%	32.13%	21.04%	20.97%	5.03	7.66	4.08	9.46
季度	71.03%	79.12%	51.03%	57.89%	36.44%	36.33%	4.31	8.94	3.00	12.87
Annual	—	—	—	—	72.88%	72.66%	3.00	12.87	1.45	26.68
Option Time Horizon	—	—	—	—	27.77%	27.69%	4.70	8.20	3.56	10.82

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $6.21 | Strike (K): $7.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.4050 (Bid $0.4000 / Ask $0.4100) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 72.88% (CRR binomial tree, American, n=20 steps) | BS IV: 72.17% (European Black-Scholes) | Yahoo IV (Annual): 72.66% → 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 2.39. Further, an Excess 峰度 of 25.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.31%	3	0.16%	0.16%
-16.31% to -12.20%	12	0.63%	0.78%
-12.20% to -8.09%	51	2.67%	3.45%
-8.09% to -3.97%	275	14.38%	17.83%
-3.97% to 0.14%	672	35.13%	52.95%
0.14% to 4.25%	585	30.58%	83.53%
4.25% to 8.36%	212	11.08%	94.62%
8.36% to 12.47%	68	3.55%	98.17%
12.47% to 16.58%	17	0.89%	99.06%
Greater than 16.58%	18	0.94%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.34%	5.62%	76.79%	68.27%
±2σ	-10.83%	11.10%	96.08%	95.45%
±3σ	-16.31%	16.58%	98.90%	99.73%

Descriptive Statistics

均值	0.138%
Standard Error	0.125%
中位数	-0.227%
Mode	0.000%
Standard Deviation	5.482%
Sample Variance	30.048%
峰度	25.38
偏度	2.39
Range	96.919%
Minimum	-21.161%
Maximum	75.758%
Count	1913

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.115%	911	47.62%	1.960%
负向	-3.556%	980	51.23%	-1.822%
Zero	0.000%	22	1.15%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.27%
20	1 Month	4.93%
60	1 Quarter	5.25%
250	1 Year	5.15%
750	3 Years	5.73%
1,250	5 Years	6.17%
2,500	10 Years	7.01%
5,000	20 Years	7.01%
12,500	50 Years	7.01%

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 6.83. Further, an Excess 峰度 of 99.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.04%	0	0.00%	0.00%
-7.04% to -3.63%	0	0.00%	0.00%
-3.63% to -0.22%	0	0.00%	0.00%
-0.22% to 3.19%	207	10.82%	10.82%
3.19% to 6.60%	987	51.57%	62.38%
6.60% to 10.01%	476	24.87%	87.25%
10.01% to 13.41%	152	7.94%	95.19%
13.41% to 16.82%	47	2.46%	97.65%
16.82% to 20.23%	23	1.20%	98.85%
Greater than 20.23%	22	1.15%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.05%	11.14%	89.45%	68.27%
±2σ	-2.49%	15.68%	97.07%	95.45%
±3σ	-7.03%	20.23%	98.85%	99.73%

Descriptive Statistics

均值	6.597%
Standard Error	0.104%
中位数	5.579%
Mode	3.333%
Standard Deviation	4.544%
Sample Variance	20.647%
峰度	99.39
偏度	6.83
Range	93.628%
Minimum	1.004%
Maximum	94.632%
Count	1914

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.597%	1914	100.00%	6.597%
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 -0.46. Further, an Excess 峰度 of 7.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.93%	9	0.47%	0.47%
-12.93% to -9.63%	21	1.10%	1.57%
-9.63% to -6.34%	76	3.97%	5.54%
-6.34% to -3.04%	249	13.01%	18.55%
-3.04% to 0.26%	576	30.09%	48.64%
0.26% to 3.55%	628	32.81%	81.45%
3.55% to 6.85%	247	12.90%	94.36%
6.85% to 10.15%	76	3.97%	98.33%
10.15% to 13.44%	21	1.10%	99.43%
Greater than 13.44%	11	0.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.14%	4.65%	75.60%	68.27%
±2σ	-8.53%	9.05%	95.66%	95.45%
±3σ	-12.93%	13.44%	98.96%	99.73%

Descriptive Statistics

均值	0.257%
Standard Error	0.100%
中位数	0.380%
Mode	0.000%
Standard Deviation	4.395%
Sample Variance	19.315%
峰度	7.44
偏度	-0.46
Range	70.810%
Minimum	-42.931%
Maximum	27.879%
Count	1914

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.228%	1019	53.24%	1.719%
负向	-3.279%	853	44.57%	-1.461%
Zero	0.000%	42	2.19%	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 0.79. Further, an Excess 峰度 of 2.34 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.59%	1	0.25%	0.25%
-35.59% to -26.54%	2	0.50%	0.76%
-26.54% to -17.48%	10	2.52%	3.27%
-17.48% to -8.43%	73	18.39%	21.66%
-8.43% to 0.62%	138	34.76%	56.42%
0.62% to 9.67%	106	26.70%	83.12%
9.67% to 18.73%	35	8.82%	91.94%
18.73% to 27.78%	20	5.04%	96.98%
27.78% to 36.83%	7	1.76%	98.74%
Greater than 36.83%	5	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.45%	12.69%	75.06%	68.27%
±2σ	-23.52%	24.76%	94.46%	95.45%
±3σ	-35.59%	36.83%	98.49%	99.73%

Descriptive Statistics

均值	0.620%
Standard Error	0.606%
中位数	-0.449%
Mode	0.000%
Standard Deviation	12.070%
Sample Variance	145.689%
峰度	2.34
偏度	0.79
Range	101.845%
Minimum	-42.647%
Maximum	59.198%
Count	397

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.340%	180	45.34%	4.688%
负向	-7.618%	212	53.40%	-4.068%
Zero	0.000%	5	1.26%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.21%
12	1 Quarter	12.77%
52	1 Year	12.38%
156	3 Years	14.14%
260	5 Years	14.94%
520	10 Years	17.01%
1,040	20 Years	17.01%
2,600	50 Years	17.01%

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 4.58. Further, an Excess 峰度 of 37.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.60%	0	0.00%	0.00%
-20.60% to -10.76%	0	0.00%	0.00%
-10.76% to -0.92%	0	0.00%	0.00%
-0.92% to 8.92%	41	10.30%	10.30%
8.92% to 18.75%	219	55.03%	65.33%
18.75% to 28.59%	82	20.60%	85.93%
28.59% to 38.43%	34	8.54%	94.47%
38.43% to 48.27%	13	3.27%	97.74%
48.27% to 58.10%	4	1.01%	98.74%
Greater than 58.10%	5	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.64%	31.87%	87.94%	68.27%
±2σ	-7.48%	44.99%	96.73%	95.45%
±3σ	-20.60%	58.11%	98.74%	99.73%

Descriptive Statistics

均值	18.754%
Standard Error	0.657%
中位数	15.226%
Mode	7.928%
Standard Deviation	13.117%
Sample Variance	172.044%
峰度	37.26
偏度	4.58
Range	153.614%
Minimum	4.330%
Maximum	157.944%
Count	398

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.754%	398	100.00%	18.754%
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 0.23. Further, an Excess 峰度 of 1.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.17%	2	0.50%	0.50%
-33.17% to -24.61%	5	1.26%	1.76%
-24.61% to -16.05%	19	4.77%	6.53%
-16.05% to -7.48%	37	9.30%	15.83%
-7.48% to 1.08%	142	35.68%	51.51%
1.08% to 9.64%	116	29.15%	80.65%
9.64% to 18.20%	53	13.32%	93.97%
18.20% to 26.77%	17	4.27%	98.24%
26.77% to 35.33%	3	0.75%	98.99%
Greater than 35.33%	4	1.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.34%	12.50%	72.86%	68.27%
±2σ	-21.75%	23.91%	94.97%	95.45%
±3σ	-33.17%	35.33%	98.49%	99.73%

Descriptive Statistics

均值	1.079%
Standard Error	0.572%
中位数	0.776%
Mode	0.000%
Standard Deviation	11.416%
Sample Variance	130.333%
峰度	1.61
偏度	0.23
Range	86.069%
Minimum	-37.359%
Maximum	48.710%
Count	398

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.998%	212	53.27%	4.793%
负向	-8.121%	182	45.73%	-3.714%
Zero	0.000%	4	1.00%	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 0.88. Further, an Excess 峰度 of 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -81.12%	0	0.00%	0.00%
-81.12% to -59.99%	0	0.00%	0.00%
-59.99% to -38.86%	2	2.20%	2.20%
-38.86% to -17.73%	18	19.78%	21.98%
-17.73% to 3.40%	34	37.36%	59.34%
3.40% to 24.53%	19	20.88%	80.22%
24.53% to 45.66%	10	10.99%	91.21%
45.66% to 66.79%	6	6.59%	97.80%
66.79% to 87.92%	1	1.10%	98.90%
Greater than 87.92%	1	1.10%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.77%	31.58%	76.92%	68.27%
±2σ	-52.95%	59.75%	95.60%	95.45%
±3σ	-81.12%	87.92%	98.90%	99.73%

Descriptive Statistics

均值	3.402%
Standard Error	2.953%
中位数	-3.062%
Mode	-46.708%
Standard Deviation	28.174%
Sample Variance	793.772%
峰度	0.70
偏度	0.88
Range	140.678%
Minimum	-46.708%
Maximum	93.970%
Count	91

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.550%	41	45.05%	12.413%
负向	-16.400%	50	54.95%	-9.011%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	25.49%
12	1 Year	28.37%
36	3 Years	31.48%
60	5 Years	32.13%
120	10 Years	38.45%
240	20 Years	38.45%
600	50 Years	38.45%

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 1.59. Further, an Excess 峰度 of 2.73 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.86%	0	0.00%	0.00%
-34.86% to -14.02%	0	0.00%	0.00%
-14.02% to 6.83%	0	0.00%	0.00%
6.83% to 27.68%	22	23.91%	23.91%
27.68% to 48.53%	35	38.04%	61.96%
48.53% to 69.38%	19	20.65%	82.61%
69.38% to 90.23%	7	7.61%	90.22%
90.23% to 111.08%	4	4.35%	94.57%
111.08% to 131.93%	4	4.35%	98.91%
Greater than 131.93%	1	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.73%	76.33%	79.35%	68.27%
±2σ	-7.06%	104.13%	94.57%	95.45%
±3σ	-34.86%	131.93%	98.91%	99.73%

Descriptive Statistics

均值	48.533%
Standard Error	2.898%
中位数	41.919%
Mode	17.253%
Standard Deviation	27.799%
Sample Variance	772.802%
峰度	2.73
偏度	1.59
Range	140.691%
Minimum	17.253%
Maximum	157.944%
Count	92

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	48.533%	92	100.00%	48.533%
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 0.65. Further, an Excess 峰度 of 0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -77.14%	0	0.00%	0.00%
-77.14% to -56.80%	0	0.00%	0.00%
-56.80% to -36.45%	3	3.26%	3.26%
-36.45% to -16.11%	21	22.83%	26.09%
-16.11% to 4.24%	24	26.09%	52.17%
4.24% to 24.59%	25	27.17%	79.35%
24.59% to 44.93%	13	14.13%	93.48%
44.93% to 65.28%	4	4.35%	97.83%
65.28% to 85.62%	1	1.09%	98.91%
Greater than 85.62%	1	1.09%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.89%	31.37%	70.65%	68.27%
±2σ	-50.02%	58.49%	94.57%	95.45%
±3σ	-77.14%	85.62%	98.91%	99.73%

Descriptive Statistics

均值	4.239%
Standard Error	2.828%
中位数	4.033%
Mode	-48.187%
Standard Deviation	27.128%
Sample Variance	735.904%
峰度	0.71
偏度	0.65
Range	140.736%
Minimum	-48.187%
Maximum	92.549%
Count	92

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.966%	51	55.44%	12.731%
负向	-19.055%	41	44.56%	-8.492%
Zero	0.000%	0	0.00%	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 1.82. Further, an Excess 峰度 of 3.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -197.54%	0	0.00%	0.00%
-197.54% to -144.27%	0	0.00%	0.00%
-144.27% to -91.00%	0	0.00%	0.00%
-91.00% to -37.73%	5	16.67%	16.67%
-37.73% to 15.54%	14	46.67%	63.33%
15.54% to 68.81%	6	20.00%	83.33%
68.81% to 122.09%	2	6.67%	90.00%
122.09% to 175.36%	2	6.67%	96.67%
175.36% to 228.63%	0	0.00%	96.67%
Greater than 228.63%	1	3.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-55.48%	86.57%	83.33%	68.27%
±2σ	-126.51%	157.60%	93.33%	95.45%
±3σ	-197.54%	228.63%	96.67%	99.73%

Descriptive Statistics

均值	15.544%
Standard Error	12.968%
中位数	-8.019%
Mode	-58.213%
Standard Deviation	71.028%
Sample Variance	5045.001%
峰度	3.41
偏度	1.82
Range	308.360%
Minimum	-58.213%
Maximum	250.147%
Count	30

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	73.272%	13	43.33%	31.751%
负向	-28.602%	17	56.67%	-16.208%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	55.32%
12	3 Years	59.32%
20	5 Years	57.89%
40	10 Years	83.29%
80	20 Years	83.29%
200	50 Years	83.29%

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 2.50. Further, an Excess 峰度 of 8.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -122.06%	0	0.00%	0.00%
-122.06% to -62.72%	0	0.00%	0.00%
-62.72% to -3.38%	0	0.00%	0.00%
-3.38% to 55.97%	5	16.13%	16.13%
55.97% to 115.31%	14	45.16%	61.29%
115.31% to 174.65%	9	29.03%	90.32%
174.65% to 233.99%	1	3.23%	93.55%
233.99% to 293.34%	1	3.23%	96.77%
293.34% to 352.68%	0	0.00%	96.77%
Greater than 352.68%	1	3.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	36.19%	194.43%	87.10%	68.27%
±2σ	-42.94%	273.56%	93.55%	95.45%
±3σ	-122.06%	352.68%	96.77%	99.73%

Descriptive Statistics

均值	115.309%
Standard Error	14.211%
中位数	102.998%
Mode	34.165%
Standard Deviation	79.123%
Sample Variance	6260.490%
峰度	8.36
偏度	2.50
Range	399.601%
Minimum	34.165%
Maximum	433.766%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	115.309%	31	100.00%	115.309%
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 0.56. Further, an Excess 峰度 of 0.06 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -140.80%	0	0.00%	0.00%
-140.80% to -102.53%	0	0.00%	0.00%
-102.53% to -64.25%	1	3.23%	3.23%
-64.25% to -25.98%	5	16.13%	19.35%
-25.98% to 12.29%	11	35.48%	54.84%
12.29% to 50.57%	7	22.58%	77.42%
50.57% to 88.84%	4	12.90%	90.32%
88.84% to 127.12%	2	6.45%	96.77%
127.12% to 165.39%	1	3.23%	100.00%
Greater than 165.39%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-38.74%	63.33%	74.19%	68.27%
±2σ	-89.77%	114.36%	96.77%	95.45%
±3σ	-140.80%	165.39%	100.00%	99.73%

Descriptive Statistics

均值	12.295%
Standard Error	9.166%
中位数	3.812%
Mode	-72.362%
Standard Deviation	51.033%
Sample Variance	2604.406%
峰度	0.06
偏度	0.56
Range	210.293%
Minimum	-72.362%
Maximum	137.931%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.308%	18	58.06%	26.308%
负向	-33.414%	13	41.94%	-14.012%
Zero	0.000%	0	0.00%	0.000%

NIO 深度分析报告