SNOW 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	3.83%	2.82%	3.10%	4.77%	4.48%	4.56%	134.18	146.74	128.31	153.46
周度	8.04%	7.59%	8.17%	11.40%	9.85%	10.03%	127.16	154.85	115.23	170.88
月度	13.55%	12.97%	12.73%	22.86%	20.51%	20.88%	114.30	172.26	93.11	211.47
季度	25.68%	18.27%	25.60%	40.09%	35.52%	36.16%	98.37	200.16	68.96	285.53
Annual	—	—	—	—	71.04%	72.31%	68.96	285.53	33.89	581.02
Option Time Horizon	—	—	—	—	27.07%	27.56%	107.04	183.95	81.65	241.13

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $140.32 | Strike (K): $145.00 (first OTM call ≥ spot) | Observed Mid-价格: $13.5500 (Bid $13.3500 / Ask $13.7500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 71.04% (CRR binomial tree, American, n=20 steps) | BS IV: 71.54% (European Black-Scholes) | Yahoo IV (Annual): 72.31% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.66. Further, an Excess 峰度 of 7.02 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.46%	8	0.57%	0.57%
-11.46% to -8.59%	17	1.21%	1.78%
-8.59% to -5.72%	61	4.34%	6.11%
-5.72% to -2.84%	156	11.09%	17.20%
-2.84% to 0.03%	441	31.34%	48.54%
0.03% to 2.90%	503	35.75%	84.29%
2.90% to 5.78%	151	10.73%	95.02%
5.78% to 8.65%	47	3.34%	98.37%
8.65% to 11.52%	9	0.64%	99.00%
Greater than 11.52%	14	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.80%	3.86%	77.40%	68.27%
±2σ	-7.63%	7.69%	95.24%	95.45%
±3σ	-11.46%	11.52%	98.44%	99.73%

Descriptive Statistics

均值	0.030%
Standard Error	0.102%
中位数	0.115%
Mode	-3.289%
Standard Deviation	3.831%
Sample Variance	14.680%
峰度	7.02
偏度	0.66
Range	50.845%
Minimum	-18.139%
Maximum	32.706%
Count	1407

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.568%	732	52.03%	1.336%
负向	-2.725%	674	47.90%	-1.305%
Zero	0.000%	1	0.07%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.29%
20	1 Month	6.41%
60	1 Quarter	6.03%
250	1 Year	4.06%
750	3 Years	4.04%
1,250	5 Years	4.77%
2,500	10 Years	4.94%
5,000	20 Years	4.94%
12,500	50 Years	4.94%

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 2.73. Further, an Excess 峰度 of 17.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.76%	0	0.00%	0.00%
-3.76% to -1.65%	0	0.00%	0.00%
-1.65% to 0.46%	0	0.00%	0.00%
0.46% to 2.57%	279	19.82%	19.82%
2.57% to 4.68%	602	42.76%	62.57%
4.68% to 6.80%	283	20.10%	82.67%
6.80% to 8.91%	146	10.37%	93.04%
8.91% to 11.02%	49	3.48%	96.52%
11.02% to 13.13%	25	1.78%	98.30%
Greater than 13.13%	24	1.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.87%	7.50%	82.39%	68.27%
±2σ	-0.95%	10.32%	95.45%	95.45%
±3σ	-3.76%	13.13%	98.30%	99.73%

Descriptive Statistics

均值	4.685%
Standard Error	0.075%
中位数	3.929%
Mode	2.401%
Standard Deviation	2.816%
Sample Variance	7.928%
峰度	17.25
偏度	2.73
Range	37.016%
Minimum	1.014%
Maximum	38.030%
Count	1408

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.685%	1408	100.00%	4.685%
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 0.22. Further, an Excess 峰度 of 2.12 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.20%	7	0.50%	0.50%
-9.20% to -6.87%	15	1.07%	1.56%
-6.87% to -4.55%	53	3.76%	5.33%
-4.55% to -2.22%	186	13.21%	18.54%
-2.22% to 0.10%	480	34.09%	52.63%
0.10% to 2.43%	414	29.40%	82.03%
2.43% to 4.75%	166	11.79%	93.82%
4.75% to 7.08%	49	3.48%	97.30%
7.08% to 9.40%	25	1.78%	99.08%
Greater than 9.40%	13	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.00%	3.20%	75.00%	68.27%
±2σ	-6.10%	6.30%	94.32%	95.45%
±3σ	-9.20%	9.40%	98.58%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.083%
中位数	-0.060%
Mode	-2.513%
Standard Deviation	3.100%
Sample Variance	9.610%
峰度	2.12
偏度	0.22
Range	28.214%
Minimum	-14.519%
Maximum	13.695%
Count	1408

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.409%	688	48.86%	1.177%
负向	-2.105%	719	51.06%	-1.075%
Zero	0.000%	1	0.07%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.38. Further, an Excess 峰度 of 2.07 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.96%	1	0.34%	0.34%
-23.96% to -17.93%	4	1.37%	1.71%
-17.93% to -11.90%	11	3.77%	5.48%
-11.90% to -5.88%	39	13.36%	18.84%
-5.88% to 0.15%	90	30.82%	49.66%
0.15% to 6.18%	92	31.51%	81.16%
6.18% to 12.21%	40	13.70%	94.86%
12.21% to 18.23%	6	2.05%	96.92%
18.23% to 24.26%	7	2.40%	99.32%
Greater than 24.26%	2	0.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.89%	8.19%	74.66%	68.27%
±2σ	-15.92%	16.23%	94.86%	95.45%
±3σ	-23.96%	24.26%	98.97%	99.73%

Descriptive Statistics

均值	0.152%
Standard Error	0.470%
中位数	0.234%
Mode	-27.351%
Standard Deviation	8.037%
Sample Variance	64.589%
峰度	2.07
偏度	0.38
Range	61.872%
Minimum	-27.351%
Maximum	34.521%
Count	292

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.013%	148	50.69%	3.048%
负向	-5.872%	144	49.31%	-2.896%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.47%
12	1 Quarter	14.05%
52	1 Year	9.83%
156	3 Years	9.91%
260	5 Years	11.40%
520	10 Years	11.73%
1,040	20 Years	11.73%
2,600	50 Years	11.73%

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 3.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.09%	0	0.00%	0.00%
-10.09% to -4.40%	0	0.00%	0.00%
-4.40% to 1.29%	0	0.00%	0.00%
1.29% to 6.99%	63	21.50%	21.50%
6.99% to 12.68%	117	39.93%	61.43%
12.68% to 18.37%	64	21.84%	83.28%
18.37% to 24.06%	27	9.22%	92.49%
24.06% to 29.75%	9	3.07%	95.56%
29.75% to 35.44%	7	2.39%	97.95%
Greater than 35.44%	6	2.05%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.09%	20.26%	80.55%	68.27%
±2σ	-2.50%	27.85%	94.54%	95.45%
±3σ	-10.09%	35.44%	97.95%	99.73%

Descriptive Statistics

均值	12.676%
Standard Error	0.443%
中位数	10.462%
Mode	7.489%
Standard Deviation	7.588%
Sample Variance	57.573%
峰度	3.47
偏度	1.69
Range	45.185%
Minimum	3.022%
Maximum	48.207%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.676%	293	100.00%	12.676%
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 0.61. Further, an Excess 峰度 of 2.51 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.92%	1	0.34%	0.34%
-23.92% to -17.79%	3	1.02%	1.37%
-17.79% to -11.67%	11	3.75%	5.12%
-11.67% to -5.54%	39	13.31%	18.43%
-5.54% to 0.58%	105	35.84%	54.27%
0.58% to 6.71%	79	26.96%	81.23%
6.71% to 12.83%	33	11.26%	92.49%
12.83% to 18.96%	17	5.80%	98.29%
18.96% to 25.09%	1	0.34%	98.63%
Greater than 25.09%	4	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.58%	8.75%	75.09%	68.27%
±2σ	-15.75%	16.92%	94.20%	95.45%
±3σ	-23.92%	25.08%	98.29%	99.73%

Descriptive Statistics

均值	0.584%
Standard Error	0.477%
中位数	-0.080%
Mode	2.370%
Standard Deviation	8.167%
Sample Variance	66.693%
峰度	2.51
偏度	0.61
Range	64.214%
Minimum	-25.592%
Maximum	38.622%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.673%	144	49.15%	3.280%
负向	-5.337%	148	50.51%	-2.696%
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 1.19. Further, an Excess 峰度 of 2.67 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.67%	0	0.00%	0.00%
-40.67% to -30.51%	0	0.00%	0.00%
-30.51% to -20.35%	2	2.99%	2.99%
-20.35% to -10.19%	15	22.39%	25.37%
-10.19% to -0.02%	25	37.31%	62.69%
-0.02% to 10.14%	15	22.39%	85.07%
10.14% to 20.30%	4	5.97%	91.04%
20.30% to 30.47%	5	7.46%	98.51%
30.47% to 40.63%	0	0.00%	98.51%
Greater than 40.63%	1	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.57%	13.53%	76.12%	68.27%
±2σ	-27.12%	27.08%	94.03%	95.45%
±3σ	-40.67%	40.63%	98.51%	99.73%

Descriptive Statistics

均值	-0.022%
Standard Error	1.655%
中位数	-1.688%
Mode	-25.542%
Standard Deviation	13.551%
Sample Variance	183.621%
峰度	2.67
偏度	1.19
Range	77.780%
Minimum	-25.542%
Maximum	52.238%
Count	67

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.972%	25	37.31%	4.840%
负向	-7.757%	42	62.69%	-4.863%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	23.81%
12	1 Year	20.44%
36	3 Years	21.09%
60	5 Years	22.86%
120	10 Years	23.59%
240	20 Years	23.59%
600	50 Years	23.59%

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 1.07. Further, an Excess 峰度 of 1.24 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.20%	0	0.00%	0.00%
-11.20% to -1.47%	0	0.00%	0.00%
-1.47% to 8.26%	0	0.00%	0.00%
8.26% to 17.98%	15	22.06%	22.06%
17.98% to 27.71%	27	39.71%	61.76%
27.71% to 37.44%	15	22.06%	83.82%
37.44% to 47.16%	4	5.88%	89.71%
47.16% to 56.89%	4	5.88%	95.59%
56.89% to 66.62%	2	2.94%	98.53%
Greater than 66.62%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.74%	40.68%	72.06%	68.27%
±2σ	1.77%	53.65%	95.59%	95.45%
±3σ	-11.20%	66.62%	98.53%	99.73%

Descriptive Statistics

均值	27.710%
Standard Error	1.573%
中位数	24.408%
Mode	8.858%
Standard Deviation	12.970%
Sample Variance	168.220%
峰度	1.24
偏度	1.07
Range	58.163%
Minimum	8.858%
Maximum	67.021%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.710%	68	100.00%	27.710%
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 -0.06. Further, an Excess 峰度 of 0.55 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.29%	0	0.00%	0.00%
-36.29% to -26.74%	1	1.47%	1.47%
-26.74% to -17.19%	5	7.35%	8.82%
-17.19% to -7.64%	8	11.76%	20.59%
-7.64% to 1.91%	20	29.41%	50.00%
1.91% to 11.46%	18	26.47%	76.47%
11.46% to 21.00%	12	17.65%	94.12%
21.00% to 30.55%	2	2.94%	97.06%
30.55% to 40.10%	2	2.94%	100.00%
Greater than 40.10%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.83%	14.64%	72.06%	68.27%
±2σ	-23.56%	27.37%	95.59%	95.45%
±3σ	-36.29%	40.10%	100.00%	99.73%

Descriptive Statistics

均值	1.906%
Standard Error	1.544%
中位数	1.821%
Mode	-33.650%
Standard Deviation	12.732%
Sample Variance	162.107%
峰度	0.55
偏度	-0.06
Range	67.405%
Minimum	-33.650%
Maximum	33.755%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.164%	39	57.35%	5.829%
负向	-9.200%	29	42.65%	-3.924%
Zero	0.000%	0	0.00%	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 0.64. Further, an Excess 峰度 of -0.43 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.64%	0	0.00%	0.00%
-76.64% to -57.38%	0	0.00%	0.00%
-57.38% to -38.13%	0	0.00%	0.00%
-38.13% to -18.87%	5	22.73%	22.73%
-18.87% to 0.39%	8	36.36%	59.09%
0.39% to 19.64%	3	13.64%	72.73%
19.64% to 38.90%	4	18.18%	90.91%
38.90% to 58.16%	2	9.09%	100.00%
58.16% to 77.41%	0	0.00%	100.00%
Greater than 77.41%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.29%	26.06%	68.18%	68.27%
±2σ	-50.96%	51.74%	95.45%	95.45%
±3σ	-76.64%	77.41%	100.00%	99.73%

Descriptive Statistics

均值	0.386%
Standard Error	5.474%
中位数	-8.639%
Mode	-37.862%
Standard Deviation	25.675%
Sample Variance	659.223%
峰度	-0.43
偏度	0.64
Range	95.944%
Minimum	-37.862%
Maximum	58.082%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.647%	9	40.91%	10.901%
负向	-17.795%	13	59.09%	-10.515%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	38.44%
12	3 Years	38.83%
20	5 Years	40.09%
40	10 Years	42.03%
80	20 Years	42.03%
200	50 Years	42.03%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.85. Further, an Excess 峰度 of 0.61 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -1.26%	0	0.00%	0.00%
-1.26% to 12.44%	0	0.00%	0.00%
12.44% to 26.14%	0	0.00%	0.00%
26.14% to 39.84%	6	26.09%	26.09%
39.84% to 53.55%	8	34.78%	60.87%
53.55% to 67.25%	5	21.74%	82.61%
67.25% to 80.95%	2	8.70%	91.30%
80.95% to 94.66%	1	4.35%	95.65%
94.66% to 108.36%	1	4.35%	100.00%
Greater than 108.36%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	35.28%	71.82%	78.26%	68.27%
±2σ	17.01%	90.09%	95.65%	95.45%
±3σ	-1.27%	108.36%	100.00%	99.73%

Descriptive Statistics

均值	53.548%
Standard Error	3.810%
中位数	48.882%
Mode	26.687%
Standard Deviation	18.271%
Sample Variance	333.846%
峰度	0.61
偏度	0.85
Range	73.867%
Minimum	26.687%
Maximum	100.554%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.548%	23	100.00%	53.548%
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 0.36. Further, an Excess 峰度 of -0.30 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -70.92%	0	0.00%	0.00%
-70.92% to -51.72%	0	0.00%	0.00%
-51.72% to -32.52%	1	4.35%	4.35%
-32.52% to -13.32%	5	21.74%	26.09%
-13.32% to 5.88%	5	21.74%	47.83%
5.88% to 25.08%	7	30.43%	78.26%
25.08% to 44.28%	4	17.39%	95.65%
44.28% to 63.48%	0	0.00%	95.65%
63.48% to 82.68%	1	4.35%	100.00%
Greater than 82.68%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.72%	31.48%	65.22%	68.27%
±2σ	-45.32%	57.08%	95.65%	95.45%
±3σ	-70.92%	82.68%	100.00%	99.73%

Descriptive Statistics

均值	5.879%
Standard Error	5.338%
中位数	7.098%
Mode	-36.103%
Standard Deviation	25.601%
Sample Variance	655.415%
峰度	-0.30
偏度	0.36
Range	100.475%
Minimum	-36.103%
Maximum	64.372%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.164%	13	56.52%	13.658%
负向	-17.890%	10	43.48%	-7.778%
Zero	0.000%	0	0.00%	0.000%

SNOW 深度分析报告