RNG 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	3.38%	2.43%	2.85%	4.85%	5.69%	4.35%	38.64	43.29	36.50	45.83
周度	7.28%	6.67%	7.30%	11.56%	12.53%	9.57%	36.08	46.36	31.84	52.54
月度	13.01%	12.50%	12.98%	24.43%	26.07%	19.93%	31.51	53.08	24.28	68.90
季度	23.75%	23.14%	27.51%	42.08%	45.16%	34.52%	26.04	64.25	16.57	100.93
Annual	—	—	—	—	90.33%	69.04%	16.57	100.93	6.72	249.05
Option Time Horizon	—	—	—	—	34.42%	26.31%	28.99	57.70	20.55	81.41

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $40.90 | Strike (K): $45.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.7750 (Bid $2.5500 / Ask $3.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 73.00% | Binomial IV (Annual): 90.33% (CRR binomial tree, American, n=20 steps) | BS IV: 96.49% (European Black-Scholes) | Yahoo IV (Annual): 69.04% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2026-03-09	$0.0750

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.86. Further, an Excess 峰度 of 11.22 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%	13	0.41%	0.41%
-10.05% to -7.51%	30	0.95%	1.36%
-7.51% to -4.98%	128	4.05%	5.41%
-4.98% to -2.45%	348	11.01%	16.42%
-2.45% to 0.08%	1090	34.48%	50.90%
0.08% to 2.61%	1028	32.52%	83.42%
2.61% to 5.15%	374	11.83%	95.25%
5.15% to 7.68%	98	3.10%	98.35%
7.68% to 10.21%	30	0.95%	99.30%
Greater than 10.21%	22	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.29%	3.46%	77.82%	68.27%
±2σ	-6.67%	6.83%	95.25%	95.45%
±3σ	-10.05%	10.21%	98.89%	99.73%

Descriptive Statistics

均值	0.082%
Standard Error	0.060%
中位数	0.047%
Mode	0.000%
Standard Deviation	3.376%
Sample Variance	11.398%
峰度	11.22
偏度	0.86
Range	57.824%
Minimum	-23.425%
Maximum	34.399%
Count	3161

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.380%	1591	50.33%	1.198%
负向	-2.302%	1533	48.50%	-1.116%
Zero	0.000%	37	1.17%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.89%
20	1 Month	5.88%
60	1 Quarter	6.55%
250	1 Year	4.25%
750	3 Years	4.24%
1,250	5 Years	4.85%
2,500	10 Years	4.41%
5,000	20 Years	4.39%
12,500	50 Years	4.39%

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 2.22. Further, an Excess 峰度 of 8.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.03%	0	0.00%	0.00%
-3.03% to -1.21%	0	0.00%	0.00%
-1.21% to 0.62%	0	0.00%	0.00%
0.62% to 2.44%	634	20.05%	20.05%
2.44% to 4.27%	1302	41.18%	61.23%
4.27% to 6.09%	707	22.36%	83.59%
6.09% to 7.92%	288	9.11%	92.69%
7.92% to 9.75%	128	4.05%	96.74%
9.75% to 11.57%	49	1.55%	98.29%
Greater than 11.57%	54	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.83%	6.70%	80.87%	68.27%
±2σ	-0.60%	9.14%	95.64%	95.45%
±3σ	-3.03%	11.57%	98.29%	99.73%

Descriptive Statistics

均值	4.269%
Standard Error	0.043%
中位数	3.673%
Mode	2.558%
Standard Deviation	2.434%
Sample Variance	5.926%
峰度	8.49
偏度	2.22
Range	22.177%
Minimum	0.648%
Maximum	22.825%
Count	3162

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.269%	3162	100.00%	4.269%
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 0.30. Further, an Excess 峰度 of 2.72 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.48%	17	0.54%	0.54%
-8.48% to -6.34%	32	1.01%	1.55%
-6.34% to -4.20%	115	3.64%	5.19%
-4.20% to -2.06%	412	13.03%	18.22%
-2.06% to 0.08%	1085	34.31%	52.53%
0.08% to 2.22%	917	29.00%	81.53%
2.22% to 4.36%	389	12.30%	93.83%
4.36% to 6.50%	126	3.98%	97.82%
6.50% to 8.63%	44	1.39%	99.21%
Greater than 8.63%	25	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.77%	2.93%	74.95%	68.27%
±2σ	-5.62%	5.78%	94.40%	95.45%
±3σ	-8.48%	8.63%	98.67%	99.73%

Descriptive Statistics

均值	0.079%
Standard Error	0.051%
中位数	-0.047%
Mode	0.000%
Standard Deviation	2.852%
Sample Variance	8.134%
峰度	2.72
偏度	0.30
Range	31.443%
Minimum	-13.629%
Maximum	17.814%
Count	3162

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.227%	1529	48.35%	1.077%
负向	-1.972%	1601	50.63%	-0.998%
Zero	0.000%	32	1.01%	0.000%

收盘-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 3.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.45%	3	0.46%	0.46%
-21.45% to -15.99%	9	1.37%	1.83%
-15.99% to -10.53%	27	4.12%	5.95%
-10.53% to -5.07%	86	13.11%	19.05%
-5.07% to 0.39%	204	31.10%	50.15%
0.39% to 5.85%	209	31.86%	82.01%
5.85% to 11.31%	84	12.80%	94.82%
11.31% to 16.77%	23	3.51%	98.32%
16.77% to 22.23%	8	1.22%	99.54%
Greater than 22.23%	3	0.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.89%	7.67%	75.61%	68.27%
±2σ	-14.17%	14.95%	94.82%	95.45%
±3σ	-21.45%	22.23%	99.09%	99.73%

Descriptive Statistics

均值	0.389%
Standard Error	0.284%
中位数	0.370%
Mode	-6.263%
Standard Deviation	7.279%
Sample Variance	52.977%
峰度	3.13
偏度	0.23
Range	71.538%
Minimum	-33.664%
Maximum	37.874%
Count	656

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.388%	349	53.20%	2.866%
负向	-5.293%	307	46.80%	-2.477%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.30%
12	1 Quarter	15.35%
52	1 Year	10.22%
156	3 Years	10.16%
260	5 Years	11.56%
520	10 Years	10.46%
1,040	20 Years	10.37%
2,600	50 Years	10.37%

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 2.38. Further, an Excess 峰度 of 9.03 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.04%	0	0.00%	0.00%
-9.04% to -4.04%	0	0.00%	0.00%
-4.04% to 0.97%	0	0.00%	0.00%
0.97% to 5.98%	132	20.09%	20.09%
5.98% to 10.98%	275	41.86%	61.95%
10.98% to 15.99%	151	22.98%	84.93%
15.99% to 21.00%	52	7.91%	92.85%
21.00% to 26.00%	24	3.65%	96.50%
26.00% to 31.01%	13	1.98%	98.48%
Greater than 31.01%	10	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.31%	17.66%	83.87%	68.27%
±2σ	-2.37%	24.33%	95.43%	95.45%
±3σ	-9.04%	31.01%	98.48%	99.73%

Descriptive Statistics

均值	10.983%
Standard Error	0.260%
中位数	9.218%
Mode	3.111%
Standard Deviation	6.675%
Sample Variance	44.556%
峰度	9.03
偏度	2.38
Range	54.595%
Minimum	2.573%
Maximum	57.168%
Count	657

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.983%	657	100.00%	10.983%
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 0.90. Further, an Excess 峰度 of 4.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.65%	3	0.46%	0.46%
-21.65% to -16.18%	3	0.46%	0.91%
-16.18% to -10.71%	24	3.65%	4.57%
-10.71% to -5.24%	94	14.31%	18.87%
-5.24% to 0.24%	229	34.86%	53.73%
0.24% to 5.71%	189	28.77%	82.50%
5.71% to 11.18%	63	9.59%	92.09%
11.18% to 16.65%	37	5.63%	97.72%
16.65% to 22.12%	9	1.37%	99.09%
Greater than 22.12%	6	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.06%	7.53%	76.71%	68.27%
±2σ	-14.36%	14.83%	95.43%	95.45%
±3σ	-21.65%	22.12%	98.63%	99.73%

Descriptive Statistics

均值	0.237%
Standard Error	0.285%
中位数	-0.294%
Mode	-8.512%
Standard Deviation	7.296%
Sample Variance	53.229%
峰度	4.93
偏度	0.90
Range	79.662%
Minimum	-27.345%
Maximum	52.317%
Count	657

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.797%	311	47.34%	2.744%
负向	-4.788%	344	52.36%	-2.507%
Zero	0.000%	2	0.30%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.21. Further, an Excess 峰度 of -0.23 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.65%	0	0.00%	0.00%
-37.65% to -27.89%	0	0.00%	0.00%
-27.89% to -18.14%	7	4.64%	4.64%
-18.14% to -8.38%	28	18.54%	23.18%
-8.38% to 1.37%	41	27.15%	50.33%
1.37% to 11.13%	39	25.83%	76.16%
11.13% to 20.88%	23	15.23%	91.39%
20.88% to 30.64%	12	7.95%	99.34%
30.64% to 40.39%	0	0.00%	99.34%
Greater than 40.39%	1	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.63%	14.38%	67.55%	68.27%
±2σ	-24.64%	27.39%	95.36%	95.45%
±3σ	-37.65%	40.39%	99.34%	99.73%

Descriptive Statistics

均值	1.373%
Standard Error	1.059%
中位数	1.357%
Mode	7.073%
Standard Deviation	13.007%
Sample Variance	169.188%
峰度	-0.23
偏度	0.21
Range	68.200%
Minimum	-27.609%
Maximum	40.591%
Count	151

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.469%	78	51.66%	5.924%
负向	-9.414%	73	48.34%	-4.551%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	38.13%
12	1 Year	22.20%
36	3 Years	22.22%
60	5 Years	24.43%
120	10 Years	22.21%
240	20 Years	22.11%
600	50 Years	22.11%

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 1.69. Further, an Excess 峰度 of 4.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.19%	0	0.00%	0.00%
-12.19% to -2.81%	0	0.00%	0.00%
-2.81% to 6.57%	0	0.00%	0.00%
6.57% to 15.95%	35	23.03%	23.03%
15.95% to 25.33%	56	36.84%	59.87%
25.33% to 34.70%	32	21.05%	80.92%
34.70% to 44.08%	17	11.18%	92.11%
44.08% to 53.46%	9	5.92%	98.03%
53.46% to 62.84%	1	0.66%	98.68%
Greater than 62.84%	2	1.32%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.82%	37.83%	75.00%	68.27%
±2σ	0.32%	50.33%	94.74%	95.45%
±3σ	-12.19%	62.84%	98.68%	99.73%

Descriptive Statistics

均值	25.326%
Standard Error	1.014%
中位数	22.012%
Mode	6.999%
Standard Deviation	12.504%
Sample Variance	156.346%
峰度	4.70
偏度	1.69
Range	83.286%
Minimum	6.999%
Maximum	90.285%
Count	152

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.326%	152	100.00%	25.326%
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 0.46. Further, an Excess 峰度 of 0.11 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.56%	0	0.00%	0.00%
-38.56% to -28.82%	1	0.66%	0.66%
-28.82% to -19.09%	6	3.95%	4.61%
-19.09% to -9.35%	30	19.74%	24.34%
-9.35% to 0.38%	43	28.29%	52.63%
0.38% to 10.12%	38	25.00%	77.63%
10.12% to 19.85%	23	15.13%	92.76%
19.85% to 29.59%	7	4.61%	97.37%
29.59% to 39.33%	3	1.97%	99.34%
Greater than 39.33%	1	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.60%	13.36%	68.42%	68.27%
±2σ	-25.58%	26.34%	96.05%	95.45%
±3σ	-38.56%	39.32%	99.34%	99.73%

Descriptive Statistics

均值	0.382%
Standard Error	1.053%
中位数	-0.778%
Mode	-28.999%
Standard Deviation	12.981%
Sample Variance	168.499%
峰度	0.11
偏度	0.46
Range	68.374%
Minimum	-28.999%
Maximum	39.375%
Count	152

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.958%	74	48.68%	5.335%
负向	-9.653%	78	51.32%	-4.954%
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 -0.12. Further, an Excess 峰度 of -0.21 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.85%	0	0.00%	0.00%
-66.85% to -49.04%	1	2.00%	2.00%
-49.04% to -31.23%	2	4.00%	6.00%
-31.23% to -13.42%	8	16.00%	22.00%
-13.42% to 4.39%	13	26.00%	48.00%
4.39% to 22.20%	15	30.00%	78.00%
22.20% to 40.01%	8	16.00%	94.00%
40.01% to 57.83%	2	4.00%	98.00%
57.83% to 75.64%	1	2.00%	100.00%
Greater than 75.64%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.36%	28.14%	76.00%	68.27%
±2σ	-43.10%	51.89%	96.00%	95.45%
±3σ	-66.85%	75.64%	100.00%	99.73%

Descriptive Statistics

均值	4.392%
Standard Error	3.358%
中位数	7.159%
Mode	-51.924%
Standard Deviation	23.748%
Sample Variance	563.976%
峰度	-0.21
偏度	-0.12
Range	109.961%
Minimum	-51.924%
Maximum	58.037%
Count	50

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.637%	28	56.00%	12.117%
负向	-17.557%	22	44.00%	-7.725%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	38.23%
12	3 Years	38.99%
20	5 Years	42.08%
40	10 Years	38.86%
80	20 Years	37.89%
200	50 Years	37.89%

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 1.13. Further, an Excess 峰度 of 0.58 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.86%	0	0.00%	0.00%
-21.86% to -4.50%	0	0.00%	0.00%
-4.50% to 12.85%	0	0.00%	0.00%
12.85% to 30.20%	13	25.49%	25.49%
30.20% to 47.56%	20	39.22%	64.71%
47.56% to 64.91%	7	13.73%	78.43%
64.91% to 82.26%	5	9.80%	88.24%
82.26% to 99.62%	4	7.84%	96.08%
99.62% to 116.97%	2	3.92%	100.00%
Greater than 116.97%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.42%	70.70%	74.51%	68.27%
±2σ	1.28%	93.83%	96.08%	95.45%
±3σ	-21.86%	116.97%	100.00%	99.73%

Descriptive Statistics

均值	47.557%
Standard Error	3.240%
中位数	40.492%
Mode	19.818%
Standard Deviation	23.138%
Sample Variance	535.349%
峰度	0.58
偏度	1.13
Range	95.868%
Minimum	19.818%
Maximum	115.686%
Count	51

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	47.557%	51	100.00%	47.557%
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 1.66. Further, an Excess 峰度 of 3.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -81.14%	0	0.00%	0.00%
-81.14% to -60.50%	0	0.00%	0.00%
-60.50% to -39.87%	0	0.00%	0.00%
-39.87% to -19.23%	11	21.57%	21.57%
-19.23% to 1.40%	20	39.22%	60.78%
1.40% to 22.04%	13	25.49%	86.27%
22.04% to 42.67%	4	7.84%	94.12%
42.67% to 63.31%	1	1.96%	96.08%
63.31% to 83.95%	1	1.96%	98.04%
Greater than 83.95%	1	1.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.11%	28.92%	78.43%	68.27%
±2σ	-53.62%	56.43%	96.08%	95.45%
±3σ	-81.14%	83.95%	98.04%	99.73%

Descriptive Statistics

均值	1.404%
Standard Error	3.853%
中位数	-5.867%
Mode	-36.724%
Standard Deviation	27.514%
Sample Variance	757.026%
峰度	3.83
偏度	1.66
Range	144.915%
Minimum	-36.724%
Maximum	108.191%
Count	51

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.074%	22	43.14%	10.816%
负向	-16.553%	29	56.86%	-9.413%
Zero	0.000%	0	0.00%	0.000%

RNG 深度分析报告