PINS 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	3.87%	2.63%	2.89%	4.31%	4.29%	4.31%	19.08	20.79	18.28	21.70
周度	8.41%	8.12%	8.44%	10.30%	9.44%	9.49%	18.12	21.89	16.49	24.06
月度	14.93%	14.87%	14.55%	21.41%	19.66%	19.75%	16.36	24.25	13.44	29.52
季度	27.23%	31.62%	24.75%	36.17%	34.05%	34.20%	14.17	28.00	10.08	39.36
Annual	—	—	—	—	68.11%	68.41%	10.08	39.36	5.10	77.78
Option Time Horizon	—	—	—	—	25.95%	26.07%	15.37	25.82	11.85	33.47

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $19.92 | Strike (K): $20.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.0500 (Bid $1.9300 / Ask $2.1700) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 68.11% (CRR binomial tree, American, n=20 steps) | BS IV: 67.48% (European Black-Scholes) | Yahoo IV (Annual): 68.41% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.55. Further, an Excess 峰度 of 10.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.53%	18	1.02%	1.02%
-11.53% to -8.63%	12	0.68%	1.70%
-8.63% to -5.74%	41	2.33%	4.03%
-5.74% to -2.84%	200	11.34%	15.37%
-2.84% to 0.06%	623	35.34%	50.71%
0.06% to 2.96%	620	35.17%	85.88%
2.96% to 5.86%	171	9.70%	95.58%
5.86% to 8.76%	41	2.33%	97.90%
8.76% to 11.66%	18	1.02%	98.92%
Greater than 11.66%	19	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.80%	3.93%	81.00%	68.27%
±2σ	-7.67%	7.79%	95.12%	95.45%
±3σ	-11.53%	11.66%	97.90%	99.73%

Descriptive Statistics

均值	0.063%
Standard Error	0.092%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.865%
Sample Variance	14.942%
峰度	10.49
偏度	0.55
Range	59.764%
Minimum	-23.639%
Maximum	36.125%
Count	1763

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.600%	879	49.86%	1.296%
负向	-2.488%	874	49.58%	-1.233%
Zero	0.000%	10	0.57%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.64%
20	1 Month	3.68%
60	1 Quarter	4.91%
250	1 Year	3.80%
750	3 Years	3.66%
1,250	5 Years	4.31%
2,500	10 Years	4.75%
5,000	20 Years	4.75%
12,500	50 Years	4.75%

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 3.42. Further, an Excess 峰度 of 27.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.49%	0	0.00%	0.00%
-3.49% to -1.52%	0	0.00%	0.00%
-1.52% to 0.46%	0	0.00%	0.00%
0.46% to 2.43%	316	17.91%	17.91%
2.43% to 4.41%	771	43.71%	61.62%
4.41% to 6.38%	405	22.96%	84.58%
6.38% to 8.36%	161	9.13%	93.71%
8.36% to 10.33%	63	3.57%	97.28%
10.33% to 12.30%	25	1.42%	98.70%
Greater than 12.30%	23	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.77%	7.04%	83.90%	68.27%
±2σ	-0.86%	9.67%	95.92%	95.45%
±3σ	-3.49%	12.30%	98.70%	99.73%

Descriptive Statistics

均值	4.406%
Standard Error	0.063%
中位数	3.808%
Mode	2.039%
Standard Deviation	2.633%
Sample Variance	6.934%
峰度	27.30
偏度	3.42
Range	39.506%
Minimum	0.795%
Maximum	40.301%
Count	1764

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.406%	1764	100.00%	4.406%
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 Left Skewed (负向 Asymmetry) with a 偏度 factor of -0.63. Further, an Excess 峰度 of 7.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.64%	12	0.68%	0.68%
-8.64% to -6.47%	19	1.08%	1.76%
-6.47% to -4.30%	51	2.89%	4.65%
-4.30% to -2.13%	231	13.10%	17.74%
-2.13% to 0.04%	569	32.26%	50.00%
0.04% to 2.20%	566	32.09%	82.09%
2.20% to 4.37%	201	11.39%	93.48%
4.37% to 6.54%	88	4.99%	98.47%
6.54% to 8.71%	17	0.96%	99.43%
Greater than 8.71%	10	0.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.86%	2.93%	75.57%	68.27%
±2σ	-5.75%	5.82%	95.24%	95.45%
±3σ	-8.64%	8.71%	98.75%	99.73%

Descriptive Statistics

均值	0.035%
Standard Error	0.069%
中位数	0.036%
Mode	0.000%
Standard Deviation	2.892%
Sample Variance	8.366%
峰度	7.17
偏度	-0.63
Range	41.910%
Minimum	-28.288%
Maximum	13.622%
Count	1764

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.078%	893	50.62%	1.052%
负向	-2.088%	859	48.70%	-1.017%
Zero	0.000%	12	0.68%	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 0.52. Further, an Excess 峰度 of 4.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.95%	3	0.82%	0.82%
-24.95% to -18.64%	6	1.64%	2.46%
-18.64% to -12.33%	10	2.73%	5.19%
-12.33% to -6.02%	41	11.20%	16.39%
-6.02% to 0.29%	131	35.79%	52.19%
0.29% to 6.60%	116	31.69%	83.88%
6.60% to 12.91%	37	10.11%	93.99%
12.91% to 19.22%	13	3.55%	97.54%
19.22% to 25.53%	7	1.91%	99.45%
Greater than 25.53%	2	0.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.13%	8.70%	77.87%	68.27%
±2σ	-16.54%	17.11%	93.72%	95.45%
±3σ	-24.95%	25.53%	98.63%	99.73%

Descriptive Statistics

均值	0.287%
Standard Error	0.440%
中位数	0.000%
Mode	0.000%
Standard Deviation	8.414%
Sample Variance	70.789%
峰度	4.44
偏度	0.52
Range	76.853%
Minimum	-28.192%
Maximum	48.661%
Count	366

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.219%	181	49.45%	3.076%
负向	-5.607%	182	49.73%	-2.788%
Zero	0.000%	3	0.82%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.79%
12	1 Quarter	12.47%
52	1 Year	9.27%
156	3 Years	8.81%
260	5 Years	10.30%
520	10 Years	11.43%
1,040	20 Years	11.43%
2,600	50 Years	11.43%

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 2.10. Further, an Excess 峰度 of 5.89 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.16%	0	0.00%	0.00%
-12.16% to -6.07%	0	0.00%	0.00%
-6.07% to 0.02%	0	0.00%	0.00%
0.02% to 6.11%	66	17.98%	17.98%
6.11% to 12.20%	175	47.68%	65.67%
12.20% to 18.29%	60	16.35%	82.02%
18.29% to 24.38%	42	11.44%	93.46%
24.38% to 30.47%	9	2.45%	95.91%
30.47% to 36.56%	8	2.18%	98.09%
Greater than 36.56%	7	1.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.08%	20.32%	81.20%	68.27%
±2σ	-4.04%	28.44%	95.64%	95.45%
±3σ	-12.16%	36.56%	98.09%	99.73%

Descriptive Statistics

均值	12.203%
Standard Error	0.424%
中位数	9.832%
Mode	3.299%
Standard Deviation	8.120%
Sample Variance	65.927%
峰度	5.89
偏度	2.10
Range	54.303%
Minimum	2.053%
Maximum	56.356%
Count	367

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.203%	367	100.00%	12.203%
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 4.64 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.77%	2	0.54%	0.54%
-24.77% to -18.44%	0	0.00%	0.54%
-18.44% to -12.11%	14	3.81%	4.36%
-12.11% to -5.78%	48	13.08%	17.44%
-5.78% to 0.56%	137	37.33%	54.77%
0.56% to 6.89%	109	29.70%	84.47%
6.89% to 13.22%	36	9.81%	94.28%
13.22% to 19.56%	9	2.45%	96.73%
19.56% to 25.89%	6	1.63%	98.37%
Greater than 25.89%	6	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.89%	9.00%	79.29%	68.27%
±2σ	-16.33%	17.45%	94.28%	95.45%
±3σ	-24.78%	25.89%	97.82%	99.73%

Descriptive Statistics

均值	0.557%
Standard Error	0.441%
中位数	0.036%
Mode	6.865%
Standard Deviation	8.444%
Sample Variance	71.306%
峰度	4.64
偏度	1.00
Range	78.742%
Minimum	-33.038%
Maximum	45.704%
Count	367

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.344%	184	50.14%	3.181%
负向	-5.318%	181	49.32%	-2.623%
Zero	0.000%	2	0.55%	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 0.73. Further, an Excess 峰度 of 1.44 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.27%	0	0.00%	0.00%
-44.27% to -33.07%	0	0.00%	0.00%
-33.07% to -21.87%	5	5.95%	5.95%
-21.87% to -10.67%	12	14.29%	20.24%
-10.67% to 0.53%	28	33.33%	53.57%
0.53% to 11.73%	22	26.19%	79.76%
11.73% to 22.93%	13	15.48%	95.24%
22.93% to 34.13%	2	2.38%	97.62%
34.13% to 45.33%	1	1.19%	98.81%
Greater than 45.33%	1	1.19%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.40%	15.46%	70.24%	68.27%
±2σ	-29.34%	30.40%	96.43%	95.45%
±3σ	-44.27%	45.33%	98.81%	99.73%

Descriptive Statistics

均值	0.531%
Standard Error	1.629%
中位数	-1.643%
Mode	-27.502%
Standard Deviation	14.933%
Sample Variance	222.984%
峰度	1.44
偏度	0.73
Range	82.170%
Minimum	-27.502%
Maximum	54.668%
Count	84

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.670%	40	47.62%	6.033%
负向	-10.504%	44	52.38%	-5.502%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.77%
12	1 Year	21.48%
36	3 Years	19.10%
60	5 Years	21.41%
120	10 Years	24.10%
240	20 Years	24.10%
600	50 Years	24.10%

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 1.93. Further, an Excess 峰度 of 5.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.57%	0	0.00%	0.00%
-16.57% to -5.42%	0	0.00%	0.00%
-5.42% to 5.74%	0	0.00%	0.00%
5.74% to 16.89%	17	20.00%	20.00%
16.89% to 28.04%	38	44.71%	64.71%
28.04% to 39.20%	14	16.47%	81.18%
39.20% to 50.35%	8	9.41%	90.59%
50.35% to 61.50%	5	5.88%	96.47%
61.50% to 72.65%	2	2.35%	98.82%
Greater than 72.65%	1	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.17%	42.91%	81.18%	68.27%
±2σ	-1.70%	57.78%	95.29%	95.45%
±3σ	-16.57%	72.65%	98.82%	99.73%

Descriptive Statistics

均值	28.042%
Standard Error	1.613%
中位数	24.060%
Mode	35.670%
Standard Deviation	14.870%
Sample Variance	221.104%
峰度	5.75
偏度	1.93
Range	89.918%
Minimum	9.884%
Maximum	99.802%
Count	85

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.042%	85	100.00%	28.042%
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 0.25. Further, an Excess 峰度 of 0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.33%	0	0.00%	0.00%
-42.33% to -31.42%	1	1.18%	1.18%
-31.42% to -20.51%	3	3.53%	4.71%
-20.51% to -9.60%	14	16.47%	21.18%
-9.60% to 1.32%	26	30.59%	51.76%
1.32% to 12.23%	25	29.41%	81.18%
12.23% to 23.14%	8	9.41%	90.59%
23.14% to 34.05%	6	7.06%	97.65%
34.05% to 44.97%	2	2.35%	100.00%
Greater than 44.97%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.23%	15.87%	69.41%	68.27%
±2σ	-27.78%	30.42%	94.12%	95.45%
±3σ	-42.33%	44.97%	100.00%	99.73%

Descriptive Statistics

均值	1.316%
Standard Error	1.578%
中位数	0.770%
Mode	-34.296%
Standard Deviation	14.550%
Sample Variance	211.699%
峰度	0.05
偏度	0.25
Range	71.072%
Minimum	-34.296%
Maximum	36.776%
Count	85

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.573%	43	50.59%	6.360%
负向	-10.210%	42	49.41%	-5.045%
Zero	0.000%	0	0.00%	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 1.23. Further, an Excess 峰度 of 1.24 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -80.16%	0	0.00%	0.00%
-80.16% to -59.74%	0	0.00%	0.00%
-59.74% to -39.32%	0	0.00%	0.00%
-39.32% to -18.89%	5	17.86%	17.86%
-18.89% to 1.53%	13	46.43%	64.29%
1.53% to 21.95%	4	14.29%	78.57%
21.95% to 42.38%	3	10.71%	89.29%
42.38% to 62.80%	1	3.57%	92.86%
62.80% to 83.22%	2	7.14%	100.00%
Greater than 83.22%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.70%	28.76%	78.57%	68.27%
±2σ	-52.93%	55.99%	92.86%	95.45%
±3σ	-80.16%	83.22%	100.00%	99.73%

Descriptive Statistics

均值	1.529%
Standard Error	5.146%
中位数	-5.643%
Mode	-33.781%
Standard Deviation	27.231%
Sample Variance	741.549%
峰度	1.24
偏度	1.23
Range	105.697%
Minimum	-33.781%
Maximum	71.916%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.790%	10	35.71%	10.639%
负向	-14.172%	18	64.29%	-9.111%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	39.44%
12	3 Years	35.05%
20	5 Years	36.17%
40	10 Years	42.74%
80	20 Years	42.74%
200	50 Years	42.74%

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 2.20. Further, an Excess 峰度 of 5.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.32%	0	0.00%	0.00%
-39.32% to -15.61%	0	0.00%	0.00%
-15.61% to 8.11%	0	0.00%	0.00%
8.11% to 31.82%	5	17.24%	17.24%
31.82% to 55.53%	15	51.72%	68.97%
55.53% to 79.25%	5	17.24%	86.21%
79.25% to 102.96%	1	3.45%	89.66%
102.96% to 126.67%	2	6.90%	96.55%
126.67% to 150.39%	0	0.00%	96.55%
Greater than 150.39%	1	3.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.91%	87.15%	86.21%	68.27%
±2σ	-7.70%	118.77%	96.55%	95.45%
±3σ	-39.32%	150.39%	96.55%	99.73%

Descriptive Statistics

均值	55.532%
Standard Error	5.871%
中位数	49.806%
Mode	24.060%
Standard Deviation	31.618%
Sample Variance	999.701%
峰度	5.56
偏度	2.20
Range	145.742%
Minimum	24.060%
Maximum	169.802%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	55.532%	29	100.00%	55.532%
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 0.09. Further, an Excess 峰度 of -0.32 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -70.92%	0	0.00%	0.00%
-70.92% to -52.35%	0	0.00%	0.00%
-52.35% to -33.79%	2	6.90%	6.90%
-33.79% to -15.23%	5	17.24%	24.14%
-15.23% to 3.33%	6	20.69%	44.83%
3.33% to 21.89%	10	34.48%	79.31%
21.89% to 40.45%	3	10.34%	89.66%
40.45% to 59.01%	3	10.34%	100.00%
59.01% to 77.57%	0	0.00%	100.00%
Greater than 77.57%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.42%	28.08%	68.97%	68.27%
±2σ	-46.17%	52.82%	100.00%	95.45%
±3σ	-70.92%	77.57%	100.00%	99.73%

Descriptive Statistics

均值	3.328%
Standard Error	4.596%
中位数	5.544%
Mode	-41.761%
Standard Deviation	24.748%
Sample Variance	612.443%
峰度	-0.32
偏度	0.09
Range	92.371%
Minimum	-41.761%
Maximum	50.610%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.758%	17	58.62%	11.582%
负向	-19.946%	12	41.38%	-8.253%
Zero	0.000%	0	0.00%	0.000%

PINS 深度分析报告