QS 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	6.70%	4.87%	5.01%	7.06%	5.56%	5.64%	6.83	7.63	6.46	8.07
周度	17.17%	18.52%	14.97%	17.14%	12.24%	12.40%	6.39	8.16	5.65	9.22
月度	45.23%	59.32%	26.66%	37.80%	25.48%	25.82%	5.60	9.31	4.34	12.02
季度	75.62%	200.39%	51.32%	75.87%	44.13%	44.73%	4.64	11.22	2.99	17.45
Annual	—	—	—	—	88.25%	89.45%	2.99	17.45	1.24	42.18
Option Time Horizon	—	—	—	—	33.63%	34.09%	5.16	10.11	3.68	14.15

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $7.22 | Strike (K): $8.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.6950 (Bid $0.6900 / Ask $0.7000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 88.25% (CRR binomial tree, American, n=20 steps) | BS IV: 89.05% (European Black-Scholes) | Yahoo IV (Annual): 89.45% → 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 2.99. Further, an Excess 峰度 of 29.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.93%	3	0.21%	0.21%
-19.93% to -14.90%	7	0.49%	0.70%
-14.90% to -9.87%	26	1.82%	2.52%
-9.87% to -4.84%	173	12.11%	14.64%
-4.84% to 0.18%	588	41.18%	55.81%
0.18% to 5.21%	448	31.37%	87.18%
5.21% to 10.24%	121	8.47%	95.66%
10.24% to 15.27%	30	2.10%	97.76%
15.27% to 20.30%	13	0.91%	98.67%
Greater than 20.30%	19	1.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.52%	6.89%	83.12%	68.27%
±2σ	-13.22%	13.59%	96.22%	95.45%
±3σ	-19.93%	20.29%	98.46%	99.73%

Descriptive Statistics

均值	0.183%
Standard Error	0.177%
中位数	-0.323%
Mode	0.000%
Standard Deviation	6.704%
Sample Variance	44.948%
峰度	29.24
偏度	2.99
Range	128.241%
Minimum	-40.841%
Maximum	87.400%
Count	1428

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.711%	655	45.87%	2.161%
负向	-3.746%	754	52.80%	-1.978%
Zero	0.000%	19	1.33%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	12.34%
20	1 Month	7.61%
60	1 Quarter	6.50%
250	1 Year	7.96%
750	3 Years	6.75%
1,250	5 Years	7.06%
2,500	10 Years	7.64%
5,000	20 Years	7.64%
12,500	50 Years	7.64%

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 3.24. Further, an Excess 峰度 of 19.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.17%	0	0.00%	0.00%
-7.17% to -3.52%	0	0.00%	0.00%
-3.52% to 0.14%	1	0.07%	0.07%
0.14% to 3.79%	196	13.72%	13.79%
3.79% to 7.45%	695	48.64%	62.42%
7.45% to 11.10%	333	23.30%	85.72%
11.10% to 14.76%	116	8.12%	93.84%
14.76% to 18.41%	40	2.80%	96.64%
18.41% to 22.07%	21	1.47%	98.11%
Greater than 22.07%	27	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.58%	12.32%	87.68%	68.27%
±2σ	-2.30%	17.19%	95.94%	95.45%
±3σ	-7.17%	22.07%	98.11%	99.73%

Descriptive Statistics

均值	7.448%
Standard Error	0.129%
中位数	6.125%
Mode	5.263%
Standard Deviation	4.873%
Sample Variance	23.743%
峰度	19.80
偏度	3.24
Range	63.163%
Minimum	0.102%
Maximum	63.265%
Count	1429

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.448%	1429	100.00%	7.448%
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 -0.40. Further, an Excess 峰度 of 4.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.70%	14	0.98%	0.98%
-14.70% to -10.94%	13	0.91%	1.89%
-10.94% to -7.18%	48	3.36%	5.25%
-7.18% to -3.42%	170	11.90%	17.14%
-3.42% to 0.34%	457	31.98%	49.13%
0.34% to 4.11%	469	32.82%	81.95%
4.11% to 7.87%	189	13.23%	95.17%
7.87% to 11.63%	45	3.15%	98.32%
11.63% to 15.39%	17	1.19%	99.51%
Greater than 15.39%	7	0.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.67%	5.36%	76.91%	68.27%
±2σ	-9.69%	10.37%	94.68%	95.45%
±3σ	-14.70%	15.39%	98.53%	99.73%

Descriptive Statistics

均值	0.344%
Standard Error	0.133%
中位数	0.415%
Mode	0.000%
Standard Deviation	5.015%
Sample Variance	25.155%
峰度	4.60
偏度	-0.40
Range	63.297%
Minimum	-32.973%
Maximum	30.324%
Count	1429

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.633%	770	53.88%	1.958%
负向	-3.624%	636	44.51%	-1.613%
Zero	0.000%	23	1.61%	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 2.81. Further, an Excess 峰度 of 16.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -50.38%	1	0.34%	0.34%
-50.38% to -37.51%	1	0.34%	0.67%
-37.51% to -24.63%	2	0.67%	1.35%
-24.63% to -11.76%	37	12.46%	13.80%
-11.76% to 1.12%	135	45.45%	59.26%
1.12% to 14.00%	81	27.27%	86.53%
14.00% to 26.87%	25	8.42%	94.95%
26.87% to 39.75%	8	2.69%	97.64%
39.75% to 52.62%	2	0.67%	98.32%
Greater than 52.62%	5	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.05%	18.29%	83.16%	68.27%
±2σ	-33.22%	35.46%	96.30%	95.45%
±3σ	-50.38%	52.62%	97.98%	99.73%

Descriptive Statistics

均值	1.120%
Standard Error	0.996%
中位数	-0.867%
Mode	-56.632%
Standard Deviation	17.168%
Sample Variance	294.752%
峰度	16.91
偏度	2.81
Range	183.905%
Minimum	-56.632%
Maximum	127.273%
Count	297

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.651%	135	45.45%	5.751%
负向	-8.542%	161	54.21%	-4.631%
Zero	0.000%	1	0.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	19.35%
12	1 Quarter	15.18%
52	1 Year	19.82%
156	3 Years	16.79%
260	5 Years	17.14%
520	10 Years	19.48%
1,040	20 Years	19.48%
2,600	50 Years	19.48%

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 4.23. Further, an Excess 峰度 of 25.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.06%	0	0.00%	0.00%
-34.06% to -20.17%	0	0.00%	0.00%
-20.17% to -6.28%	0	0.00%	0.00%
-6.28% to 7.61%	15	5.03%	5.03%
7.61% to 21.49%	180	60.40%	65.44%
21.49% to 35.38%	71	23.83%	89.26%
35.38% to 49.27%	17	5.70%	94.97%
49.27% to 63.16%	7	2.35%	97.32%
63.16% to 77.05%	3	1.01%	98.32%
Greater than 77.05%	5	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.98%	40.01%	90.60%	68.27%
±2σ	-15.54%	58.53%	96.64%	95.45%
±3σ	-34.06%	77.05%	98.32%	99.73%

Descriptive Statistics

均值	21.494%
Standard Error	1.073%
中位数	16.594%
Mode	10.638%
Standard Deviation	18.519%
Sample Variance	342.949%
峰度	25.27
偏度	4.23
Range	159.593%
Minimum	0.508%
Maximum	160.101%
Count	298

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.494%	298	100.00%	21.494%
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 1.81. Further, an Excess 峰度 of 17.79 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.66%	2	0.67%	0.67%
-43.66% to -32.43%	3	1.01%	1.68%
-32.43% to -21.20%	7	2.35%	4.03%
-21.20% to -9.98%	31	10.40%	14.43%
-9.98% to 1.25%	111	37.25%	51.68%
1.25% to 12.48%	99	33.22%	84.90%
12.48% to 23.71%	33	11.07%	95.97%
23.71% to 34.94%	9	3.02%	98.99%
34.94% to 46.16%	1	0.34%	99.33%
Greater than 46.16%	2	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.72%	16.22%	80.54%	68.27%
±2σ	-28.69%	31.19%	96.31%	95.45%
±3σ	-43.66%	46.16%	98.66%	99.73%

Descriptive Statistics

均值	1.251%
Standard Error	0.867%
中位数	0.845%
Mode	-7.143%
Standard Deviation	14.971%
Sample Variance	224.139%
峰度	17.79
偏度	1.81
Range	182.793%
Minimum	-55.911%
Maximum	126.882%
Count	298

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.507%	155	52.01%	5.465%
负向	-8.843%	142	47.65%	-4.214%
Zero	0.000%	1	0.34%	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 4.31. Further, an Excess 峰度 of 26.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -130.46%	0	0.00%	0.00%
-130.46% to -96.54%	0	0.00%	0.00%
-96.54% to -62.62%	0	0.00%	0.00%
-62.62% to -28.70%	6	8.82%	8.82%
-28.70% to 5.22%	40	58.82%	67.65%
5.22% to 39.14%	14	20.59%	88.24%
39.14% to 73.06%	6	8.82%	97.06%
73.06% to 106.97%	1	1.47%	98.53%
106.97% to 140.89%	0	0.00%	98.53%
Greater than 140.89%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.01%	50.44%	88.24%	68.27%
±2σ	-85.23%	95.67%	98.53%	95.45%
±3σ	-130.46%	140.89%	98.53%	99.73%

Descriptive Statistics

均值	5.219%
Standard Error	5.484%
中位数	-4.991%
Mode	-48.194%
Standard Deviation	45.225%
Sample Variance	2045.279%
峰度	26.13
偏度	4.31
Range	346.499%
Minimum	-48.194%
Maximum	298.305%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.807%	26	38.23%	14.838%
负向	-15.574%	42	61.77%	-9.619%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	35.90%
12	1 Year	52.88%
36	3 Years	38.55%
60	5 Years	37.80%
120	10 Years	48.31%
240	20 Years	48.31%
600	50 Years	48.31%

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 3.94. Further, an Excess 峰度 of 17.87 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -121.04%	0	0.00%	0.00%
-121.04% to -76.55%	0	0.00%	0.00%
-76.55% to -32.06%	0	0.00%	0.00%
-32.06% to 12.43%	1	1.45%	1.45%
12.43% to 56.92%	44	63.77%	65.22%
56.92% to 101.41%	20	28.99%	94.20%
101.41% to 145.90%	1	1.45%	95.65%
145.90% to 190.39%	1	1.45%	97.10%
190.39% to 234.88%	0	0.00%	97.10%
Greater than 234.88%	2	2.90%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.40%	116.24%	94.20%	68.27%
±2σ	-61.72%	175.56%	97.10%	95.45%
±3σ	-121.04%	234.88%	97.10%	99.73%

Descriptive Statistics

均值	56.923%
Standard Error	7.141%
中位数	40.000%
Mode	2.156%
Standard Deviation	59.320%
Sample Variance	3518.905%
峰度	17.87
偏度	3.94
Range	361.449%
Minimum	2.156%
Maximum	363.605%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	56.923%	69	100.00%	56.923%
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 -0.15. 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 -75.94%	0	0.00%	0.00%
-75.94% to -55.95%	1	1.45%	1.45%
-55.95% to -35.95%	5	7.25%	8.70%
-35.95% to -15.96%	9	13.04%	21.74%
-15.96% to 4.04%	19	27.54%	49.28%
4.04% to 24.03%	19	27.54%	76.81%
24.03% to 44.03%	13	18.84%	95.65%
44.03% to 64.02%	2	2.90%	98.55%
64.02% to 84.02%	1	1.45%	100.00%
Greater than 84.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.62%	30.70%	69.57%	68.27%
±2σ	-49.28%	57.36%	95.65%	95.45%
±3σ	-75.94%	84.02%	100.00%	99.73%

Descriptive Statistics

均值	4.039%
Standard Error	3.209%
中位数	4.091%
Mode	-74.617%
Standard Deviation	26.660%
Sample Variance	710.751%
峰度	0.74
偏度	-0.15
Range	155.569%
Minimum	-74.617%
Maximum	80.952%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.660%	41	59.42%	12.276%
负向	-21.051%	27	39.13%	-8.237%
Zero	0.000%	1	1.45%	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 2.21. Further, an Excess 峰度 of 5.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -213.10%	0	0.00%	0.00%
-213.10% to -156.39%	0	0.00%	0.00%
-156.39% to -99.67%	0	0.00%	0.00%
-99.67% to -42.96%	2	9.09%	9.09%
-42.96% to 13.75%	13	59.09%	68.18%
13.75% to 70.47%	3	13.64%	81.82%
70.47% to 127.18%	3	13.64%	95.45%
127.18% to 183.89%	0	0.00%	95.45%
183.89% to 240.61%	0	0.00%	95.45%
Greater than 240.61%	1	4.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-61.86%	89.37%	81.82%	68.27%
±2σ	-137.48%	164.99%	95.45%	95.45%
±3σ	-213.10%	240.61%	95.45%	99.73%

Descriptive Statistics

均值	13.754%
Standard Error	16.122%
中位数	-17.112%
Mode	-60.781%
Standard Deviation	75.618%
Sample Variance	5718.055%
峰度	5.65
偏度	2.21
Range	331.544%
Minimum	-60.781%
Maximum	270.763%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	74.866%	9	40.91%	30.627%
负向	-28.554%	13	59.09%	-16.873%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	130.90%
12	3 Years	87.78%
20	5 Years	75.87%
40	10 Years	119.39%
80	20 Years	119.39%
200	50 Years	119.39%

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 4.13. Further, an Excess 峰度 of 18.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -451.96%	0	0.00%	0.00%
-451.96% to -301.67%	0	0.00%	0.00%
-301.67% to -151.38%	0	0.00%	0.00%
-151.38% to -1.10%	0	0.00%	0.00%
-1.10% to 149.19%	17	73.91%	73.91%
149.19% to 299.48%	5	21.74%	95.65%
299.48% to 449.77%	0	0.00%	95.65%
449.77% to 600.06%	0	0.00%	95.65%
600.06% to 750.35%	0	0.00%	95.65%
Greater than 750.35%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-51.19%	349.58%	95.65%	68.27%
±2σ	-251.58%	549.97%	95.65%	95.45%
±3σ	-451.96%	750.35%	95.65%	99.73%

Descriptive Statistics

均值	149.194%
Standard Error	41.783%
中位数	100.827%
Mode	38.386%
Standard Deviation	200.386%
Sample Variance	40154.689%
峰度	18.37
偏度	4.13
Range	986.444%
Minimum	38.386%
Maximum	1024.830%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	149.194%	23	100.00%	149.194%
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 0.67. Further, an Excess 峰度 of 1.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -140.75%	0	0.00%	0.00%
-140.75% to -102.26%	0	0.00%	0.00%
-102.26% to -63.77%	1	4.35%	4.35%
-63.77% to -25.29%	3	13.04%	17.39%
-25.29% to 13.20%	7	30.43%	47.83%
13.20% to 51.69%	8	34.78%	82.61%
51.69% to 90.18%	2	8.70%	91.30%
90.18% to 128.66%	1	4.35%	95.65%
128.66% to 167.15%	1	4.35%	100.00%
Greater than 167.15%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-38.11%	64.52%	69.57%	68.27%
±2σ	-89.43%	115.83%	95.65%	95.45%
±3σ	-140.75%	167.15%	100.00%	99.73%

Descriptive Statistics

均值	13.202%
Standard Error	10.700%
中位数	20.963%
Mode	-72.731%
Standard Deviation	51.316%
Sample Variance	2633.306%
峰度	1.00
偏度	0.67
Range	220.241%
Minimum	-72.731%
Maximum	147.510%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.666%	15	65.22%	26.521%
负向	-38.292%	8	34.78%	-13.319%
Zero	0.000%	0	0.00%	0.000%

QS 深度分析报告