PENN 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	3.39%	3.48%	3.11%	4.72%	3.22%	3.32%	16.69	17.80	16.16	18.39
周度	7.22%	9.86%	7.87%	10.82%	7.10%	7.31%	16.06	18.51	14.96	19.87
月度	14.91%	38.08%	15.55%	21.57%	14.78%	15.22%	14.87	19.99	12.83	23.17
季度	26.22%	85.16%	23.08%	36.18%	25.59%	26.37%	13.35	22.27	10.33	28.76
Annual	—	—	—	—	51.18%	52.73%	10.33	28.76	6.19	47.99
Option Time Horizon	—	—	—	—	19.50%	20.10%	14.19	20.95	11.67	25.47

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $17.24 | Strike (K): $18.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.0750 (Bid $0.9500 / Ask $1.2000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 51.18% (CRR binomial tree, American, n=20 steps) | BS IV: 51.81% (European Black-Scholes) | Yahoo IV (Annual): 52.73% → 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 0.48. Further, an Excess 峰度 of 15.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.05%	43	0.54%	0.54%
-10.05% to -7.51%	69	0.86%	1.40%
-7.51% to -4.97%	206	2.58%	3.98%
-4.97% to -2.43%	888	11.11%	15.09%
-2.43% to 0.11%	3127	39.13%	54.22%
0.11% to 2.65%	2506	31.36%	85.57%
2.65% to 5.20%	729	9.12%	94.69%
5.20% to 7.74%	257	3.22%	97.91%
7.74% to 10.28%	84	1.05%	98.96%
Greater than 10.28%	83	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.27%	3.50%	80.42%	68.27%
±2σ	-6.66%	6.89%	95.20%	95.45%
±3σ	-10.05%	10.28%	98.42%	99.73%

Descriptive Statistics

均值	0.114%
Standard Error	0.038%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.388%
Sample Variance	11.482%
峰度	15.50
偏度	0.48
Range	79.592%
Minimum	-44.796%
Maximum	34.796%
Count	7992

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.455%	3776	47.25%	1.160%
负向	-2.139%	3907	48.89%	-1.046%
Zero	0.000%	309	3.87%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	7.95%
20	1 Month	5.30%
60	1 Quarter	5.64%
250	1 Year	4.28%
750	3 Years	4.50%
1,250	5 Years	4.72%
2,500	10 Years	4.74%
5,000	20 Years	4.07%
12,500	50 Years	4.36%

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 6.17. Further, an Excess 峰度 of 99.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.14%	0	0.00%	0.00%
-6.14% to -3.53%	0	0.00%	0.00%
-3.53% to -0.91%	0	0.00%	0.00%
-0.91% to 1.70%	908	11.36%	11.36%
1.70% to 4.31%	4230	52.92%	64.28%
4.31% to 6.93%	1773	22.18%	86.46%
6.93% to 9.54%	591	7.39%	93.86%
9.54% to 12.15%	258	3.23%	97.08%
12.15% to 14.77%	121	1.51%	98.60%
Greater than 14.77%	112	1.40%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.83%	7.80%	88.79%	68.27%
±2σ	-2.66%	11.28%	96.42%	95.45%
±3σ	-6.14%	14.77%	98.60%	99.73%

Descriptive Statistics

均值	4.313%
Standard Error	0.039%
中位数	3.423%
Mode	5.000%
Standard Deviation	3.484%
Sample Variance	12.138%
峰度	99.34
偏度	6.17
Range	87.507%
Minimum	0.243%
Maximum	87.750%
Count	7993

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.313%	7993	100.00%	4.313%
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 1.11. Further, an Excess 峰度 of 20.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.26%	54	0.68%	0.68%
-9.26% to -6.92%	102	1.28%	1.95%
-6.92% to -4.59%	253	3.17%	5.12%
-4.59% to -2.26%	815	10.20%	15.31%
-2.26% to 0.07%	2952	36.93%	52.25%
0.07% to 2.41%	2587	32.37%	84.61%
2.41% to 4.74%	802	10.03%	94.65%
4.74% to 7.07%	285	3.57%	98.21%
7.07% to 9.40%	82	1.03%	99.24%
Greater than 9.40%	61	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.03%	3.19%	78.79%	68.27%
±2σ	-6.14%	6.29%	94.73%	95.45%
±3σ	-9.26%	9.40%	98.56%	99.73%

Descriptive Statistics

均值	0.075%
Standard Error	0.035%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.110%
Sample Variance	9.671%
峰度	20.54
偏度	1.11
Range	74.936%
Minimum	-21.839%
Maximum	53.097%
Count	7993

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.199%	3902	48.82%	1.074%
负向	-2.115%	3773	47.20%	-0.998%
Zero	0.000%	318	3.98%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.22. Further, an Excess 峰度 of 6.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.14%	10	0.60%	0.60%
-21.14% to -15.72%	19	1.14%	1.74%
-15.72% to -10.30%	49	2.94%	4.68%
-10.30% to -4.88%	197	11.83%	16.52%
-4.88% to 0.54%	591	35.50%	52.01%
0.54% to 5.95%	540	32.43%	84.44%
5.95% to 11.37%	162	9.73%	94.17%
11.37% to 16.79%	48	2.88%	97.06%
16.79% to 22.21%	32	1.92%	98.98%
Greater than 22.21%	17	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.69%	7.76%	78.50%	68.27%
±2σ	-13.91%	14.98%	94.11%	95.45%
±3σ	-21.14%	22.21%	98.38%	99.73%

Descriptive Statistics

均值	0.535%
Standard Error	0.177%
中位数	0.121%
Mode	0.000%
Standard Deviation	7.224%
Sample Variance	52.181%
峰度	6.13
偏度	0.22
Range	108.536%
Minimum	-58.199%
Maximum	50.337%
Count	1665

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.385%	853	51.23%	2.759%
负向	-4.674%	792	47.57%	-2.223%
Zero	0.000%	20	1.20%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.62%
12	1 Quarter	12.97%
52	1 Year	10.10%
156	3 Years	10.52%
260	5 Years	10.82%
520	10 Years	10.93%
1,040	20 Years	9.38%
2,600	50 Years	10.00%

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 9.18. Further, an Excess 峰度 of 159.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.79%	0	0.00%	0.00%
-18.79% to -11.40%	0	0.00%	0.00%
-11.40% to -4.01%	0	0.00%	0.00%
-4.01% to 3.38%	104	6.24%	6.24%
3.38% to 10.78%	969	58.16%	64.41%
10.78% to 18.17%	383	22.99%	87.39%
18.17% to 25.56%	129	7.74%	95.14%
25.56% to 32.95%	49	2.94%	98.08%
32.95% to 40.34%	18	1.08%	99.16%
Greater than 40.34%	14	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.92%	20.63%	90.76%	68.27%
±2σ	-8.94%	30.49%	97.60%	95.45%
±3σ	-18.79%	40.34%	99.16%	99.73%

Descriptive Statistics

均值	10.776%
Standard Error	0.241%
中位数	8.474%
Mode	12.500%
Standard Deviation	9.856%
Sample Variance	97.138%
峰度	159.66
偏度	9.18
Range	214.983%
Minimum	1.017%
Maximum	216.000%
Count	1666

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.776%	1666	100.00%	10.776%
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 4.72. Further, an Excess 峰度 of 85.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.50%	2	0.12%	0.12%
-23.50% to -17.60%	18	1.08%	1.20%
-17.60% to -11.69%	48	2.88%	4.08%
-11.69% to -5.79%	176	10.56%	14.65%
-5.79% to 0.11%	650	39.02%	53.66%
0.11% to 6.02%	541	32.47%	86.13%
6.02% to 11.92%	155	9.30%	95.44%
11.92% to 17.82%	46	2.76%	98.20%
17.82% to 23.73%	18	1.08%	99.28%
Greater than 23.73%	12	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.76%	7.99%	81.39%	68.27%
±2σ	-15.63%	15.86%	95.38%	95.45%
±3σ	-23.50%	23.73%	99.16%	99.73%

Descriptive Statistics

均值	0.114%
Standard Error	0.193%
中位数	-0.247%
Mode	0.000%
Standard Deviation	7.871%
Sample Variance	61.946%
峰度	85.30
偏度	4.72
Range	182.718%
Minimum	-30.493%
Maximum	152.225%
Count	1666

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.417%	780	46.82%	2.536%
负向	-4.698%	859	51.56%	-2.422%
Zero	0.000%	27	1.62%	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 0.74. Further, an Excess 峰度 of 3.45 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.49%	1	0.26%	0.26%
-42.49% to -31.31%	1	0.26%	0.52%
-31.31% to -20.12%	13	3.39%	3.92%
-20.12% to -8.94%	67	17.49%	21.41%
-8.94% to 2.24%	115	30.03%	51.44%
2.24% to 13.43%	123	32.11%	83.55%
13.43% to 24.61%	37	9.66%	93.21%
24.61% to 35.80%	16	4.18%	97.39%
35.80% to 46.98%	5	1.31%	98.69%
Greater than 46.98%	5	1.31%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.67%	17.16%	73.89%	68.27%
±2σ	-27.58%	32.07%	95.30%	95.45%
±3σ	-42.49%	46.98%	98.43%	99.73%

Descriptive Statistics

均值	2.244%
Standard Error	0.762%
中位数	1.493%
Mode	0.000%
Standard Deviation	14.912%
Sample Variance	222.359%
峰度	3.45
偏度	0.74
Range	141.339%
Minimum	-57.220%
Maximum	84.119%
Count	383

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.015%	211	55.09%	6.619%
负向	-9.858%	170	44.39%	-4.376%
Zero	0.000%	2	0.52%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	22.52%
12	1 Year	19.60%
36	3 Years	20.81%
60	5 Years	21.57%
120	10 Years	23.51%
240	20 Years	19.98%
600	50 Years	21.60%

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 14.41. Further, an Excess 峰度 of 249.19 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.98%	0	0.00%	0.00%
-87.98% to -59.42%	0	0.00%	0.00%
-59.42% to -30.86%	0	0.00%	0.00%
-30.86% to -2.29%	0	0.00%	0.00%
-2.29% to 26.27%	257	66.93%	66.93%
26.27% to 54.83%	111	28.91%	95.83%
54.83% to 83.40%	10	2.60%	98.44%
83.40% to 111.96%	1	0.26%	98.70%
111.96% to 140.52%	3	0.78%	99.48%
Greater than 140.52%	2	0.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.81%	64.36%	97.14%	68.27%
±2σ	-49.90%	102.44%	98.70%	95.45%
±3σ	-87.98%	140.52%	99.48%	99.73%

Descriptive Statistics

均值	26.271%
Standard Error	1.943%
中位数	20.096%
Mode	13.274%
Standard Deviation	38.084%
Sample Variance	1450.403%
峰度	249.19
偏度	14.41
Range	690.917%
Minimum	3.750%
Maximum	694.667%
Count	384

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.271%	384	100.00%	26.271%
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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.99. Further, an Excess 峰度 of 14.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.63%	1	0.26%	0.26%
-46.63% to -34.97%	1	0.26%	0.52%
-34.97% to -23.31%	11	2.86%	3.39%
-23.31% to -11.64%	52	13.54%	16.93%
-11.64% to 0.02%	147	38.28%	55.21%
0.02% to 11.68%	105	27.34%	82.55%
11.68% to 23.34%	50	13.02%	95.57%
23.34% to 35.01%	7	1.82%	97.40%
35.01% to 46.67%	8	2.08%	99.48%
Greater than 46.67%	2	0.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.53%	15.57%	76.04%	68.27%
±2σ	-31.08%	31.12%	94.79%	95.45%
±3σ	-46.63%	46.67%	99.22%	99.73%

Descriptive Statistics

均值	0.019%
Standard Error	0.794%
中位数	-1.450%
Mode	-20.833%
Standard Deviation	15.551%
Sample Variance	241.846%
峰度	14.76
偏度	1.99
Range	184.036%
Minimum	-49.253%
Maximum	134.783%
Count	384

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.151%	172	44.79%	5.443%
负向	-9.918%	210	54.69%	-5.424%
Zero	0.000%	2	0.52%	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 1.07. Further, an Excess 峰度 of 1.73 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.89%	0	0.00%	0.00%
-71.89% to -52.23%	0	0.00%	0.00%
-52.23% to -32.56%	5	3.94%	3.94%
-32.56% to -12.89%	25	19.69%	23.62%
-12.89% to 6.77%	36	28.35%	51.97%
6.77% to 26.44%	43	33.86%	85.83%
26.44% to 46.10%	8	6.30%	92.13%
46.10% to 65.77%	5	3.94%	96.06%
65.77% to 85.44%	2	1.57%	97.64%
Greater than 85.44%	3	2.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.45%	32.99%	74.80%	68.27%
±2σ	-45.67%	59.22%	94.49%	95.45%
±3σ	-71.89%	85.44%	97.64%	99.73%

Descriptive Statistics

均值	6.772%
Standard Error	2.327%
中位数	4.811%
Mode	19.877%
Standard Deviation	26.222%
Sample Variance	687.579%
峰度	1.73
偏度	1.07
Range	132.406%
Minimum	-40.261%
Maximum	92.145%
Count	127

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.145%	73	57.48%	13.304%
负向	-15.363%	54	42.52%	-6.532%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.21%
12	3 Years	35.86%
20	5 Years	36.18%
40	10 Years	43.06%
80	20 Years	36.51%
200	50 Years	39.31%

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 9.21. Further, an Excess 峰度 of 95.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -200.75%	0	0.00%	0.00%
-200.75% to -136.89%	0	0.00%	0.00%
-136.89% to -73.02%	0	0.00%	0.00%
-73.02% to -9.15%	0	0.00%	0.00%
-9.15% to 54.71%	92	71.88%	71.88%
54.71% to 118.58%	30	23.44%	95.31%
118.58% to 182.44%	4	3.12%	98.44%
182.44% to 246.31%	1	0.78%	99.22%
246.31% to 310.18%	0	0.00%	99.22%
Greater than 310.18%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.44%	139.87%	96.88%	68.27%
±2σ	-115.60%	225.02%	99.22%	95.45%
±3σ	-200.75%	310.18%	99.22%	99.73%

Descriptive Statistics

均值	54.712%
Standard Error	7.527%
中位数	39.461%
Mode	14.312%
Standard Deviation	85.155%
Sample Variance	7251.311%
峰度	95.61
偏度	9.21
Range	930.488%
Minimum	14.312%
Maximum	944.800%
Count	128

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	54.712%	128	100.00%	54.712%
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 0.47. 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 -70.05%	0	0.00%	0.00%
-70.05% to -52.74%	0	0.00%	0.00%
-52.74% to -35.43%	9	7.03%	7.03%
-35.43% to -18.12%	11	8.59%	15.62%
-18.12% to -0.82%	53	41.41%	57.03%
-0.82% to 16.49%	26	20.31%	77.34%
16.49% to 33.80%	21	16.41%	93.75%
33.80% to 51.11%	5	3.91%	97.66%
51.11% to 68.42%	2	1.56%	99.22%
Greater than 68.42%	1	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.89%	22.26%	71.88%	68.27%
±2σ	-46.97%	45.34%	92.97%	95.45%
±3σ	-70.05%	68.42%	99.22%	99.73%

Descriptive Statistics

均值	-0.816%
Standard Error	2.040%
中位数	-4.107%
Mode	-50.812%
Standard Deviation	23.078%
Sample Variance	532.605%
峰度	0.35
偏度	0.47
Range	120.004%
Minimum	-50.812%
Maximum	69.192%
Count	128

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.035%	53	41.41%	8.710%
负向	-16.477%	74	57.81%	-9.526%
Zero	0.000%	1	0.78%	0.000%

PENN 深度分析报告