OCGN 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	10.00%	10.74%	6.90%	8.37%	7.82%	7.83%	1.54	1.80	1.42	1.94
周度	45.30%	60.91%	29.96%	19.18%	17.22%	17.23%	1.40	1.97	1.18	2.34
月度	68.11%	154.66%	72.80%	42.25%	35.85%	35.86%	1.16	2.38	0.81	3.40
季度	129.22%	310.05%	109.28%	80.29%	62.10%	62.11%	0.89	3.09	0.48	5.75
Annual	—	—	—	—	124.19%	124.22%	0.48	5.75	0.14	19.90
Option Time Horizon	—	—	—	—	47.32%	47.33%	1.03	2.66	0.64	4.28

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $1.66 | Strike (K): $2.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.2000 (Bid $0.1500 / Ask $0.2500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 124.19% (CRR binomial tree, American, n=20 steps) | BS IV: 123.89% (European Black-Scholes) | Yahoo IV (Annual): 124.22% → 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 9.08. Further, an Excess 峰度 of 182.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.82%	8	0.28%	0.28%
-29.82% to -22.32%	7	0.25%	0.53%
-22.32% to -14.82%	23	0.81%	1.33%
-14.82% to -7.32%	176	6.16%	7.49%
-7.32% to 0.18%	1426	49.93%	57.42%
0.18% to 7.68%	994	34.80%	92.23%
7.68% to 15.18%	150	5.25%	97.48%
15.18% to 22.68%	39	1.37%	98.84%
22.68% to 30.18%	9	0.32%	99.16%
Greater than 30.18%	24	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.82%	10.18%	91.14%	68.27%
±2σ	-19.82%	20.18%	97.79%	95.45%
±3σ	-29.82%	30.18%	98.88%	99.73%

Descriptive Statistics

均值	0.183%
Standard Error	0.187%
中位数	-0.496%
Mode	0.000%
Standard Deviation	10.000%
Sample Variance	99.991%
峰度	182.06
偏度	9.08
Range	295.544%
Minimum	-72.563%
Maximum	222.981%
Count	2856

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.718%	1226	42.93%	2.455%
负向	-4.337%	1496	52.38%	-2.272%
Zero	0.000%	134	4.69%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.13%
20	1 Month	6.73%
60	1 Quarter	8.65%
250	1 Year	7.85%
750	3 Years	7.90%
1,250	5 Years	8.37%
2,500	10 Years	9.75%
5,000	20 Years	9.67%
12,500	50 Years	9.67%

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 13.25. Further, an Excess 峰度 of 339.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.58%	0	0.00%	0.00%
-22.58% to -14.53%	0	0.00%	0.00%
-14.53% to -6.47%	0	0.00%	0.00%
-6.47% to 1.59%	24	0.84%	0.84%
1.59% to 9.64%	1901	66.54%	67.38%
9.64% to 17.70%	686	24.01%	91.39%
17.70% to 25.76%	149	5.22%	96.60%
25.76% to 33.81%	44	1.54%	98.14%
33.81% to 41.87%	18	0.63%	98.77%
Greater than 41.87%	35	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.10%	20.39%	93.91%	68.27%
±2σ	-11.84%	31.13%	97.83%	95.45%
±3σ	-22.58%	41.87%	98.77%	99.73%

Descriptive Statistics

均值	9.643%
Standard Error	0.201%
中位数	7.363%
Mode	5.263%
Standard Deviation	10.742%
Sample Variance	115.386%
峰度	339.91
偏度	13.25
Range	341.510%
Minimum	0.541%
Maximum	342.051%
Count	2857

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.643%	2857	100.00%	9.643%
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 5.48. Further, an Excess 峰度 of 150.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.00%	22	0.77%	0.77%
-20.00% to -14.83%	16	0.56%	1.33%
-14.83% to -9.65%	74	2.59%	3.92%
-9.65% to -4.48%	253	8.86%	12.78%
-4.48% to 0.70%	1061	37.14%	49.91%
0.70% to 5.87%	1051	36.79%	86.70%
5.87% to 11.05%	288	10.08%	96.78%
11.05% to 16.23%	62	2.17%	98.95%
16.23% to 21.40%	16	0.56%	99.51%
Greater than 21.40%	14	0.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.20%	7.60%	83.23%	68.27%
±2σ	-13.10%	14.50%	96.92%	95.45%
±3σ	-20.00%	21.40%	98.74%	99.73%

Descriptive Statistics

均值	0.698%
Standard Error	0.129%
中位数	0.719%
Mode	0.000%
Standard Deviation	6.901%
Sample Variance	47.623%
峰度	150.24
偏度	5.48
Range	217.443%
Minimum	-41.303%
Maximum	176.140%
Count	2857

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.436%	1577	55.20%	2.449%
负向	-4.298%	1164	40.74%	-1.751%
Zero	0.000%	116	4.06%	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 13.77. Further, an Excess 峰度 of 218.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -133.69%	0	0.00%	0.00%
-133.69% to -99.72%	0	0.00%	0.00%
-99.72% to -65.74%	3	0.51%	0.51%
-65.74% to -31.77%	10	1.68%	2.19%
-31.77% to 2.21%	377	63.47%	65.66%
2.21% to 36.18%	188	31.65%	97.31%
36.18% to 70.16%	10	1.68%	98.99%
70.16% to 104.13%	1	0.17%	99.16%
104.13% to 138.11%	1	0.17%	99.33%
Greater than 138.11%	4	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-43.09%	47.51%	97.14%	68.27%
±2σ	-88.39%	92.81%	99.16%	95.45%
±3σ	-133.69%	138.11%	99.33%	99.73%

Descriptive Statistics

均值	2.208%
Standard Error	1.859%
中位数	-0.830%
Mode	0.000%
Standard Deviation	45.300%
Sample Variance	2052.121%
峰度	218.86
偏度	13.77
Range	852.008%
Minimum	-78.527%
Maximum	773.481%
Count	594

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.759%	261	43.94%	7.364%
负向	-9.600%	319	53.70%	-5.156%
Zero	0.000%	14	2.36%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.72%
12	1 Quarter	22.09%
52	1 Year	18.99%
156	3 Years	18.51%
260	5 Years	19.18%
520	10 Years	25.01%
1,040	20 Years	24.06%
2,600	50 Years	24.06%

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 9.61. Further, an Excess 峰度 of 107.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -153.19%	0	0.00%	0.00%
-153.19% to -107.51%	0	0.00%	0.00%
-107.51% to -61.82%	0	0.00%	0.00%
-61.82% to -16.14%	0	0.00%	0.00%
-16.14% to 29.54%	469	78.82%	78.82%
29.54% to 75.23%	97	16.30%	95.13%
75.23% to 120.91%	19	3.19%	98.32%
120.91% to 166.60%	2	0.34%	98.66%
166.60% to 212.28%	2	0.34%	98.99%
Greater than 212.28%	6	1.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.37%	90.46%	96.64%	68.27%
±2σ	-92.28%	151.37%	98.32%	95.45%
±3σ	-153.19%	212.28%	98.99%	99.73%

Descriptive Statistics

均值	29.544%
Standard Error	2.497%
中位数	18.000%
Mode	13.636%
Standard Deviation	60.912%
Sample Variance	3710.227%
峰度	107.94
偏度	9.61
Range	829.094%
Minimum	4.737%
Maximum	833.831%
Count	595

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.544%	595	100.00%	29.544%
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 8.76. Further, an Excess 峰度 of 103.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -85.85%	1	0.17%	0.17%
-85.85% to -63.37%	1	0.17%	0.34%
-63.37% to -40.90%	4	0.67%	1.01%
-40.90% to -18.43%	24	4.03%	5.04%
-18.43% to 4.04%	328	55.13%	60.17%
4.04% to 26.52%	210	35.29%	95.46%
26.52% to 48.99%	18	3.03%	98.49%
48.99% to 71.46%	3	0.50%	98.99%
71.46% to 93.93%	2	0.34%	99.33%
Greater than 93.93%	4	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.92%	34.01%	93.61%	68.27%
±2σ	-55.88%	63.97%	98.15%	95.45%
±3σ	-85.85%	93.93%	99.16%	99.73%

Descriptive Statistics

均值	4.043%
Standard Error	1.228%
中位数	1.653%
Mode	0.000%
Standard Deviation	29.963%
Sample Variance	897.768%
峰度	103.83
偏度	8.76
Range	460.528%
Minimum	-86.844%
Maximum	373.684%
Count	595

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.199%	333	55.97%	7.947%
负向	-9.328%	249	41.85%	-3.904%
Zero	0.000%	13	2.19%	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 5.70. Further, an Excess 峰度 of 39.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -198.39%	0	0.00%	0.00%
-198.39% to -147.31%	0	0.00%	0.00%
-147.31% to -96.23%	0	0.00%	0.00%
-96.23% to -45.15%	5	3.68%	3.68%
-45.15% to 5.93%	90	66.18%	69.85%
5.93% to 57.01%	30	22.06%	91.91%
57.01% to 108.09%	7	5.15%	97.06%
108.09% to 159.17%	2	1.47%	98.53%
159.17% to 210.25%	0	0.00%	98.53%
Greater than 210.25%	2	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-62.17%	74.04%	91.91%	68.27%
±2σ	-130.28%	142.14%	98.53%	95.45%
±3σ	-198.39%	210.25%	98.53%	99.73%

Descriptive Statistics

均值	5.932%
Standard Error	5.840%
中位数	-4.256%
Mode	-9.355%
Standard Deviation	68.106%
Sample Variance	4638.438%
峰度	39.38
偏度	5.70
Range	599.980%
Minimum	-81.336%
Maximum	518.644%
Count	136

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.396%	53	38.97%	16.912%
负向	-18.210%	82	60.29%	-10.980%
Zero	0.000%	1	0.73%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	45.89%
12	1 Year	42.46%
36	3 Years	42.82%
60	5 Years	42.25%
120	10 Years	64.74%
240	20 Years	60.99%
600	50 Years	60.99%

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 4.27. Further, an Excess 峰度 of 19.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -373.29%	0	0.00%	0.00%
-373.29% to -257.30%	0	0.00%	0.00%
-257.30% to -141.30%	0	0.00%	0.00%
-141.30% to -25.30%	0	0.00%	0.00%
-25.30% to 90.70%	112	81.75%	81.75%
90.70% to 206.70%	17	12.41%	94.16%
206.70% to 322.70%	1	0.73%	94.89%
322.70% to 438.70%	1	0.73%	95.62%
438.70% to 554.70%	1	0.73%	96.35%
Greater than 554.70%	5	3.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-63.96%	245.37%	94.16%	68.27%
±2σ	-218.63%	400.03%	94.89%	95.45%
±3σ	-373.29%	554.70%	96.35%	99.73%

Descriptive Statistics

均值	90.701%
Standard Error	13.214%
中位数	46.640%
Mode	48.624%
Standard Deviation	154.665%
Sample Variance	23921.257%
峰度	19.44
偏度	4.27
Range	978.876%
Minimum	12.403%
Maximum	991.279%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	90.701%	137	100.00%	90.701%
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 4.41. Further, an Excess 峰度 of 22.07 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -201.66%	0	0.00%	0.00%
-201.66% to -147.06%	0	0.00%	0.00%
-147.06% to -92.46%	0	0.00%	0.00%
-92.46% to -37.86%	10	7.30%	7.30%
-37.86% to 16.74%	88	64.23%	71.53%
16.74% to 71.34%	32	23.36%	94.89%
71.34% to 125.94%	3	2.19%	97.08%
125.94% to 180.54%	0	0.00%	97.08%
180.54% to 235.14%	0	0.00%	97.08%
Greater than 235.14%	4	2.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-56.06%	89.54%	91.97%	68.27%
±2σ	-128.86%	162.34%	97.08%	95.45%
±3σ	-201.66%	235.14%	97.08%	99.73%

Descriptive Statistics

均值	16.740%
Standard Error	6.220%
中位数	4.234%
Mode	0.000%
Standard Deviation	72.799%
Sample Variance	5299.767%
峰度	22.07
偏度	4.41
Range	526.416%
Minimum	-83.297%
Maximum	443.119%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.285%	82	59.85%	24.112%
负向	-19.057%	53	38.69%	-7.372%
Zero	0.000%	2	1.46%	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 3.82. Further, an Excess 峰度 of 15.36 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -370.88%	0	0.00%	0.00%
-370.88% to -273.96%	0	0.00%	0.00%
-273.96% to -177.05%	0	0.00%	0.00%
-177.05% to -80.14%	1	2.22%	2.22%
-80.14% to 16.77%	33	73.33%	75.56%
16.77% to 113.69%	8	17.78%	93.33%
113.69% to 210.60%	1	2.22%	95.56%
210.60% to 307.51%	0	0.00%	95.56%
307.51% to 404.42%	0	0.00%	95.56%
Greater than 404.42%	2	4.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-112.44%	145.99%	93.33%	68.27%
±2σ	-241.66%	275.21%	95.56%	95.45%
±3σ	-370.88%	404.42%	95.56%	99.73%

Descriptive Statistics

均值	16.773%
Standard Error	19.263%
中位数	-13.866%
Mode	-85.000%
Standard Deviation	129.217%
Sample Variance	16697.117%
峰度	15.36
偏度	3.82
Range	700.819%
Minimum	-85.000%
Maximum	615.819%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	100.625%	17	37.78%	38.014%
负向	-34.137%	28	62.22%	-21.241%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	84.23%
12	3 Years	85.59%
20	5 Years	80.29%
40	10 Years	129.69%
80	20 Years	120.54%
200	50 Years	120.54%

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 2.53. Further, an Excess 峰度 of 6.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -710.31%	0	0.00%	0.00%
-710.31% to -477.77%	0	0.00%	0.00%
-477.77% to -245.23%	0	0.00%	0.00%
-245.23% to -12.69%	0	0.00%	0.00%
-12.69% to 219.85%	37	80.43%	80.43%
219.85% to 452.39%	1	2.17%	82.61%
452.39% to 684.93%	4	8.70%	91.30%
684.93% to 917.47%	1	2.17%	93.48%
917.47% to 1150.01%	1	2.17%	95.65%
Greater than 1150.01%	2	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-90.20%	529.90%	89.13%	68.27%
±2σ	-400.26%	839.95%	93.48%	95.45%
±3σ	-710.31%	1150.01%	95.65%	99.73%

Descriptive Statistics

均值	219.849%
Standard Error	45.715%
中位数	94.806%
Mode	25.786%
Standard Deviation	310.052%
Sample Variance	96132.182%
峰度	6.00
偏度	2.53
Range	1300.443%
Minimum	25.786%
Maximum	1326.229%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	219.849%	46	100.00%	219.849%
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 2.95. Further, an Excess 峰度 of 11.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -286.28%	0	0.00%	0.00%
-286.28% to -204.32%	0	0.00%	0.00%
-204.32% to -122.37%	0	0.00%	0.00%
-122.37% to -40.41%	4	8.70%	8.70%
-40.41% to 41.55%	27	58.70%	67.39%
41.55% to 123.50%	10	21.74%	89.13%
123.50% to 205.46%	1	2.17%	91.30%
205.46% to 287.42%	3	6.52%	97.83%
287.42% to 369.37%	0	0.00%	97.83%
Greater than 369.37%	1	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-67.73%	150.82%	84.78%	68.27%
±2σ	-177.00%	260.10%	97.83%	95.45%
±3σ	-286.28%	369.37%	97.83%	99.73%

Descriptive Statistics

均值	41.547%
Standard Error	16.112%
中位数	17.632%
Mode	-85.564%
Standard Deviation	109.275%
Sample Variance	11940.997%
峰度	11.79
偏度	2.95
Range	655.934%
Minimum	-85.564%
Maximum	570.370%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	83.878%	29	63.04%	52.879%
负向	-30.664%	17	36.96%	-11.332%
Zero	0.000%	0	0.00%	0.000%

OCGN 深度分析报告