SENS 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	5.83%	5.46%	4.91%	7.61%	5.63%	5.72%	6.66	7.46	6.30	7.89
周度	13.81%	17.50%	12.32%	17.70%	12.39%	12.59%	6.23	7.98	5.50	9.03
月度	30.35%	48.39%	25.50%	39.37%	25.80%	26.22%	5.45	9.12	4.21	11.81
季度	92.92%	157.48%	39.45%	74.99%	44.68%	45.41%	4.51	11.02	2.88	17.23
Annual	—	—	—	—	89.36%	90.82%	2.88	17.23	1.18	42.11
Option Time Horizon	—	—	—	—	34.05%	34.61%	5.02	9.91	3.57	13.93

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $7.05 | Strike (K): $7.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.8000 (Bid $0.6000 / Ask $1.0000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 89.36% (CRR binomial tree, American, n=20 steps) | BS IV: 90.37% (European Black-Scholes) | Yahoo IV (Annual): 90.82% → 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 3.28. Further, an Excess 峰度 of 36.41 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.42%	5	0.20%	0.20%
-17.42% to -13.05%	13	0.51%	0.71%
-13.05% to -8.68%	71	2.79%	3.50%
-8.68% to -4.30%	285	11.21%	14.71%
-4.30% to 0.07%	1066	41.94%	56.65%
0.07% to 4.44%	736	28.95%	85.60%
4.44% to 8.81%	255	10.03%	95.63%
8.81% to 13.18%	64	2.52%	98.15%
13.18% to 17.55%	25	0.98%	99.13%
Greater than 17.55%	22	0.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.76%	5.90%	82.22%	68.27%
±2σ	-11.59%	11.72%	96.46%	95.45%
±3σ	-17.42%	17.55%	98.94%	99.73%

Descriptive Statistics

均值	0.067%
Standard Error	0.116%
中位数	-0.342%
Mode	0.000%
Standard Deviation	5.829%
Sample Variance	33.982%
峰度	36.41
偏度	3.28
Range	114.397%
Minimum	-33.699%
Maximum	80.698%
Count	2542

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.306%	1102	43.35%	1.867%
负向	-3.447%	1327	52.20%	-1.799%
Zero	0.000%	113	4.45%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.98%
20	1 Month	4.61%
60	1 Quarter	6.56%
250	1 Year	6.45%
750	3 Years	7.55%
1,250	5 Years	7.61%
2,500	10 Years	7.57%
5,000	20 Years	7.58%
12,500	50 Years	7.58%

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 5.40. Further, an Excess 峰度 of 61.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.73%	0	0.00%	0.00%
-8.73% to -4.63%	0	0.00%	0.00%
-4.63% to -0.54%	0	0.00%	0.00%
-0.54% to 3.56%	303	11.92%	11.92%
3.56% to 7.66%	1316	51.75%	63.66%
7.66% to 11.76%	591	23.24%	86.91%
11.76% to 15.86%	201	7.90%	94.81%
15.86% to 19.95%	67	2.63%	97.44%
19.95% to 24.05%	30	1.18%	98.62%
Greater than 24.05%	35	1.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.20%	13.12%	88.28%	68.27%
±2σ	-3.27%	18.59%	96.66%	95.45%
±3σ	-8.73%	24.05%	98.62%	99.73%

Descriptive Statistics

均值	7.661%
Standard Error	0.108%
中位数	6.429%
Mode	7.143%
Standard Deviation	5.464%
Sample Variance	29.851%
峰度	61.62
偏度	5.40
Range	100.634%
Minimum	0.717%
Maximum	101.351%
Count	2543

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.661%	2543	100.00%	7.661%
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 -0.56. Further, an Excess 峰度 of 7.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.20%	19	0.75%	0.75%
-14.20% to -10.52%	25	0.98%	1.73%
-10.52% to -6.83%	91	3.58%	5.31%
-6.83% to -3.15%	318	12.50%	17.81%
-3.15% to 0.54%	801	31.50%	49.31%
0.54% to 4.22%	847	33.31%	82.62%
4.22% to 7.91%	311	12.23%	94.85%
7.91% to 11.59%	92	3.62%	98.47%
11.59% to 15.28%	27	1.06%	99.53%
Greater than 15.28%	12	0.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.38%	5.45%	76.09%	68.27%
±2σ	-9.29%	10.37%	95.28%	95.45%
±3σ	-14.20%	15.28%	98.78%	99.73%

Descriptive Statistics

均值	0.538%
Standard Error	0.097%
中位数	0.592%
Mode	0.000%
Standard Deviation	4.914%
Sample Variance	24.148%
峰度	7.21
偏度	-0.56
Range	77.331%
Minimum	-43.860%
Maximum	33.471%
Count	2543

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.693%	1391	54.70%	2.020%
负向	-3.642%	1035	40.70%	-1.482%
Zero	0.000%	117	4.60%	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 2.61. Further, an Excess 峰度 of 17.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.02%	2	0.38%	0.38%
-41.02% to -30.67%	2	0.38%	0.76%
-30.67% to -20.31%	8	1.52%	2.27%
-20.31% to -9.95%	69	13.07%	15.34%
-9.95% to 0.40%	207	39.20%	54.55%
0.40% to 10.76%	173	32.77%	87.31%
10.76% to 21.11%	45	8.52%	95.83%
21.11% to 31.47%	11	2.08%	97.92%
31.47% to 41.83%	3	0.57%	98.48%
Greater than 41.83%	8	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.41%	14.21%	83.52%	68.27%
±2σ	-27.21%	28.02%	96.59%	95.45%
±3σ	-41.02%	41.83%	98.11%	99.73%

Descriptive Statistics

均值	0.402%
Standard Error	0.601%
中位数	-0.913%
Mode	0.000%
Standard Deviation	13.808%
Sample Variance	190.659%
峰度	17.37
偏度	2.61
Range	163.903%
Minimum	-42.973%
Maximum	120.930%
Count	528

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.121%	241	45.64%	4.620%
负向	-7.953%	280	53.03%	-4.217%
Zero	0.000%	7	1.33%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.67%
12	1 Quarter	14.15%
52	1 Year	14.88%
156	3 Years	17.68%
260	5 Years	17.70%
520	10 Years	17.76%
1,040	20 Years	17.75%
2,600	50 Years	17.75%

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 4.78. Further, an Excess 峰度 of 33.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.79%	0	0.00%	0.00%
-32.79% to -19.67%	0	0.00%	0.00%
-19.67% to -6.54%	0	0.00%	0.00%
-6.54% to 6.58%	23	4.35%	4.35%
6.58% to 19.70%	340	64.27%	68.62%
19.70% to 32.82%	107	20.23%	88.85%
32.82% to 45.94%	37	6.99%	95.84%
45.94% to 59.07%	7	1.32%	97.16%
59.07% to 72.19%	5	0.95%	98.11%
Greater than 72.19%	10	1.89%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.20%	37.20%	92.44%	68.27%
±2σ	-15.29%	54.69%	96.60%	95.45%
±3σ	-32.79%	72.19%	98.11%	99.73%

Descriptive Statistics

均值	19.700%
Standard Error	0.761%
中位数	15.078%
Mode	7.692%
Standard Deviation	17.496%
Sample Variance	306.110%
峰度	33.01
偏度	4.78
Range	186.331%
Minimum	3.273%
Maximum	189.604%
Count	529

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.700%	529	100.00%	19.700%
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 0.73. Further, an Excess 峰度 of 8.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -35.51%	5	0.95%	0.95%
-35.51% to -26.27%	4	0.76%	1.70%
-26.27% to -17.03%	18	3.40%	5.10%
-17.03% to -7.79%	55	10.40%	15.50%
-7.79% to 1.44%	185	34.97%	50.47%
1.44% to 10.68%	174	32.89%	83.36%
10.68% to 19.92%	62	11.72%	95.09%
19.92% to 29.16%	17	3.21%	98.30%
29.16% to 38.40%	5	0.95%	99.24%
Greater than 38.40%	4	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.87%	13.76%	79.02%	68.27%
±2σ	-23.19%	26.08%	96.03%	95.45%
±3σ	-35.51%	38.40%	98.30%	99.73%

Descriptive Statistics

均值	1.444%
Standard Error	0.536%
中位数	1.198%
Mode	0.000%
Standard Deviation	12.318%
Sample Variance	151.726%
峰度	8.00
偏度	0.73
Range	143.469%
Minimum	-54.737%
Maximum	88.732%
Count	529

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.177%	286	54.06%	4.961%
负向	-7.852%	237	44.80%	-3.518%
Zero	0.000%	6	1.13%	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 2.59. Further, an Excess 峰度 of 10.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -89.43%	0	0.00%	0.00%
-89.43% to -66.66%	0	0.00%	0.00%
-66.66% to -43.90%	3	2.46%	2.46%
-43.90% to -21.13%	12	9.84%	12.30%
-21.13% to 1.63%	61	50.00%	62.30%
1.63% to 24.40%	32	26.23%	88.52%
24.40% to 47.16%	8	6.56%	95.08%
47.16% to 69.93%	1	0.82%	95.90%
69.93% to 92.69%	3	2.46%	98.36%
Greater than 92.69%	2	1.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.72%	31.99%	85.25%	68.27%
±2σ	-59.07%	62.34%	95.08%	95.45%
±3σ	-89.43%	92.69%	98.36%	99.73%

Descriptive Statistics

均值	1.632%
Standard Error	2.748%
中位数	-5.186%
Mode	-54.714%
Standard Deviation	30.353%
Sample Variance	921.304%
峰度	10.69
偏度	2.59
Range	226.503%
Minimum	-54.714%
Maximum	171.789%
Count	122

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.980%	49	40.16%	10.435%
负向	-14.712%	73	59.84%	-8.803%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	26.29%
12	1 Year	30.73%
36	3 Years	39.51%
60	5 Years	39.37%
120	10 Years	41.27%
240	20 Years	41.06%
600	50 Years	41.06%

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 3.67. Further, an Excess 峰度 of 17.58 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -94.83%	0	0.00%	0.00%
-94.83% to -58.54%	0	0.00%	0.00%
-58.54% to -22.25%	0	0.00%	0.00%
-22.25% to 14.05%	4	3.25%	3.25%
14.05% to 50.34%	86	69.92%	73.17%
50.34% to 86.63%	21	17.07%	90.24%
86.63% to 122.93%	4	3.25%	93.50%
122.93% to 159.22%	2	1.63%	95.12%
159.22% to 195.51%	3	2.44%	97.56%
Greater than 195.51%	3	2.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.95%	98.73%	91.87%	68.27%
±2σ	-46.44%	147.12%	95.12%	95.45%
±3σ	-94.83%	195.51%	97.56%	99.73%

Descriptive Statistics

均值	50.339%
Standard Error	4.363%
中位数	36.975%
Mode	42.857%
Standard Deviation	48.391%
Sample Variance	2341.735%
峰度	17.58
偏度	3.67
Range	361.622%
Minimum	7.692%
Maximum	369.314%
Count	123

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.339%	123	100.00%	50.339%
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 0.91. Further, an Excess 峰度 of 4.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.20%	0	0.00%	0.00%
-71.20% to -52.07%	2	1.63%	1.63%
-52.07% to -32.95%	4	3.25%	4.88%
-32.95% to -13.82%	19	15.45%	20.33%
-13.82% to 5.31%	36	29.27%	49.59%
5.31% to 24.43%	45	36.59%	86.18%
24.43% to 43.56%	11	8.94%	95.12%
43.56% to 62.69%	2	1.63%	96.75%
62.69% to 81.81%	2	1.63%	98.37%
Greater than 81.81%	2	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.20%	30.81%	79.67%	68.27%
±2σ	-45.70%	56.31%	93.50%	95.45%
±3σ	-71.20%	81.81%	98.37%	99.73%

Descriptive Statistics

均值	5.306%
Standard Error	2.299%
中位数	5.917%
Mode	0.000%
Standard Deviation	25.502%
Sample Variance	650.328%
峰度	4.35
偏度	0.91
Range	188.532%
Minimum	-64.557%
Maximum	123.975%
Count	123

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.815%	73	59.35%	11.760%
负向	-16.889%	47	38.21%	-6.453%
Zero	0.000%	3	2.44%	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 4.91. Further, an Excess 峰度 of 27.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -269.64%	0	0.00%	0.00%
-269.64% to -199.95%	0	0.00%	0.00%
-199.95% to -130.26%	0	0.00%	0.00%
-130.26% to -60.57%	0	0.00%	0.00%
-60.57% to 9.12%	30	73.17%	73.17%
9.12% to 78.81%	9	21.95%	95.12%
78.81% to 148.50%	0	0.00%	95.12%
148.50% to 218.19%	1	2.44%	97.56%
218.19% to 287.89%	0	0.00%	97.56%
Greater than 287.89%	1	2.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-83.80%	102.04%	95.12%	68.27%
±2σ	-176.72%	194.97%	97.56%	95.45%
±3σ	-269.64%	287.89%	97.56%	99.73%

Descriptive Statistics

均值	9.123%
Standard Error	14.512%
中位数	-8.219%
Mode	-52.361%
Standard Deviation	92.921%
Sample Variance	8634.321%
峰度	27.05
偏度	4.91
Range	587.750%
Minimum	-52.361%
Maximum	535.389%
Count	41

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	65.008%	15	36.59%	23.783%
负向	-23.119%	26	63.41%	-14.661%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	45.51%
12	3 Years	76.10%
20	5 Years	74.99%
40	10 Years	90.83%
80	20 Years	89.43%
200	50 Years	89.43%

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 4.83. Further, an Excess 峰度 of 26.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -355.03%	0	0.00%	0.00%
-355.03% to -236.92%	0	0.00%	0.00%
-236.92% to -118.81%	0	0.00%	0.00%
-118.81% to -0.70%	0	0.00%	0.00%
-0.70% to 117.42%	32	76.19%	76.19%
117.42% to 235.53%	7	16.67%	92.86%
235.53% to 353.64%	1	2.38%	95.24%
353.64% to 471.75%	1	2.38%	97.62%
471.75% to 589.86%	0	0.00%	97.62%
Greater than 589.86%	1	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.07%	274.90%	95.24%	68.27%
±2σ	-197.55%	432.38%	97.62%	95.45%
±3σ	-355.03%	589.86%	97.62%	99.73%

Descriptive Statistics

均值	117.415%
Standard Error	24.300%
中位数	76.136%
Mode	7.692%
Standard Deviation	157.481%
Sample Variance	24800.406%
峰度	26.74
偏度	4.83
Range	1006.594%
Minimum	7.692%
Maximum	1014.286%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	117.415%	42	100.00%	117.415%
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 0.24. Further, an Excess 峰度 of 0.79 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -104.13%	0	0.00%	0.00%
-104.13% to -74.54%	1	2.38%	2.38%
-74.54% to -44.96%	1	2.38%	4.76%
-44.96% to -15.38%	5	11.90%	16.67%
-15.38% to 14.21%	18	42.86%	59.52%
14.21% to 43.79%	10	23.81%	83.33%
43.79% to 73.38%	3	7.14%	90.48%
73.38% to 102.96%	3	7.14%	97.62%
102.96% to 132.54%	1	2.38%	100.00%
Greater than 132.54%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.24%	53.65%	76.19%	68.27%
±2σ	-64.68%	93.10%	92.86%	95.45%
±3σ	-104.13%	132.54%	100.00%	99.73%

Descriptive Statistics

均值	14.209%
Standard Error	6.086%
中位数	8.715%
Mode	-84.388%
Standard Deviation	39.445%
Sample Variance	1555.875%
峰度	0.79
偏度	0.24
Range	196.100%
Minimum	-84.388%
Maximum	111.712%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	33.313%	28	66.67%	22.209%
负向	-23.998%	14	33.33%	-7.999%
Zero	0.000%	0	0.00%	0.000%

SENS 深度分析报告