OLLI 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	2.70%	2.19%	2.38%	3.89%	2.80%	3.07%	87.76	92.81	85.33	95.45
周度	5.57%	5.12%	5.75%	8.86%	6.17%	6.76%	84.85	95.99	79.78	102.10
月度	11.71%	11.75%	11.96%	18.54%	12.84%	14.07%	79.37	102.62	69.81	116.68
季度	19.47%	23.90%	18.70%	31.05%	22.24%	24.37%	72.25	112.73	57.85	140.81
Annual	—	—	—	—	44.48%	48.74%	57.85	140.81	37.08	219.69
Option Time Horizon	—	—	—	—	16.95%	18.57%	76.18	106.92	64.30	126.67

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $90.25 | Strike (K): $95.00 (first OTM call ≥ spot) | Observed Mid-价格: $4.4000 (Bid $4.0000 / Ask $4.8000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 44.48% (CRR binomial tree, American, n=20 steps) | BS IV: 44.89% (European Black-Scholes) | Yahoo IV (Annual): 48.74% → 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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.60. Further, an Excess 峰度 of 9.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.02%	16	0.59%	0.59%
-8.02% to -5.99%	25	0.92%	1.51%
-5.99% to -3.96%	91	3.36%	4.87%
-3.96% to -1.94%	341	12.59%	17.46%
-1.94% to 0.09%	862	31.82%	49.28%
0.09% to 2.12%	907	33.48%	82.76%
2.12% to 4.15%	327	12.07%	94.83%
4.15% to 6.17%	93	3.43%	98.27%
6.17% to 8.20%	29	1.07%	99.34%
Greater than 8.20%	18	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.61%	2.80%	76.60%	68.27%
±2σ	-5.32%	5.50%	95.90%	95.45%
±3σ	-8.02%	8.20%	98.74%	99.73%

Descriptive Statistics

均值	0.091%
Standard Error	0.052%
中位数	0.116%
Mode	0.000%
Standard Deviation	2.704%
Sample Variance	7.313%
峰度	9.14
偏度	-0.60
Range	43.189%
Minimum	-27.530%
Maximum	15.659%
Count	2709

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.926%	1407	51.94%	1.000%
负向	-1.918%	1285	47.43%	-0.910%
Zero	0.000%	17	0.63%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.80%
20	1 Month	3.90%
60	1 Quarter	3.81%
250	1 Year	3.61%
750	3 Years	3.46%
1,250	5 Years	3.89%
2,500	10 Years	3.76%
5,000	20 Years	3.85%
12,500	50 Years	3.85%

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 3.80. Further, an Excess 峰度 of 33.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.81%	0	0.00%	0.00%
-2.81% to -1.17%	0	0.00%	0.00%
-1.17% to 0.48%	0	0.00%	0.00%
0.48% to 2.12%	433	15.98%	15.98%
2.12% to 3.77%	1260	46.49%	62.47%
3.77% to 5.41%	623	22.99%	85.46%
5.41% to 7.06%	227	8.38%	93.84%
7.06% to 8.70%	84	3.10%	96.94%
8.70% to 10.35%	38	1.40%	98.34%
Greater than 10.35%	45	1.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.57%	5.96%	85.24%	68.27%
±2σ	-0.62%	8.15%	95.94%	95.45%
±3σ	-2.81%	10.35%	98.34%	99.73%

Descriptive Statistics

均值	3.767%
Standard Error	0.042%
中位数	3.235%
Mode	2.333%
Standard Deviation	2.193%
Sample Variance	4.811%
峰度	33.47
偏度	3.80
Range	37.084%
Minimum	0.654%
Maximum	37.738%
Count	2710

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.767%	2710	100.00%	3.767%
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 2.16 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.15%	14	0.52%	0.52%
-7.15% to -5.37%	29	1.07%	1.59%
-5.37% to -3.58%	112	4.13%	5.72%
-3.58% to -1.79%	365	13.47%	19.19%
-1.79% to 0.00%	884	32.62%	51.81%
0.00% to 1.79%	784	28.93%	80.74%
1.79% to 3.58%	354	13.06%	93.80%
3.58% to 5.37%	117	4.32%	98.12%
5.37% to 7.16%	32	1.18%	99.30%
Greater than 7.16%	19	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.38%	2.39%	74.13%	68.27%
±2σ	-4.77%	4.77%	94.72%	95.45%
±3σ	-7.15%	7.16%	98.78%	99.73%

Descriptive Statistics

均值	0.001%
Standard Error	0.046%
中位数	-0.060%
Mode	0.000%
Standard Deviation	2.385%
Sample Variance	5.687%
峰度	2.16
偏度	0.23
Range	24.837%
Minimum	-11.114%
Maximum	13.723%
Count	2710

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.842%	1306	48.19%	0.888%
负向	-1.743%	1379	50.89%	-0.887%
Zero	0.000%	25	0.92%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.28. Further, an Excess 峰度 of 2.16 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.27%	3	0.53%	0.53%
-16.27% to -12.10%	3	0.53%	1.07%
-12.10% to -7.92%	27	4.80%	5.87%
-7.92% to -3.75%	91	16.19%	22.06%
-3.75% to 0.42%	146	25.98%	48.04%
0.42% to 4.60%	180	32.03%	80.07%
4.60% to 8.77%	79	14.06%	94.13%
8.77% to 12.95%	22	3.91%	98.04%
12.95% to 17.12%	10	1.78%	99.82%
Greater than 17.12%	1	0.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.14%	5.99%	71.53%	68.27%
±2σ	-10.71%	11.56%	95.20%	95.45%
±3σ	-16.27%	17.12%	99.29%	99.73%

Descriptive Statistics

均值	0.424%
Standard Error	0.235%
中位数	0.639%
Mode	0.000%
Standard Deviation	5.566%
Sample Variance	30.978%
峰度	2.16
偏度	-0.28
Range	46.986%
Minimum	-29.462%
Maximum	17.524%
Count	562

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.237%	309	54.98%	2.330%
负向	-4.284%	250	44.48%	-1.906%
Zero	0.000%	3	0.53%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.64%
12	1 Quarter	8.62%
52	1 Year	8.17%
156	3 Years	7.94%
260	5 Years	8.86%
520	10 Years	8.58%
1,040	20 Years	8.71%
2,600	50 Years	8.71%

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 2.83. Further, an Excess 峰度 of 13.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.18%	0	0.00%	0.00%
-6.18% to -2.34%	0	0.00%	0.00%
-2.34% to 1.51%	0	0.00%	0.00%
1.51% to 5.35%	99	17.58%	17.58%
5.35% to 9.19%	258	45.83%	63.41%
9.19% to 13.03%	122	21.67%	85.08%
13.03% to 16.88%	47	8.35%	93.43%
16.88% to 20.72%	20	3.55%	96.98%
20.72% to 24.56%	8	1.42%	98.40%
Greater than 24.56%	9	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.07%	14.31%	83.66%	68.27%
±2σ	-1.05%	19.44%	96.45%	95.45%
±3σ	-6.18%	24.56%	98.40%	99.73%

Descriptive Statistics

均值	9.191%
Standard Error	0.216%
中位数	8.077%
Mode	4.144%
Standard Deviation	5.123%
Sample Variance	26.247%
峰度	13.67
偏度	2.83
Range	44.091%
Minimum	2.436%
Maximum	46.527%
Count	563

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.191%	563	100.00%	9.191%
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 1.31. Further, an Excess 峰度 of 7.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.25%	0	0.00%	0.00%
-17.25% to -12.94%	5	0.89%	0.89%
-12.94% to -8.63%	19	3.37%	4.26%
-8.63% to -4.32%	94	16.70%	20.96%
-4.32% to -0.01%	197	34.99%	55.95%
-0.01% to 4.30%	143	25.40%	81.35%
4.30% to 8.61%	72	12.79%	94.14%
8.61% to 12.92%	26	4.62%	98.76%
12.92% to 17.23%	3	0.53%	99.29%
Greater than 17.23%	4	0.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.75%	5.74%	73.89%	68.27%
±2σ	-11.50%	11.48%	95.74%	95.45%
±3σ	-17.25%	17.23%	99.29%	99.73%

Descriptive Statistics

均值	-0.008%
Standard Error	0.242%
中位数	-0.564%
Mode	-2.756%
Standard Deviation	5.746%
Sample Variance	33.013%
峰度	7.23
偏度	1.31
Range	57.206%
Minimum	-14.483%
Maximum	42.723%
Count	563

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.759%	248	44.05%	2.096%
负向	-3.761%	315	55.95%	-2.104%
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 0.37. Further, an Excess 峰度 of 1.86 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.27%	1	0.78%	0.78%
-33.27% to -24.49%	1	0.78%	1.55%
-24.49% to -15.71%	5	3.88%	5.43%
-15.71% to -6.92%	19	14.73%	20.16%
-6.92% to 1.86%	40	31.01%	51.16%
1.86% to 10.64%	35	27.13%	78.29%
10.64% to 19.42%	22	17.05%	95.35%
19.42% to 28.20%	3	2.33%	97.67%
28.20% to 36.98%	2	1.55%	99.22%
Greater than 36.98%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.85%	13.56%	79.07%	68.27%
±2σ	-21.56%	25.27%	93.02%	95.45%
±3σ	-33.27%	36.98%	98.45%	99.73%

Descriptive Statistics

均值	1.857%
Standard Error	1.031%
中位数	1.601%
Mode	-34.526%
Standard Deviation	11.708%
Sample Variance	137.081%
峰度	1.86
偏度	0.37
Range	81.073%
Minimum	-34.526%
Maximum	46.547%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.629%	72	55.81%	5.374%
负向	-7.961%	57	44.19%	-3.518%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	15.81%
12	1 Year	16.26%
36	3 Years	16.33%
60	5 Years	18.54%
120	10 Years	18.67%
240	20 Years	18.89%
600	50 Years	18.89%

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 2.58. Further, an Excess 峰度 of 9.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.11%	0	0.00%	0.00%
-14.11% to -5.30%	0	0.00%	0.00%
-5.30% to 3.52%	0	0.00%	0.00%
3.52% to 12.33%	21	16.15%	16.15%
12.33% to 21.14%	66	50.77%	66.92%
21.14% to 29.95%	28	21.54%	88.46%
29.95% to 38.77%	5	3.85%	92.31%
38.77% to 47.58%	4	3.08%	95.38%
47.58% to 56.39%	3	2.31%	97.69%
Greater than 56.39%	3	2.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.39%	32.89%	87.69%	68.27%
±2σ	-2.36%	44.64%	94.62%	95.45%
±3σ	-14.11%	56.39%	97.69%	99.73%

Descriptive Statistics

均值	21.140%
Standard Error	1.031%
中位数	18.187%
Mode	11.548%
Standard Deviation	11.750%
Sample Variance	138.055%
峰度	9.08
偏度	2.58
Range	79.717%
Minimum	6.582%
Maximum	86.299%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.140%	130	100.00%	21.140%
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 0.85. Further, an Excess 峰度 of 3.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.25%	0	0.00%	0.00%
-36.25% to -27.28%	2	1.54%	1.54%
-27.28% to -18.32%	4	3.08%	4.62%
-18.32% to -9.35%	20	15.38%	20.00%
-9.35% to -0.38%	44	33.85%	53.85%
-0.38% to 8.58%	37	28.46%	82.31%
8.58% to 17.55%	15	11.54%	93.85%
17.55% to 26.52%	4	3.08%	96.92%
26.52% to 35.48%	3	2.31%	99.23%
Greater than 35.48%	1	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.34%	11.57%	80.77%	68.27%
±2σ	-24.29%	23.53%	93.85%	95.45%
±3σ	-36.25%	35.48%	99.23%	99.73%

Descriptive Statistics

均值	-0.383%
Standard Error	1.049%
中位数	-1.587%
Mode	-6.804%
Standard Deviation	11.956%
Sample Variance	142.935%
峰度	3.26
偏度	0.85
Range	87.621%
Minimum	-34.546%
Maximum	53.075%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.194%	60	46.15%	4.243%
负向	-8.591%	70	53.85%	-4.626%
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 0.30. Further, an Excess 峰度 of -0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -53.04%	0	0.00%	0.00%
-53.04% to -38.44%	0	0.00%	0.00%
-38.44% to -23.84%	3	6.98%	6.98%
-23.84% to -9.24%	7	16.28%	23.26%
-9.24% to 5.36%	13	30.23%	53.49%
5.36% to 19.96%	9	20.93%	74.42%
19.96% to 34.56%	9	20.93%	95.35%
34.56% to 49.17%	1	2.33%	97.67%
49.17% to 63.77%	1	2.33%	100.00%
Greater than 63.77%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.11%	24.83%	65.12%	68.27%
±2σ	-33.57%	44.30%	97.67%	95.45%
±3σ	-53.04%	63.77%	100.00%	99.73%

Descriptive Statistics

均值	5.363%
Standard Error	2.969%
中位数	1.682%
Mode	-29.146%
Standard Deviation	19.468%
Sample Variance	379.022%
峰度	-0.35
偏度	0.30
Range	83.910%
Minimum	-29.146%
Maximum	54.764%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.145%	24	55.81%	10.686%
负向	-12.047%	19	44.19%	-5.323%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	26.49%
12	3 Years	26.48%
20	5 Years	31.05%
40	10 Years	32.05%
80	20 Years	32.64%
200	50 Years	32.64%

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 2.72. Further, an Excess 峰度 of 10.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.19%	0	0.00%	0.00%
-32.19% to -14.26%	0	0.00%	0.00%
-14.26% to 3.67%	0	0.00%	0.00%
3.67% to 21.60%	6	13.64%	13.64%
21.60% to 39.53%	23	52.27%	65.91%
39.53% to 57.45%	7	15.91%	81.82%
57.45% to 75.38%	5	11.36%	93.18%
75.38% to 93.31%	2	4.55%	97.73%
93.31% to 111.24%	0	0.00%	97.73%
Greater than 111.24%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.62%	63.43%	84.09%	68.27%
±2σ	-8.28%	87.34%	97.73%	95.45%
±3σ	-32.19%	111.24%	97.73%	99.73%

Descriptive Statistics

均值	39.527%
Standard Error	3.604%
中位数	34.370%
Mode	13.546%
Standard Deviation	23.904%
Sample Variance	571.382%
峰度	10.76
偏度	2.72
Range	138.865%
Minimum	13.546%
Maximum	152.411%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	39.527%	44	100.00%	39.527%
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 0.45. Further, an Excess 峰度 of -0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -57.65%	0	0.00%	0.00%
-57.65% to -43.63%	0	0.00%	0.00%
-43.63% to -29.60%	1	2.27%	2.27%
-29.60% to -15.58%	12	27.27%	29.55%
-15.58% to -1.55%	9	20.45%	50.00%
-1.55% to 12.48%	12	27.27%	77.27%
12.48% to 26.50%	7	15.91%	93.18%
26.50% to 40.53%	2	4.55%	97.73%
40.53% to 54.55%	1	2.27%	100.00%
Greater than 54.55%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.25%	17.15%	68.18%	68.27%
±2σ	-38.95%	35.85%	95.45%	95.45%
±3σ	-57.65%	54.55%	100.00%	99.73%

Descriptive Statistics

均值	-1.550%
Standard Error	2.819%
中位数	-1.282%
Mode	-36.803%
Standard Deviation	18.701%
Sample Variance	349.731%
峰度	-0.35
偏度	0.45
Range	79.356%
Minimum	-36.803%
Maximum	42.553%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.938%	19	43.18%	6.882%
负向	-14.841%	25	56.82%	-8.432%
Zero	0.000%	0	0.00%	0.000%

OLLI 深度分析报告