NOW 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	2.60%	1.92%	2.18%	3.36%	3.55%	3.63%	87.02	93.43	83.99	96.81
周度	5.43%	4.89%	5.44%	8.15%	7.82%	7.99%	83.39	97.50	77.12	105.43
月度	9.46%	8.45%	9.50%	16.63%	16.28%	16.62%	76.63	106.11	65.12	124.86
季度	15.85%	14.71%	16.22%	28.16%	28.19%	28.79%	68.02	119.54	51.31	158.47
Annual	—	—	—	—	56.38%	57.58%	51.31	158.47	29.20	278.49
Option Time Horizon	—	—	—	—	21.49%	21.94%	72.74	111.78	58.67	138.57

Calculation Notes: Computed at 2026-04-26T02:44 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $90.17 | Strike (K): $92.00 (first OTM call ≥ spot) | Observed Mid-价格: $7.1500 (Bid $7.0000 / Ask $7.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 56.38% (CRR binomial tree, American, n=20 steps) | BS IV: 56.60% (European Black-Scholes) | Yahoo IV (Annual): 57.58% → 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 0.03. Further, an Excess 峰度 of 4.78 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.68%	27	0.78%	0.78%
-7.68% to -5.73%	36	1.04%	1.81%
-5.73% to -3.78%	143	4.12%	5.93%
-3.78% to -1.83%	380	10.94%	16.87%
-1.83% to 0.12%	1101	31.70%	48.57%
0.12% to 2.07%	1220	35.13%	83.70%
2.07% to 4.02%	391	11.26%	94.96%
4.02% to 5.97%	105	3.02%	97.98%
5.97% to 7.92%	43	1.24%	99.22%
Greater than 7.92%	27	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.48%	2.72%	77.51%	68.27%
±2σ	-5.08%	5.32%	94.90%	95.45%
±3σ	-7.68%	7.92%	98.45%	99.73%

Descriptive Statistics

均值	0.118%
Standard Error	0.044%
中位数	0.177%
Mode	-1.606%
Standard Deviation	2.599%
Sample Variance	6.753%
峰度	4.78
偏度	0.03
Range	33.233%
Minimum	-17.745%
Maximum	15.488%
Count	3473

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.799%	1873	53.93%	0.970%
负向	-1.856%	1596	45.95%	-0.853%
Zero	0.000%	4	0.12%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.50%
20	1 Month	6.45%
60	1 Quarter	5.59%
250	1 Year	3.40%
750	3 Years	3.03%
1,250	5 Years	3.36%
2,500	10 Years	3.26%
5,000	20 Years	3.41%
12,500	50 Years	3.41%

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 2.33. Further, an Excess 峰度 of 10.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.52%	0	0.00%	0.00%
-2.52% to -1.08%	0	0.00%	0.00%
-1.08% to 0.35%	0	0.00%	0.00%
0.35% to 1.79%	660	19.00%	19.00%
1.79% to 3.23%	1544	44.44%	63.44%
3.23% to 4.67%	704	20.26%	83.71%
4.67% to 6.11%	291	8.38%	92.08%
6.11% to 7.55%	146	4.20%	96.29%
7.55% to 8.99%	70	2.01%	98.30%
Greater than 8.99%	59	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.31%	5.15%	82.67%	68.27%
±2σ	-0.60%	7.07%	95.34%	95.45%
±3σ	-2.52%	8.99%	98.30%	99.73%

Descriptive Statistics

均值	3.232%
Standard Error	0.033%
中位数	2.689%
Mode	1.695%
Standard Deviation	1.918%
Sample Variance	3.677%
峰度	10.10
偏度	2.33
Range	21.778%
Minimum	0.625%
Maximum	22.403%
Count	3474

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.232%	3474	100.00%	3.232%
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 0.34. Further, an Excess 峰度 of 2.97 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.54%	15	0.43%	0.43%
-6.54% to -4.91%	41	1.18%	1.61%
-4.91% to -3.27%	117	3.37%	4.98%
-3.27% to -1.64%	450	12.95%	17.93%
-1.64% to -0.01%	1202	34.60%	52.53%
-0.01% to 1.63%	1039	29.91%	82.44%
1.63% to 3.26%	390	11.23%	93.67%
3.26% to 4.89%	134	3.86%	97.52%
4.89% to 6.53%	56	1.61%	99.14%
Greater than 6.53%	30	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.18%	2.17%	75.94%	68.27%
±2σ	-4.36%	4.35%	94.16%	95.45%
±3σ	-6.54%	6.53%	98.70%	99.73%

Descriptive Statistics

均值	-0.006%
Standard Error	0.037%
中位数	-0.118%
Mode	-0.398%
Standard Deviation	2.178%
Sample Variance	4.742%
峰度	2.97
偏度	0.34
Range	25.793%
Minimum	-12.222%
Maximum	13.571%
Count	3474

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.664%	1641	47.24%	0.786%
负向	-1.504%	1830	52.68%	-0.792%
Zero	0.000%	3	0.09%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.13. Further, an Excess 峰度 of 1.50 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.74%	3	0.42%	0.42%
-15.74% to -11.67%	14	1.94%	2.36%
-11.67% to -7.59%	32	4.44%	6.80%
-7.59% to -3.52%	80	11.10%	17.89%
-3.52% to 0.55%	222	30.79%	48.68%
0.55% to 4.62%	235	32.59%	81.28%
4.62% to 8.70%	93	12.90%	94.17%
8.70% to 12.77%	32	4.44%	98.61%
12.77% to 16.84%	8	1.11%	99.72%
Greater than 16.84%	2	0.28%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.88%	5.98%	74.48%	68.27%
±2σ	-10.31%	11.41%	93.34%	95.45%
±3σ	-15.74%	16.84%	99.31%	99.73%

Descriptive Statistics

均值	0.551%
Standard Error	0.202%
中位数	0.751%
Mode	-2.535%
Standard Deviation	5.431%
Sample Variance	29.491%
峰度	1.50
偏度	-0.13
Range	47.917%
Minimum	-23.919%
Maximum	23.998%
Count	721

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.111%	407	56.45%	2.321%
负向	-4.062%	314	43.55%	-1.769%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	16.79%
12	1 Quarter	13.46%
52	1 Year	8.16%
156	3 Years	7.39%
260	5 Years	8.15%
520	10 Years	7.73%
1,040	20 Years	8.10%
2,600	50 Years	8.10%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.21%	0	0.00%	0.00%
-6.21% to -2.54%	0	0.00%	0.00%
-2.54% to 1.13%	0	0.00%	0.00%
1.13% to 4.79%	142	19.67%	19.67%
4.79% to 8.46%	321	44.46%	64.13%
8.46% to 12.13%	135	18.70%	82.83%
12.13% to 15.79%	66	9.14%	91.97%
15.79% to 19.46%	27	3.74%	95.71%
19.46% to 23.13%	19	2.63%	98.34%
Greater than 23.13%	12	1.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.57%	13.35%	80.47%	68.27%
±2σ	-1.32%	18.24%	94.32%	95.45%
±3σ	-6.21%	23.13%	98.34%	99.73%

Descriptive Statistics

均值	8.461%
Standard Error	0.182%
中位数	7.047%
Mode	2.844%
Standard Deviation	4.889%
Sample Variance	23.903%
峰度	4.27
偏度	1.81
Range	33.770%
Minimum	1.812%
Maximum	35.582%
Count	722

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.461%	722	100.00%	8.461%
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 0.72. Further, an Excess 峰度 of 2.48 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.47%	1	0.14%	0.14%
-16.47% to -12.39%	6	0.83%	0.97%
-12.39% to -8.31%	30	4.16%	5.12%
-8.31% to -4.22%	88	12.19%	17.31%
-4.22% to -0.14%	271	37.53%	54.85%
-0.14% to 3.94%	201	27.84%	82.69%
3.94% to 8.02%	74	10.25%	92.94%
8.02% to 12.10%	30	4.16%	97.09%
12.10% to 16.18%	15	2.08%	99.17%
Greater than 16.18%	6	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.58%	5.30%	75.35%	68.27%
±2σ	-11.03%	10.74%	93.63%	95.45%
±3σ	-16.47%	16.18%	99.03%	99.73%

Descriptive Statistics

均值	-0.143%
Standard Error	0.203%
中位数	-0.693%
Mode	-1.140%
Standard Deviation	5.442%
Sample Variance	29.612%
峰度	2.48
偏度	0.72
Range	49.047%
Minimum	-18.627%
Maximum	30.420%
Count	722

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.474%	312	43.21%	1.933%
负向	-3.675%	408	56.51%	-2.077%
Zero	0.000%	2	0.28%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.09. Further, an Excess 峰度 of 0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -26.17%	1	0.60%	0.60%
-26.17% to -19.07%	2	1.20%	1.81%
-19.07% to -11.98%	6	3.61%	5.42%
-11.98% to -4.88%	29	17.47%	22.89%
-4.88% to 2.21%	46	27.71%	50.60%
2.21% to 9.31%	45	27.11%	77.71%
9.31% to 16.40%	23	13.86%	91.57%
16.40% to 23.50%	12	7.23%	98.80%
23.50% to 30.59%	2	1.20%	100.00%
Greater than 30.59%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.25%	11.67%	71.08%	68.27%
±2σ	-16.71%	21.13%	95.18%	95.45%
±3σ	-26.17%	30.59%	99.40%	99.73%

Descriptive Statistics

均值	2.211%
Standard Error	0.734%
中位数	1.873%
Mode	-7.692%
Standard Deviation	9.460%
Sample Variance	89.488%
峰度	0.21
偏度	-0.09
Range	52.504%
Minimum	-28.131%
Maximum	24.373%
Count	166

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.350%	98	59.04%	4.930%
负向	-6.637%	68	40.96%	-2.719%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	23.36%
12	1 Year	15.35%
36	3 Years	15.58%
60	5 Years	16.63%
120	10 Years	15.87%
240	20 Years	16.77%
600	50 Years	16.77%

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 1.29. Further, an Excess 峰度 of 1.60 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.90%	0	0.00%	0.00%
-6.90% to -0.56%	0	0.00%	0.00%
-0.56% to 5.77%	0	0.00%	0.00%
5.77% to 12.11%	41	24.55%	24.55%
12.11% to 18.44%	60	35.93%	60.48%
18.44% to 24.77%	36	21.56%	82.04%
24.77% to 31.11%	16	9.58%	91.62%
31.11% to 37.44%	9	5.39%	97.01%
37.44% to 43.77%	1	0.60%	97.60%
Greater than 43.77%	4	2.40%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.99%	26.88%	74.25%	68.27%
±2σ	1.55%	35.33%	94.61%	95.45%
±3σ	-6.90%	43.77%	97.60%	99.73%

Descriptive Statistics

均值	18.439%
Standard Error	0.653%
中位数	15.934%
Mode	20.407%
Standard Deviation	8.445%
Sample Variance	71.313%
峰度	1.60
偏度	1.29
Range	41.629%
Minimum	6.923%
Maximum	48.552%
Count	167

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.439%	167	100.00%	18.439%
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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.66. Further, an Excess 峰度 of 1.40 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.73%	0	0.00%	0.00%
-29.73% to -22.61%	0	0.00%	0.00%
-22.61% to -15.49%	10	5.99%	5.99%
-15.49% to -8.36%	27	16.17%	22.16%
-8.36% to -1.24%	49	29.34%	51.50%
-1.24% to 5.88%	49	29.34%	80.84%
5.88% to 13.01%	21	12.57%	93.41%
13.01% to 20.13%	7	4.19%	97.60%
20.13% to 27.25%	2	1.20%	98.80%
Greater than 27.25%	2	1.20%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.74%	8.26%	72.46%	68.27%
±2σ	-20.23%	17.76%	96.41%	95.45%
±3σ	-29.73%	27.25%	98.80%	99.73%

Descriptive Statistics

均值	-1.239%
Standard Error	0.735%
中位数	-1.710%
Mode	-21.946%
Standard Deviation	9.498%
Sample Variance	90.204%
峰度	1.40
偏度	0.66
Range	58.548%
Minimum	-21.946%
Maximum	36.602%
Count	167

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.103%	73	43.71%	3.105%
负向	-7.800%	93	55.69%	-4.344%
Zero	0.000%	1	0.60%	0.000%

收盘-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 0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.07%	0	0.00%	0.00%
-41.07% to -29.18%	1	1.82%	1.82%
-29.18% to -17.30%	4	7.27%	9.09%
-17.30% to -5.41%	8	14.55%	23.64%
-5.41% to 6.48%	14	25.45%	49.09%
6.48% to 18.36%	19	34.55%	83.64%
18.36% to 30.25%	6	10.91%	94.55%
30.25% to 42.13%	2	3.64%	98.18%
42.13% to 54.02%	1	1.82%	100.00%
Greater than 54.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.37%	22.33%	70.91%	68.27%
±2σ	-25.22%	38.17%	96.36%	95.45%
±3σ	-41.07%	54.02%	100.00%	99.73%

Descriptive Statistics

均值	6.477%
Standard Error	2.137%
中位数	7.316%
Mode	-36.358%
Standard Deviation	15.848%
Sample Variance	251.173%
峰度	0.56
偏度	-0.23
Range	84.121%
Minimum	-36.358%
Maximum	47.763%
Count	55

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.219%	39	70.91%	10.083%
负向	-12.396%	16	29.09%	-3.606%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	25.95%
12	3 Years	27.90%
20	5 Years	28.16%
40	10 Years	27.42%
80	20 Years	29.71%
200	50 Years	29.71%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.74. Further, an Excess 峰度 of -0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.47%	0	0.00%	0.00%
-9.47% to 1.56%	0	0.00%	0.00%
1.56% to 12.59%	0	0.00%	0.00%
12.59% to 23.62%	13	23.21%	23.21%
23.62% to 34.65%	20	35.71%	58.93%
34.65% to 45.68%	10	17.86%	76.79%
45.68% to 56.72%	8	14.29%	91.07%
56.72% to 67.75%	4	7.14%	98.21%
67.75% to 78.78%	1	1.79%	100.00%
Greater than 78.78%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	19.95%	49.36%	66.07%	68.27%
±2σ	5.24%	64.07%	96.43%	95.45%
±3σ	-9.47%	78.78%	100.00%	99.73%

Descriptive Statistics

均值	34.653%
Standard Error	1.965%
中位数	31.111%
Mode	13.190%
Standard Deviation	14.708%
Sample Variance	216.312%
峰度	-0.31
偏度	0.74
Range	57.911%
Minimum	13.190%
Maximum	71.101%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.653%	56	100.00%	34.653%
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 1.37. Further, an Excess 峰度 of 3.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.53%	0	0.00%	0.00%
-52.53% to -40.37%	0	0.00%	0.00%
-40.37% to -28.20%	1	1.79%	1.79%
-28.20% to -16.04%	7	12.50%	14.29%
-16.04% to -3.88%	24	42.86%	57.14%
-3.88% to 8.29%	15	26.79%	83.93%
8.29% to 20.45%	4	7.14%	91.07%
20.45% to 32.62%	4	7.14%	98.21%
32.62% to 44.78%	0	0.00%	98.21%
Greater than 44.78%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.09%	12.34%	78.57%	68.27%
±2σ	-36.31%	28.56%	94.64%	95.45%
±3σ	-52.53%	44.78%	98.21%	99.73%

Descriptive Statistics

均值	-3.875%
Standard Error	2.168%
中位数	-6.930%
Mode	-35.718%
Standard Deviation	16.220%
Sample Variance	263.103%
峰度	3.06
偏度	1.37
Range	93.335%
Minimum	-35.718%
Maximum	57.617%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.969%	15	26.79%	4.545%
负向	-11.500%	41	73.21%	-8.420%
Zero	0.000%	0	0.00%	0.000%

NOW 深度分析报告