RUN 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	4.99%	3.87%	4.23%	7.75%	5.38%	5.42%	12.07	13.44	11.44	14.19
周度	11.30%	11.50%	11.68%	18.36%	11.85%	11.93%	11.32	14.34	10.05	16.15
月度	23.06%	25.02%	22.65%	38.06%	24.66%	24.84%	9.96	16.30	7.78	20.86
季度	42.72%	48.04%	40.14%	65.48%	42.72%	43.02%	8.31	19.53	5.42	29.94
Annual	—	—	—	—	85.44%	86.04%	5.42	29.94	2.31	70.35
Option Time Horizon	—	—	—	—	32.56%	32.78%	9.20	17.64	6.64	24.43

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $12.74 | Strike (K): $13.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.5650 (Bid $1.4100 / Ask $1.7200) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 85.44% (CRR binomial tree, American, n=20 steps) | BS IV: 85.38% (European Black-Scholes) | Yahoo IV (Annual): 86.04% → 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 0.03. Further, an Excess 峰度 of 7.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.84%	17	0.63%	0.63%
-14.84% to -11.10%	16	0.59%	1.22%
-11.10% to -7.35%	96	3.56%	4.79%
-7.35% to -3.61%	340	12.62%	17.40%
-3.61% to 0.13%	891	33.06%	50.46%
0.13% to 3.88%	872	32.36%	82.82%
3.88% to 7.62%	321	11.91%	94.73%
7.62% to 11.36%	97	3.60%	98.33%
11.36% to 15.11%	18	0.67%	99.00%
Greater than 15.11%	27	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.86%	5.12%	76.85%	68.27%
±2σ	-9.85%	10.11%	95.51%	95.45%
±3σ	-14.84%	15.10%	98.37%	99.73%

Descriptive Statistics

均值	0.132%
Standard Error	0.096%
中位数	0.079%
Mode	0.000%
Standard Deviation	4.991%
Sample Variance	24.910%
峰度	7.33
偏度	0.03
Range	72.865%
Minimum	-40.041%
Maximum	32.824%
Count	2695

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.598%	1359	50.43%	1.814%
负向	-3.456%	1312	48.68%	-1.682%
Zero	0.000%	24	0.89%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.43%
20	1 Month	6.00%
60	1 Quarter	7.53%
250	1 Year	8.65%
750	3 Years	7.98%
1,250	5 Years	7.75%
2,500	10 Years	6.67%
5,000	20 Years	6.79%
12,500	50 Years	6.79%

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 3.12. Further, an Excess 峰度 of 20.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.00%	0	0.00%	0.00%
-5.00% to -2.10%	0	0.00%	0.00%
-2.10% to 0.80%	0	0.00%	0.00%
0.80% to 3.71%	493	18.29%	18.29%
3.71% to 6.61%	1125	41.73%	60.01%
6.61% to 9.51%	663	24.59%	84.61%
9.51% to 12.42%	247	9.16%	93.77%
12.42% to 15.32%	91	3.38%	97.14%
15.32% to 18.22%	37	1.37%	98.52%
Greater than 18.22%	40	1.48%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.74%	10.48%	83.31%	68.27%
±2σ	-1.13%	14.35%	96.62%	95.45%
±3σ	-5.00%	18.22%	98.52%	99.73%

Descriptive Statistics

均值	6.611%
Standard Error	0.075%
中位数	5.790%
Mode	4.564%
Standard Deviation	3.871%
Sample Variance	14.987%
峰度	20.13
偏度	3.12
Range	49.116%
Minimum	1.165%
Maximum	50.281%
Count	2696

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.611%	2696	100.00%	6.611%
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 0.49. Further, an Excess 峰度 of 5.50 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.54%	14	0.52%	0.52%
-12.54% to -9.37%	27	1.00%	1.52%
-9.37% to -6.19%	97	3.60%	5.12%
-6.19% to -3.02%	374	13.87%	18.99%
-3.02% to 0.16%	891	33.05%	52.04%
0.16% to 3.33%	810	30.04%	82.08%
3.33% to 6.50%	325	12.05%	94.14%
6.50% to 9.68%	107	3.97%	98.11%
9.68% to 12.85%	33	1.22%	99.33%
Greater than 12.85%	18	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.08%	4.39%	74.70%	68.27%
±2σ	-8.31%	8.62%	94.84%	95.45%
±3σ	-12.54%	12.85%	98.81%	99.73%

Descriptive Statistics

均值	0.157%
Standard Error	0.082%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.232%
Sample Variance	17.910%
峰度	5.50
偏度	0.49
Range	65.015%
Minimum	-24.713%
Maximum	40.302%
Count	2696

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.254%	1330	49.33%	1.605%
负向	-2.931%	1332	49.41%	-1.448%
Zero	0.000%	34	1.26%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.29. Further, an Excess 峰度 of 2.96 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -33.22%	6	1.07%	1.07%
-33.22% to -24.75%	4	0.72%	1.79%
-24.75% to -16.27%	15	2.68%	4.47%
-16.27% to -7.79%	78	13.95%	18.43%
-7.79% to 0.68%	183	32.74%	51.16%
0.68% to 9.16%	175	31.31%	82.47%
9.16% to 17.63%	72	12.88%	95.35%
17.63% to 26.11%	10	1.79%	97.14%
26.11% to 34.59%	10	1.79%	98.93%
Greater than 34.59%	6	1.07%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.62%	11.98%	76.92%	68.27%
±2σ	-21.92%	23.28%	94.81%	95.45%
±3σ	-33.22%	34.59%	97.85%	99.73%

Descriptive Statistics

均值	0.682%
Standard Error	0.478%
中位数	0.433%
Mode	0.000%
Standard Deviation	11.301%
Sample Variance	127.710%
峰度	2.96
偏度	0.29
Range	100.498%
Minimum	-43.478%
Maximum	57.020%
Count	559

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.626%	287	51.34%	4.429%
负向	-7.815%	268	47.94%	-3.747%
Zero	0.000%	4	0.72%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.43%
12	1 Quarter	16.97%
52	1 Year	20.66%
156	3 Years	19.16%
260	5 Years	18.36%
520	10 Years	15.70%
1,040	20 Years	15.91%
2,600	50 Years	15.91%

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 2.96. Further, an Excess 峰度 of 14.99 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.02%	0	0.00%	0.00%
-17.02% to -8.39%	0	0.00%	0.00%
-8.39% to 0.23%	0	0.00%	0.00%
0.23% to 8.86%	92	16.43%	16.43%
8.86% to 17.48%	265	47.32%	63.75%
17.48% to 26.11%	123	21.96%	85.71%
26.11% to 34.74%	47	8.39%	94.11%
34.74% to 43.36%	16	2.86%	96.96%
43.36% to 51.99%	6	1.07%	98.04%
Greater than 51.99%	11	1.96%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.98%	28.98%	84.46%	68.27%
±2σ	-5.52%	40.49%	95.54%	95.45%
±3σ	-17.02%	51.99%	98.04%	99.73%

Descriptive Statistics

均值	17.484%
Standard Error	0.486%
中位数	14.540%
Mode	7.212%
Standard Deviation	11.501%
Sample Variance	132.278%
峰度	14.99
偏度	2.96
Range	110.653%
Minimum	2.513%
Maximum	113.166%
Count	560

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.484%	560	100.00%	17.484%
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 1.61. Further, an Excess 峰度 of 8.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.33%	1	0.18%	0.18%
-34.33% to -25.57%	4	0.71%	0.89%
-25.57% to -16.80%	16	2.86%	3.75%
-16.80% to -8.04%	76	13.57%	17.32%
-8.04% to 0.72%	215	38.39%	55.71%
0.72% to 9.48%	160	28.57%	84.29%
9.48% to 18.25%	61	10.89%	95.18%
18.25% to 27.01%	15	2.68%	97.86%
27.01% to 35.77%	4	0.71%	98.57%
Greater than 35.77%	8	1.43%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.96%	12.41%	78.39%	68.27%
±2σ	-22.65%	24.09%	95.71%	95.45%
±3σ	-34.33%	35.77%	98.39%	99.73%

Descriptive Statistics

均值	0.722%
Standard Error	0.494%
中位数	-0.118%
Mode	0.000%
Standard Deviation	11.684%
Sample Variance	136.515%
峰度	8.69
偏度	1.61
Range	123.802%
Minimum	-36.131%
Maximum	87.671%
Count	560

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.034%	270	48.21%	4.356%
负向	-7.140%	285	50.89%	-3.634%
Zero	0.000%	5	0.89%	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 0.86. Further, an Excess 峰度 of 1.22 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.70%	0	0.00%	0.00%
-66.70% to -49.40%	0	0.00%	0.00%
-49.40% to -32.11%	4	3.12%	3.12%
-32.11% to -14.81%	30	23.44%	26.56%
-14.81% to 2.48%	35	27.34%	53.91%
2.48% to 19.78%	34	26.56%	80.47%
19.78% to 37.07%	14	10.94%	91.41%
37.07% to 54.37%	8	6.25%	97.66%
54.37% to 71.66%	1	0.78%	98.44%
Greater than 71.66%	2	1.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.58%	25.54%	76.56%	68.27%
±2σ	-43.64%	48.60%	95.31%	95.45%
±3σ	-66.70%	71.66%	98.44%	99.73%

Descriptive Statistics

均值	2.482%
Standard Error	2.038%
中位数	-0.268%
Mode	-47.777%
Standard Deviation	23.060%
Sample Variance	531.782%
峰度	1.22
偏度	0.86
Range	133.832%
Minimum	-47.777%
Maximum	86.055%
Count	128

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.340%	63	49.22%	10.011%
负向	-14.827%	65	50.78%	-7.529%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	30.03%
12	1 Year	42.31%
36	3 Years	39.82%
60	5 Years	38.06%
120	10 Years	34.33%
240	20 Years	35.19%
600	50 Years	35.19%

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 2.03. Further, an Excess 峰度 of 6.61 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.41%	0	0.00%	0.00%
-31.41% to -12.65%	0	0.00%	0.00%
-12.65% to 6.11%	0	0.00%	0.00%
6.11% to 24.87%	29	22.48%	22.48%
24.87% to 43.63%	46	35.66%	58.14%
43.63% to 62.40%	30	23.26%	81.40%
62.40% to 81.16%	15	11.63%	93.02%
81.16% to 99.92%	5	3.88%	96.90%
99.92% to 118.68%	1	0.78%	97.67%
Greater than 118.68%	3	2.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.62%	68.65%	79.84%	68.27%
±2σ	-6.40%	93.66%	96.12%	95.45%
±3σ	-31.41%	118.68%	97.67%	99.73%

Descriptive Statistics

均值	43.634%
Standard Error	2.202%
中位数	39.121%
Mode	11.488%
Standard Deviation	25.015%
Sample Variance	625.753%
峰度	6.61
偏度	2.03
Range	164.581%
Minimum	11.488%
Maximum	176.069%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.634%	129	100.00%	43.634%
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 1.45 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.18%	0	0.00%	0.00%
-65.18% to -48.19%	0	0.00%	0.00%
-48.19% to -31.20%	7	5.43%	5.43%
-31.20% to -14.21%	23	17.83%	23.26%
-14.21% to 2.78%	41	31.78%	55.04%
2.78% to 19.77%	28	21.71%	76.74%
19.77% to 36.76%	22	17.05%	93.80%
36.76% to 53.75%	5	3.88%	97.67%
53.75% to 70.73%	1	0.78%	98.45%
Greater than 70.73%	2	1.55%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.87%	25.43%	68.99%	68.27%
±2σ	-42.53%	48.08%	95.35%	95.45%
±3σ	-65.18%	70.73%	98.45%	99.73%

Descriptive Statistics

均值	2.779%
Standard Error	1.994%
中位数	1.250%
Mode	-46.252%
Standard Deviation	22.652%
Sample Variance	513.127%
峰度	1.45
偏度	0.67
Range	138.925%
Minimum	-46.252%
Maximum	92.673%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.194%	68	52.71%	10.118%
负向	-15.520%	61	47.29%	-7.339%
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 1.36. Further, an Excess 峰度 of 2.84 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -119.71%	0	0.00%	0.00%
-119.71% to -87.67%	0	0.00%	0.00%
-87.67% to -55.64%	0	0.00%	0.00%
-55.64% to -23.60%	10	23.81%	23.81%
-23.60% to 8.44%	13	30.95%	54.76%
8.44% to 40.47%	9	21.43%	76.19%
40.47% to 72.51%	8	19.05%	95.24%
72.51% to 104.55%	1	2.38%	97.62%
104.55% to 136.59%	0	0.00%	97.62%
Greater than 136.59%	1	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-34.28%	51.15%	80.95%	68.27%
±2σ	-77.00%	93.87%	95.24%	95.45%
±3σ	-119.71%	136.59%	97.62%	99.73%

Descriptive Statistics

均值	8.437%
Standard Error	6.591%
中位数	1.058%
Mode	-55.045%
Standard Deviation	42.716%
Sample Variance	1824.663%
峰度	2.84
偏度	1.36
Range	216.556%
Minimum	-55.045%
Maximum	161.511%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.426%	22	52.38%	20.128%
负向	-25.845%	19	45.24%	-11.692%
Zero	0.000%	1	2.38%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	82.76%
12	3 Years	71.66%
20	5 Years	65.48%
40	10 Years	64.66%
80	20 Years	65.54%
200	50 Years	65.54%

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 1.26. Further, an Excess 峰度 of 1.87 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.68%	0	0.00%	0.00%
-54.68% to -18.65%	0	0.00%	0.00%
-18.65% to 17.38%	0	0.00%	0.00%
17.38% to 53.41%	10	23.26%	23.26%
53.41% to 89.44%	15	34.88%	58.14%
89.44% to 125.47%	9	20.93%	79.07%
125.47% to 161.50%	5	11.63%	90.70%
161.50% to 197.53%	2	4.65%	95.35%
197.53% to 233.56%	1	2.33%	97.67%
Greater than 233.56%	1	2.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	41.40%	137.48%	72.09%	68.27%
±2σ	-6.64%	185.52%	95.35%	95.45%
±3σ	-54.68%	233.56%	97.67%	99.73%

Descriptive Statistics

均值	89.442%
Standard Error	7.326%
中位数	84.014%
Mode	27.444%
Standard Deviation	48.040%
Sample Variance	2307.835%
峰度	1.87
偏度	1.26
Range	219.941%
Minimum	27.444%
Maximum	247.385%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	89.442%	43	100.00%	89.442%
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 0.76. Further, an Excess 峰度 of 0.68 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -112.90%	0	0.00%	0.00%
-112.90% to -82.79%	0	0.00%	0.00%
-82.79% to -52.68%	1	2.33%	2.33%
-52.68% to -22.57%	11	25.58%	27.91%
-22.57% to 7.53%	11	25.58%	53.49%
7.53% to 37.64%	11	25.58%	79.07%
37.64% to 67.75%	6	13.95%	93.02%
67.75% to 97.85%	2	4.65%	97.67%
97.85% to 127.96%	1	2.33%	100.00%
Greater than 127.96%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.61%	47.67%	69.77%	68.27%
±2σ	-72.75%	87.82%	95.35%	95.45%
±3σ	-112.90%	127.96%	100.00%	99.73%

Descriptive Statistics

均值	7.532%
Standard Error	6.122%
中位数	-0.576%
Mode	-63.505%
Standard Deviation	40.143%
Sample Variance	1611.421%
峰度	0.68
偏度	0.76
Range	189.459%
Minimum	-63.505%
Maximum	125.954%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	42.102%	20	46.51%	19.582%
负向	-22.530%	23	53.49%	-12.051%
Zero	0.000%	0	0.00%	0.000%

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