NTRA 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	3.86%	3.46%	3.36%	4.89%	4.10%	4.18%	195.56	212.28	187.70	221.17
周度	8.39%	8.82%	8.48%	11.21%	9.03%	9.21%	186.16	223.00	170.09	244.08
月度	18.02%	20.34%	17.28%	23.26%	18.80%	19.17%	168.84	245.88	139.90	296.73
季度	32.34%	34.42%	34.83%	43.19%	32.56%	33.21%	147.13	282.16	106.25	390.74
Annual	—	—	—	—	65.11%	66.42%	106.25	390.74	55.40	749.32
Option Time Horizon	—	—	—	—	24.81%	25.31%	158.98	261.13	124.05	334.67

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $203.75 | Strike (K): $210.00 (first OTM call ≥ spot) | Observed Mid-价格: $18.0500 (Bid $16.8000 / Ask $19.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 65.11% (CRR binomial tree, American, n=20 steps) | BS IV: 65.57% (European Black-Scholes) | Yahoo IV (Annual): 66.42% → 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 0.47. Further, an Excess 峰度 of 11.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.43%	15	0.55%	0.55%
-11.43% to -8.54%	22	0.81%	1.36%
-8.54% to -5.64%	85	3.13%	4.49%
-5.64% to -2.74%	333	12.26%	16.75%
-2.74% to 0.16%	934	34.38%	51.12%
0.16% to 3.05%	881	32.43%	83.55%
3.05% to 5.95%	328	12.07%	95.62%
5.95% to 8.85%	75	2.76%	98.38%
8.85% to 11.74%	17	0.63%	99.01%
Greater than 11.74%	27	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.71%	4.02%	79.06%	68.27%
±2σ	-7.57%	7.88%	95.84%	95.45%
±3σ	-11.43%	11.75%	98.45%	99.73%

Descriptive Statistics

均值	0.156%
Standard Error	0.074%
中位数	0.075%
Mode	0.000%
Standard Deviation	3.863%
Sample Variance	14.920%
峰度	11.33
偏度	0.47
Range	72.739%
Minimum	-32.785%
Maximum	39.954%
Count	2717

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.751%	1384	50.94%	1.401%
负向	-2.565%	1319	48.55%	-1.245%
Zero	0.000%	14	0.52%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.99%
20	1 Month	5.23%
60	1 Quarter	4.62%
250	1 Year	3.76%
750	3 Years	4.08%
1,250	5 Years	4.89%
2,500	10 Years	5.12%
5,000	20 Years	5.30%
12,500	50 Years	5.30%

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 5.34. Further, an Excess 峰度 of 70.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.10%	0	0.00%	0.00%
-5.10% to -2.51%	0	0.00%	0.00%
-2.51% to 0.09%	0	0.00%	0.00%
0.09% to 2.68%	358	13.17%	13.17%
2.68% to 5.27%	1368	50.33%	63.50%
5.27% to 7.86%	643	23.66%	87.16%
7.86% to 10.46%	200	7.36%	94.52%
10.46% to 13.05%	78	2.87%	97.39%
13.05% to 15.64%	25	0.92%	98.31%
Greater than 15.64%	46	1.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.81%	8.73%	88.59%	68.27%
±2σ	-1.64%	12.18%	96.58%	95.45%
±3σ	-5.10%	15.64%	98.31%	99.73%

Descriptive Statistics

均值	5.271%
Standard Error	0.066%
中位数	4.506%
Mode	2.564%
Standard Deviation	3.457%
Sample Variance	11.953%
峰度	70.26
偏度	5.34
Range	73.171%
Minimum	1.273%
Maximum	74.444%
Count	2718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.271%	2718	100.00%	5.271%
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 0.18. Further, an Excess 峰度 of 5.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.12%	20	0.74%	0.74%
-10.12% to -7.60%	26	0.96%	1.69%
-7.60% to -5.08%	73	2.69%	4.38%
-5.08% to -2.56%	382	14.05%	18.43%
-2.56% to -0.03%	874	32.16%	50.59%
-0.03% to 2.49%	861	31.68%	82.27%
2.49% to 5.01%	326	11.99%	94.26%
5.01% to 7.54%	108	3.97%	98.23%
7.54% to 10.06%	31	1.14%	99.37%
Greater than 10.06%	17	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.40%	3.33%	76.23%	68.27%
±2σ	-6.76%	6.69%	95.14%	95.45%
±3σ	-10.12%	10.06%	98.64%	99.73%

Descriptive Statistics

均值	-0.033%
Standard Error	0.065%
中位数	-0.083%
Mode	0.000%
Standard Deviation	3.364%
Sample Variance	11.317%
峰度	5.03
偏度	0.18
Range	48.950%
Minimum	-25.445%
Maximum	23.505%
Count	2718

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.469%	1315	48.38%	1.195%
负向	-2.417%	1381	50.81%	-1.228%
Zero	0.000%	22	0.81%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.25. Further, an Excess 峰度 of 3.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.42%	4	0.71%	0.71%
-24.42% to -18.13%	5	0.89%	1.60%
-18.13% to -11.84%	24	4.26%	5.85%
-11.84% to -5.54%	61	10.82%	16.67%
-5.54% to 0.75%	191	33.87%	50.53%
0.75% to 7.04%	174	30.85%	81.38%
7.04% to 13.33%	72	12.77%	94.15%
13.33% to 19.62%	25	4.43%	98.58%
19.62% to 25.91%	3	0.53%	99.11%
Greater than 25.91%	5	0.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.64%	9.13%	75.18%	68.27%
±2σ	-16.03%	17.52%	95.39%	95.45%
±3σ	-24.42%	25.91%	98.40%	99.73%

Descriptive Statistics

均值	0.746%
Standard Error	0.353%
中位数	0.704%
Mode	0.000%
Standard Deviation	8.388%
Sample Variance	70.367%
峰度	3.10
偏度	0.25
Range	78.044%
Minimum	-33.303%
Maximum	44.741%
Count	564

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.358%	301	53.37%	3.393%
负向	-5.788%	258	45.74%	-2.648%
Zero	0.000%	5	0.89%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	12.99%
12	1 Quarter	10.71%
52	1 Year	8.53%
156	3 Years	9.34%
260	5 Years	11.21%
520	10 Years	11.78%
1,040	20 Years	12.10%
2,600	50 Years	12.10%

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 4.42. Further, an Excess 峰度 of 39.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.38%	0	0.00%	0.00%
-13.38% to -6.77%	0	0.00%	0.00%
-6.77% to -0.15%	0	0.00%	0.00%
-0.15% to 6.46%	80	14.16%	14.16%
6.46% to 13.07%	271	47.96%	62.12%
13.07% to 19.68%	133	23.54%	85.66%
19.68% to 26.30%	49	8.67%	94.34%
26.30% to 32.91%	18	3.19%	97.52%
32.91% to 39.52%	5	0.88%	98.41%
Greater than 39.52%	9	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.25%	21.89%	88.14%	68.27%
±2σ	-4.56%	30.71%	96.11%	95.45%
±3σ	-13.38%	39.52%	98.41%	99.73%

Descriptive Statistics

均值	13.072%
Standard Error	0.371%
中位数	11.019%
Mode	5.488%
Standard Deviation	8.817%
Sample Variance	77.732%
峰度	39.89
偏度	4.42
Range	115.967%
Minimum	2.999%
Maximum	118.966%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.072%	565	100.00%	13.072%
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 1.00. Further, an Excess 峰度 of 4.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.50%	2	0.35%	0.35%
-25.50% to -19.14%	4	0.71%	1.06%
-19.14% to -12.78%	20	3.54%	4.60%
-12.78% to -6.42%	77	13.63%	18.23%
-6.42% to -0.06%	201	35.58%	53.81%
-0.06% to 6.31%	172	30.44%	84.25%
6.31% to 12.67%	55	9.73%	93.98%
12.67% to 19.03%	22	3.89%	97.88%
19.03% to 25.39%	6	1.06%	98.94%
Greater than 25.39%	6	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.54%	8.43%	75.40%	68.27%
±2σ	-17.02%	16.91%	95.04%	95.45%
±3σ	-25.51%	25.39%	98.58%	99.73%

Descriptive Statistics

均值	-0.056%
Standard Error	0.357%
中位数	-0.469%
Mode	0.000%
Standard Deviation	8.483%
Sample Variance	71.960%
峰度	4.95
偏度	1.00
Range	80.942%
Minimum	-30.604%
Maximum	50.338%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.528%	255	45.13%	2.946%
负向	-5.526%	307	54.34%	-3.003%
Zero	0.000%	3	0.53%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.49. Further, an Excess 峰度 of 0.38 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -50.64%	0	0.00%	0.00%
-50.64% to -37.13%	1	0.78%	0.78%
-37.13% to -23.61%	7	5.43%	6.20%
-23.61% to -10.09%	21	16.28%	22.48%
-10.09% to 3.42%	39	30.23%	52.71%
3.42% to 16.94%	34	26.36%	79.07%
16.94% to 30.46%	16	12.40%	91.47%
30.46% to 43.98%	9	6.98%	98.45%
43.98% to 57.49%	1	0.78%	99.22%
Greater than 57.49%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.60%	21.45%	72.87%	68.27%
±2σ	-32.62%	39.47%	94.57%	95.45%
±3σ	-50.64%	57.49%	99.22%	99.73%

Descriptive Statistics

均值	3.425%
Standard Error	1.587%
中位数	3.000%
Mode	-38.129%
Standard Deviation	18.023%
Sample Variance	324.844%
峰度	0.38
偏度	0.49
Range	99.536%
Minimum	-38.129%
Maximum	61.407%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.604%	73	56.59%	8.830%
负向	-12.678%	55	42.64%	-5.405%
Zero	0.000%	1	0.78%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	17.09%
12	1 Year	18.14%
36	3 Years	20.89%
60	5 Years	23.26%
120	10 Years	25.85%
240	20 Years	26.32%
600	50 Years	26.32%

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 3.57. Further, an Excess 峰度 of 18.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.81%	0	0.00%	0.00%
-29.81% to -14.56%	0	0.00%	0.00%
-14.56% to 0.70%	0	0.00%	0.00%
0.70% to 15.95%	23	17.69%	17.69%
15.95% to 31.20%	57	43.85%	61.54%
31.20% to 46.46%	35	26.92%	88.46%
46.46% to 61.71%	9	6.92%	95.38%
61.71% to 76.97%	4	3.08%	98.46%
76.97% to 92.22%	0	0.00%	98.46%
Greater than 92.22%	2	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.87%	51.54%	90.77%	68.27%
±2σ	-9.47%	71.88%	97.69%	95.45%
±3σ	-29.81%	92.22%	98.46%	99.73%

Descriptive Statistics

均值	31.205%
Standard Error	1.784%
中位数	27.072%
Mode	9.858%
Standard Deviation	20.338%
Sample Variance	413.638%
峰度	18.93
偏度	3.57
Range	148.954%
Minimum	9.858%
Maximum	158.812%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.205%	130	100.00%	31.205%
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 0.54. Further, an Excess 峰度 of 0.59 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -52.17%	0	0.00%	0.00%
-52.17% to -39.21%	0	0.00%	0.00%
-39.21% to -26.26%	7	5.38%	5.38%
-26.26% to -13.30%	20	15.38%	20.77%
-13.30% to -0.34%	47	36.15%	56.92%
-0.34% to 12.61%	30	23.08%	80.00%
12.61% to 25.57%	15	11.54%	91.54%
25.57% to 38.53%	9	6.92%	98.46%
38.53% to 51.48%	1	0.77%	99.23%
Greater than 51.48%	1	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.62%	16.93%	71.54%	68.27%
±2σ	-34.90%	34.21%	96.15%	95.45%
±3σ	-52.17%	51.48%	99.23%	99.73%

Descriptive Statistics

均值	-0.343%
Standard Error	1.515%
中位数	-2.748%
Mode	15.807%
Standard Deviation	17.276%
Sample Variance	298.467%
峰度	0.59
偏度	0.54
Range	98.825%
Minimum	-37.566%
Maximum	61.259%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.282%	56	43.08%	6.583%
负向	-12.168%	74	56.92%	-6.926%
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 0.39. Further, an Excess 峰度 of 0.74 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -86.40%	0	0.00%	0.00%
-86.40% to -62.14%	0	0.00%	0.00%
-62.14% to -37.88%	4	9.30%	9.30%
-37.88% to -13.62%	2	4.65%	13.95%
-13.62% to 10.63%	19	44.19%	58.14%
10.63% to 34.89%	7	16.28%	74.42%
34.89% to 59.15%	9	20.93%	95.35%
59.15% to 83.41%	1	2.33%	97.67%
83.41% to 107.67%	1	2.33%	100.00%
Greater than 107.67%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.71%	42.98%	74.42%	68.27%
±2σ	-54.05%	75.32%	95.35%	95.45%
±3σ	-86.40%	107.67%	100.00%	99.73%

Descriptive Statistics

均值	10.634%
Standard Error	4.932%
中位数	5.660%
Mode	-54.395%
Standard Deviation	32.344%
Sample Variance	1046.107%
峰度	0.74
偏度	0.39
Range	160.684%
Minimum	-54.395%
Maximum	106.289%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.647%	27	62.79%	17.988%
负向	-19.762%	16	37.21%	-7.353%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.78%
12	3 Years	41.61%
20	5 Years	43.19%
40	10 Years	48.61%
80	20 Years	49.00%
200	50 Years	49.00%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.77%	0	0.00%	0.00%
-40.77% to -14.95%	0	0.00%	0.00%
-14.95% to 10.86%	0	0.00%	0.00%
10.86% to 36.68%	8	18.18%	18.18%
36.68% to 62.49%	22	50.00%	68.18%
62.49% to 88.31%	6	13.64%	81.82%
88.31% to 114.12%	4	9.09%	90.91%
114.12% to 139.94%	2	4.55%	95.45%
139.94% to 165.76%	1	2.27%	97.73%
Greater than 165.76%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	28.07%	96.91%	81.82%	68.27%
±2σ	-6.35%	131.34%	93.18%	95.45%
±3σ	-40.77%	165.76%	97.73%	99.73%

Descriptive Statistics

均值	62.493%
Standard Error	5.189%
中位数	51.723%
Mode	23.739%
Standard Deviation	34.421%
Sample Variance	1184.781%
峰度	3.55
偏度	1.81
Range	162.928%
Minimum	23.739%
Maximum	186.667%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	62.493%	44	100.00%	62.493%
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 1.62. Further, an Excess 峰度 of 3.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -104.42%	0	0.00%	0.00%
-104.42% to -78.29%	0	0.00%	0.00%
-78.29% to -52.17%	0	0.00%	0.00%
-52.17% to -26.05%	10	22.73%	22.73%
-26.05% to 0.07%	17	38.64%	61.36%
0.07% to 26.19%	12	27.27%	88.64%
26.19% to 52.31%	0	0.00%	88.64%
52.31% to 78.43%	3	6.82%	95.45%
78.43% to 104.55%	1	2.27%	97.73%
Greater than 104.55%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.76%	34.90%	81.82%	68.27%
±2σ	-69.59%	69.73%	95.45%	95.45%
±3σ	-104.42%	104.55%	97.73%	99.73%

Descriptive Statistics

均值	0.069%
Standard Error	5.250%
中位数	-3.919%
Mode	-51.611%
Standard Deviation	34.828%
Sample Variance	1212.957%
峰度	3.21
偏度	1.62
Range	168.702%
Minimum	-51.611%
Maximum	117.091%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.440%	17	38.64%	12.147%
负向	-19.683%	27	61.36%	-12.078%
Zero	0.000%	0	0.00%	0.000%

NTRA 深度分析报告