SEDG 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	4.59%	3.48%	3.80%	6.94%	6.55%	6.60%	42.92	48.93	40.20	52.25
周度	10.15%	9.61%	9.55%	16.74%	14.43%	14.54%	39.67	52.94	34.34	61.16
月度	17.98%	19.96%	19.41%	34.58%	30.04%	30.26%	33.94	61.89	25.13	83.57
季度	35.44%	41.11%	45.92%	62.11%	52.02%	52.42%	27.24	77.11	16.19	129.72
Annual	—	—	—	—	104.05%	104.83%	16.19	129.72	5.72	367.18
Option Time Horizon	—	—	—	—	39.65%	39.95%	30.83	68.13	20.74	101.28

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $45.83 | Strike (K): $47.50 (first OTM call ≥ spot) | Observed Mid-价格: $6.6500 (Bid $6.3000 / Ask $7.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 104.05% (CRR binomial tree, American, n=20 steps) | BS IV: 104.39% (European Black-Scholes) | Yahoo IV (Annual): 104.83% → 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 0.25. Further, an Excess 峰度 of 5.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.65%	21	0.75%	0.75%
-13.65% to -10.21%	19	0.68%	1.44%
-10.21% to -6.76%	94	3.37%	4.81%
-6.76% to -3.31%	332	11.92%	16.73%
-3.31% to 0.13%	974	34.96%	51.69%
0.13% to 3.58%	912	32.74%	84.42%
3.58% to 7.03%	277	9.94%	94.36%
7.03% to 10.47%	98	3.52%	97.88%
10.47% to 13.92%	28	1.01%	98.89%
Greater than 13.92%	31	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.46%	4.73%	78.50%	68.27%
±2σ	-9.06%	9.32%	95.01%	95.45%
±3σ	-13.65%	13.92%	98.13%	99.73%

Descriptive Statistics

均值	0.134%
Standard Error	0.087%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.595%
Sample Variance	21.114%
峰度	5.93
偏度	0.25
Range	62.358%
Minimum	-33.445%
Maximum	28.913%
Count	2786

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.316%	1381	49.57%	1.644%
负向	-3.054%	1377	49.43%	-1.509%
Zero	0.000%	28	1.00%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.56%
20	1 Month	8.73%
60	1 Quarter	9.09%
250	1 Year	9.04%
750	3 Years	7.83%
1,250	5 Years	6.94%
2,500	10 Years	5.99%
5,000	20 Years	6.08%
12,500	50 Years	6.08%

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 3.23. Further, an Excess 峰度 of 27.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.60%	0	0.00%	0.00%
-4.60% to -2.00%	0	0.00%	0.00%
-2.00% to 0.61%	0	0.00%	0.00%
0.61% to 3.22%	516	18.51%	18.51%
3.22% to 5.82%	1185	42.52%	61.03%
5.82% to 8.43%	650	23.32%	84.36%
8.43% to 11.04%	253	9.08%	93.43%
11.04% to 13.64%	93	3.34%	96.77%
13.64% to 16.25%	45	1.61%	98.39%
Greater than 16.25%	45	1.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.35%	9.30%	82.63%	68.27%
±2σ	-1.13%	12.77%	95.84%	95.45%
±3σ	-4.60%	16.25%	98.39%	99.73%

Descriptive Statistics

均值	5.824%
Standard Error	0.066%
中位数	5.061%
Mode	3.125%
Standard Deviation	3.475%
Sample Variance	12.076%
峰度	27.24
偏度	3.23
Range	58.381%
Minimum	1.042%
Maximum	59.423%
Count	2787

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.824%	2787	100.00%	5.824%
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 -0.11. Further, an Excess 峰度 of 4.39 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.32%	18	0.65%	0.65%
-11.32% to -8.46%	29	1.04%	1.69%
-8.46% to -5.61%	111	3.98%	5.67%
-5.61% to -2.76%	336	12.06%	17.73%
-2.76% to 0.10%	892	32.01%	49.73%
0.10% to 2.95%	904	32.44%	82.17%
2.95% to 5.80%	341	12.24%	94.40%
5.80% to 8.65%	106	3.80%	98.21%
8.65% to 11.51%	30	1.08%	99.28%
Greater than 11.51%	20	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.71%	3.90%	75.17%	68.27%
±2σ	-7.51%	7.70%	94.83%	95.45%
±3σ	-11.32%	11.51%	98.64%	99.73%

Descriptive Statistics

均值	0.096%
Standard Error	0.072%
中位数	0.112%
Mode	0.000%
Standard Deviation	3.804%
Sample Variance	14.470%
峰度	4.39
偏度	-0.11
Range	50.467%
Minimum	-29.310%
Maximum	21.157%
Count	2787

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.778%	1419	50.91%	1.414%
负向	-2.725%	1348	48.37%	-1.318%
Zero	0.000%	20	0.72%	0.000%

收盘-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 2.05 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.83%	2	0.35%	0.35%
-29.83% to -22.22%	7	1.21%	1.56%
-22.22% to -14.60%	22	3.81%	5.36%
-14.60% to -6.98%	78	13.49%	18.86%
-6.98% to 0.63%	192	33.22%	52.08%
0.63% to 8.25%	173	29.93%	82.01%
8.25% to 15.87%	68	11.76%	93.77%
15.87% to 23.48%	19	3.29%	97.06%
23.48% to 31.10%	11	1.90%	98.96%
Greater than 31.10%	6	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.52%	10.79%	73.88%	68.27%
±2σ	-19.68%	20.94%	94.29%	95.45%
±3σ	-29.83%	31.10%	98.62%	99.73%

Descriptive Statistics

均值	0.633%
Standard Error	0.422%
中位数	0.220%
Mode	0.000%
Standard Deviation	10.155%
Sample Variance	103.119%
峰度	2.05
偏度	0.46
Range	81.325%
Minimum	-33.028%
Maximum	48.297%
Count	578

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.773%	297	51.38%	3.994%
负向	-7.013%	277	47.92%	-3.361%
Zero	0.000%	4	0.69%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	18.58%
12	1 Quarter	20.67%
52	1 Year	21.83%
156	3 Years	19.08%
260	5 Years	16.74%
520	10 Years	14.24%
1,040	20 Years	14.40%
2,600	50 Years	14.40%

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 2.36. Further, an Excess 峰度 of 9.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.38%	0	0.00%	0.00%
-13.38% to -6.17%	0	0.00%	0.00%
-6.17% to 1.03%	0	0.00%	0.00%
1.03% to 8.24%	102	17.62%	17.62%
8.24% to 15.45%	258	44.56%	62.18%
15.45% to 22.66%	126	21.76%	83.94%
22.66% to 29.87%	49	8.46%	92.40%
29.87% to 37.08%	25	4.32%	96.72%
37.08% to 44.28%	9	1.55%	98.27%
Greater than 44.28%	10	1.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.84%	25.06%	81.87%	68.27%
±2σ	-3.77%	34.67%	95.85%	95.45%
±3σ	-13.38%	44.29%	98.27%	99.73%

Descriptive Statistics

均值	15.452%
Standard Error	0.399%
中位数	13.167%
Mode	8.148%
Standard Deviation	9.611%
Sample Variance	92.369%
峰度	9.49
偏度	2.36
Range	78.574%
Minimum	3.413%
Maximum	81.987%
Count	579

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.452%	579	100.00%	15.452%
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 0.56. Further, an Excess 峰度 of 2.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.24%	1	0.17%	0.17%
-28.24% to -21.07%	8	1.38%	1.55%
-21.07% to -13.91%	22	3.80%	5.35%
-13.91% to -6.74%	76	13.13%	18.48%
-6.74% to 0.42%	202	34.89%	53.37%
0.42% to 7.59%	165	28.50%	81.87%
7.59% to 14.75%	68	11.74%	93.61%
14.75% to 21.92%	24	4.15%	97.75%
21.92% to 29.08%	6	1.04%	98.79%
Greater than 29.08%	7	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.13%	9.98%	73.75%	68.27%
±2σ	-18.69%	19.53%	94.30%	95.45%
±3σ	-28.24%	29.08%	98.62%	99.73%

Descriptive Statistics

均值	0.422%
Standard Error	0.397%
中位数	0.000%
Mode	0.000%
Standard Deviation	9.554%
Sample Variance	91.274%
峰度	2.08
偏度	0.56
Range	75.852%
Minimum	-30.366%
Maximum	45.486%
Count	579

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.409%	289	49.91%	3.698%
负向	-6.632%	286	49.40%	-3.276%
Zero	0.000%	4	0.69%	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 0.32 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.77%	0	0.00%	0.00%
-51.77% to -38.29%	2	1.50%	1.50%
-38.29% to -24.81%	4	3.01%	4.51%
-24.81% to -11.32%	20	15.04%	19.55%
-11.32% to 2.16%	43	32.33%	51.88%
2.16% to 15.64%	39	29.32%	81.20%
15.64% to 29.12%	14	10.53%	91.73%
29.12% to 42.60%	7	5.26%	96.99%
42.60% to 56.09%	4	3.01%	100.00%
Greater than 56.09%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.82%	20.13%	70.68%	68.27%
±2σ	-33.79%	38.11%	93.98%	95.45%
±3σ	-51.77%	56.09%	100.00%	99.73%

Descriptive Statistics

均值	2.158%
Standard Error	1.559%
中位数	1.008%
Mode	-4.394%
Standard Deviation	17.976%
Sample Variance	323.131%
峰度	0.32
偏度	0.22
Range	98.198%
Minimum	-48.438%
Maximum	49.760%
Count	133

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.760%	72	54.13%	7.990%
负向	-12.716%	61	45.87%	-5.832%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	47.93%
12	1 Year	46.39%
36	3 Years	39.63%
60	5 Years	34.58%
120	10 Years	30.33%
240	20 Years	30.84%
600	50 Years	30.84%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.88%	0	0.00%	0.00%
-22.88% to -7.91%	0	0.00%	0.00%
-7.91% to 7.06%	0	0.00%	0.00%
7.06% to 22.03%	29	21.64%	21.64%
22.03% to 36.99%	52	38.81%	60.45%
36.99% to 51.96%	29	21.64%	82.09%
51.96% to 66.93%	14	10.45%	92.54%
66.93% to 81.90%	4	2.99%	95.52%
81.90% to 96.87%	3	2.24%	97.76%
Greater than 96.87%	3	2.24%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	17.04%	56.95%	79.85%	68.27%
±2σ	-2.92%	76.91%	94.03%	95.45%
±3σ	-22.88%	96.87%	97.76%	99.73%

Descriptive Statistics

均值	36.994%
Standard Error	1.724%
中位数	31.974%
Mode	10.631%
Standard Deviation	19.958%
Sample Variance	398.303%
峰度	3.24
偏度	1.65
Range	105.395%
Minimum	10.631%
Maximum	116.026%
Count	134

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.994%	134	100.00%	36.994%
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 1.45. Further, an Excess 峰度 of 4.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -56.93%	0	0.00%	0.00%
-56.93% to -42.38%	0	0.00%	0.00%
-42.38% to -27.82%	6	4.48%	4.48%
-27.82% to -13.27%	20	14.93%	19.40%
-13.27% to 1.29%	51	38.06%	57.46%
1.29% to 15.85%	32	23.88%	81.34%
15.85% to 30.40%	18	13.43%	94.78%
30.40% to 44.96%	3	2.24%	97.01%
44.96% to 59.51%	2	1.49%	98.51%
Greater than 59.51%	2	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.12%	20.70%	73.88%	68.27%
±2σ	-37.52%	40.10%	97.01%	95.45%
±3σ	-56.93%	59.51%	98.51%	99.73%

Descriptive Statistics

均值	1.290%
Standard Error	1.676%
中位数	-1.294%
Mode	-30.683%
Standard Deviation	19.407%
Sample Variance	376.612%
峰度	4.95
偏度	1.45
Range	131.000%
Minimum	-30.683%
Maximum	100.317%
Count	134

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.079%	60	44.78%	7.647%
负向	-11.513%	74	55.22%	-6.358%
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 0.29. Further, an Excess 峰度 of 0.27 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -98.75%	0	0.00%	0.00%
-98.75% to -72.17%	0	0.00%	0.00%
-72.17% to -45.59%	2	4.55%	4.55%
-45.59% to -19.00%	8	18.18%	22.73%
-19.00% to 7.58%	13	29.55%	52.27%
7.58% to 34.16%	8	18.18%	70.45%
34.16% to 60.74%	12	27.27%	97.73%
60.74% to 87.32%	0	0.00%	97.73%
87.32% to 113.90%	1	2.27%	100.00%
Greater than 113.90%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.87%	43.02%	63.64%	68.27%
±2σ	-63.31%	78.46%	95.45%	95.45%
±3σ	-98.75%	113.90%	100.00%	99.73%

Descriptive Statistics

均值	7.576%
Standard Error	5.343%
中位数	3.141%
Mode	-68.546%
Standard Deviation	35.442%
Sample Variance	1256.139%
峰度	0.27
偏度	0.29
Range	178.272%
Minimum	-68.546%
Maximum	109.726%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.301%	24	54.55%	18.164%
负向	-23.294%	20	45.45%	-10.588%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	93.65%
12	3 Years	71.57%
20	5 Years	62.11%
40	10 Years	55.67%
80	20 Years	55.93%
200	50 Years	55.93%

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 1.82. Further, an Excess 峰度 of 4.51 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.81%	0	0.00%	0.00%
-48.81% to -17.98%	0	0.00%	0.00%
-17.98% to 12.85%	0	0.00%	0.00%
12.85% to 43.68%	10	22.22%	22.22%
43.68% to 74.51%	17	37.78%	60.00%
74.51% to 105.34%	11	24.44%	84.44%
105.34% to 136.18%	4	8.89%	93.33%
136.18% to 167.01%	1	2.22%	95.56%
167.01% to 197.84%	1	2.22%	97.78%
Greater than 197.84%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	33.40%	115.62%	82.22%	68.27%
±2σ	-7.70%	156.73%	93.33%	95.45%
±3σ	-48.81%	197.84%	97.78%	99.73%

Descriptive Statistics

均值	74.513%
Standard Error	6.128%
中位数	64.032%
Mode	26.667%
Standard Deviation	41.109%
Sample Variance	1689.923%
峰度	4.51
偏度	1.82
Range	207.069%
Minimum	26.667%
Maximum	233.736%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	74.513%	45	100.00%	74.513%
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 2.42. Further, an Excess 峰度 of 8.65 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -132.08%	0	0.00%	0.00%
-132.08% to -97.64%	0	0.00%	0.00%
-97.64% to -63.20%	0	0.00%	0.00%
-63.20% to -28.77%	10	22.22%	22.22%
-28.77% to 5.67%	17	37.78%	60.00%
5.67% to 40.11%	11	24.44%	84.44%
40.11% to 74.55%	5	11.11%	95.56%
74.55% to 108.99%	1	2.22%	97.78%
108.99% to 143.43%	0	0.00%	97.78%
Greater than 143.43%	1	2.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.24%	51.59%	86.67%	68.27%
±2σ	-86.16%	97.51%	95.56%	95.45%
±3σ	-132.08%	143.43%	97.78%	99.73%

Descriptive Statistics

均值	5.673%
Standard Error	6.845%
中位数	-3.438%
Mode	-51.754%
Standard Deviation	45.918%
Sample Variance	2108.492%
峰度	8.65
偏度	2.42
Range	264.855%
Minimum	-51.754%
Maximum	213.101%
Count	45

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.338%	20	44.44%	17.928%
负向	-22.059%	25	55.56%	-12.255%
Zero	0.000%	0	0.00%	0.000%

SEDG 深度分析报告