SONO 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	3.41%	2.60%	2.84%	3.95%	3.30%	3.38%	14.27	15.25	13.81	15.76
周度	7.45%	6.96%	7.43%	9.51%	7.27%	7.43%	13.72	15.86	12.75	17.06
月度	15.95%	14.69%	15.72%	20.68%	15.13%	15.48%	12.68	17.16	10.90	19.96
季度	29.13%	32.65%	25.68%	38.21%	26.20%	26.81%	11.35	19.17	8.73	24.91
Annual	—	—	—	—	52.41%	53.61%	8.73	24.91	5.17	42.07
Option Time Horizon	—	—	—	—	19.97%	20.43%	12.08	18.01	9.89	21.99

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $14.75 | Strike (K): $15.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.1000 (Bid $1.0000 / Ask $1.2000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 52.41% (CRR binomial tree, American, n=20 steps) | BS IV: 52.54% (European Black-Scholes) | Yahoo IV (Annual): 53.61% → 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 0.22. Further, an Excess 峰度 of 9.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.20%	11	0.57%	0.57%
-10.20% to -7.64%	11	0.57%	1.13%
-7.64% to -5.08%	67	3.45%	4.59%
-5.08% to -2.52%	229	11.80%	16.38%
-2.52% to 0.04%	664	34.21%	50.59%
0.04% to 2.60%	640	32.97%	83.57%
2.60% to 5.16%	234	12.06%	95.62%
5.16% to 7.72%	53	2.73%	98.35%
7.72% to 10.29%	14	0.72%	99.07%
Greater than 10.29%	18	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.37%	3.46%	78.72%	68.27%
±2σ	-6.79%	6.87%	95.72%	95.45%
±3σ	-10.20%	10.29%	98.51%	99.73%

Descriptive Statistics

均值	0.043%
Standard Error	0.077%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.414%
Sample Variance	11.655%
峰度	9.85
偏度	0.22
Range	54.787%
Minimum	-24.945%
Maximum	29.842%
Count	1941

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.412%	959	49.41%	1.192%
负向	-2.304%	968	49.87%	-1.149%
Zero	0.000%	14	0.72%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.00%
20	1 Month	3.92%
60	1 Quarter	4.74%
250	1 Year	4.06%
750	3 Years	3.84%
1,250	5 Years	3.95%
2,500	10 Years	4.48%
5,000	20 Years	4.48%
12,500	50 Years	4.48%

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 2.99. Further, an Excess 峰度 of 17.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.46%	0	0.00%	0.00%
-3.46% to -1.52%	0	0.00%	0.00%
-1.52% to 0.43%	0	0.00%	0.00%
0.43% to 2.38%	303	15.60%	15.60%
2.38% to 4.32%	933	48.04%	63.65%
4.32% to 6.27%	421	21.68%	85.32%
6.27% to 8.22%	147	7.57%	92.89%
8.22% to 10.16%	75	3.86%	96.76%
10.16% to 12.11%	31	1.60%	98.35%
Greater than 12.11%	32	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.73%	6.92%	84.09%	68.27%
±2σ	-0.87%	9.52%	95.52%	95.45%
±3σ	-3.46%	12.11%	98.35%	99.73%

Descriptive Statistics

均值	4.323%
Standard Error	0.059%
中位数	3.654%
Mode	3.223%
Standard Deviation	2.596%
Sample Variance	6.739%
峰度	17.88
偏度	2.99
Range	34.556%
Minimum	0.841%
Maximum	35.397%
Count	1942

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.323%	1942	100.00%	4.323%
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 3.71 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.42%	17	0.88%	0.88%
-8.42% to -6.29%	15	0.77%	1.65%
-6.29% to -4.16%	61	3.14%	4.79%
-4.16% to -2.03%	257	13.23%	18.02%
-2.03% to 0.10%	647	33.32%	51.34%
0.10% to 2.24%	597	30.74%	82.08%
2.24% to 4.37%	233	12.00%	94.08%
4.37% to 6.50%	77	3.96%	98.04%
6.50% to 8.63%	20	1.03%	99.07%
Greater than 8.63%	18	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.74%	2.95%	75.59%	68.27%
±2σ	-5.58%	5.79%	94.95%	95.45%
±3σ	-8.42%	8.63%	98.20%	99.73%

Descriptive Statistics

均值	0.104%
Standard Error	0.064%
中位数	0.046%
Mode	0.000%
Standard Deviation	2.842%
Sample Variance	8.077%
峰度	3.71
偏度	-0.11
Range	32.889%
Minimum	-19.638%
Maximum	13.251%
Count	1942

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.170%	972	50.05%	1.086%
负向	-2.017%	945	48.66%	-0.981%
Zero	0.000%	25	1.29%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.09. 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 -22.13%	4	0.99%	0.99%
-22.13% to -16.54%	1	0.25%	1.24%
-16.54% to -10.96%	17	4.22%	5.46%
-10.96% to -5.37%	46	11.41%	16.87%
-5.37% to 0.21%	141	34.99%	51.86%
0.21% to 5.80%	122	30.27%	82.13%
5.80% to 11.38%	48	11.91%	94.04%
11.38% to 16.96%	15	3.72%	97.77%
16.96% to 22.55%	7	1.74%	99.50%
Greater than 22.55%	2	0.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.23%	7.66%	77.17%	68.27%
±2σ	-14.68%	15.10%	94.04%	95.45%
±3σ	-22.13%	22.55%	98.51%	99.73%

Descriptive Statistics

均值	0.211%
Standard Error	0.371%
中位数	-0.175%
Mode	-7.465%
Standard Deviation	7.446%
Sample Variance	55.443%
峰度	2.72
偏度	0.09
Range	63.630%
Minimum	-28.663%
Maximum	34.967%
Count	403

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.761%	197	48.88%	2.816%
负向	-5.146%	204	50.62%	-2.605%
Zero	0.000%	2	0.50%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.73%
12	1 Quarter	11.33%
52	1 Year	9.90%
156	3 Years	9.38%
260	5 Years	9.51%
520	10 Years	10.55%
1,040	20 Years	10.55%
2,600	50 Years	10.55%

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 2.18. Further, an Excess 峰度 of 6.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.62%	0	0.00%	0.00%
-9.62% to -4.40%	0	0.00%	0.00%
-4.40% to 0.82%	0	0.00%	0.00%
0.82% to 6.04%	70	17.33%	17.33%
6.04% to 11.26%	194	48.02%	65.35%
11.26% to 16.48%	74	18.32%	83.66%
16.48% to 21.70%	35	8.66%	92.33%
21.70% to 26.92%	16	3.96%	96.29%
26.92% to 32.14%	6	1.49%	97.77%
Greater than 32.14%	9	2.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.30%	18.22%	82.67%	68.27%
±2σ	-2.66%	25.18%	95.79%	95.45%
±3σ	-9.62%	32.14%	97.77%	99.73%

Descriptive Statistics

均值	11.259%
Standard Error	0.346%
中位数	8.876%
Mode	3.096%
Standard Deviation	6.961%
Sample Variance	48.460%
峰度	6.86
偏度	2.18
Range	49.091%
Minimum	3.069%
Maximum	52.160%
Count	404

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.259%	404	100.00%	11.259%
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 0.94. Further, an Excess 峰度 of 4.83 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.03%	1	0.25%	0.25%
-22.03% to -16.46%	3	0.74%	0.99%
-16.46% to -10.89%	17	4.21%	5.20%
-10.89% to -5.32%	50	12.38%	17.57%
-5.32% to 0.25%	138	34.16%	51.73%
0.25% to 5.82%	128	31.68%	83.42%
5.82% to 11.39%	43	10.64%	94.06%
11.39% to 16.96%	15	3.71%	97.77%
16.96% to 22.53%	5	1.24%	99.01%
Greater than 22.53%	4	0.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.18%	7.68%	77.48%	68.27%
±2σ	-14.61%	15.11%	95.54%	95.45%
±3σ	-22.03%	22.53%	98.76%	99.73%

Descriptive Statistics

均值	0.250%
Standard Error	0.370%
中位数	0.073%
Mode	-9.770%
Standard Deviation	7.428%
Sample Variance	55.173%
峰度	4.83
偏度	0.94
Range	64.549%
Minimum	-23.184%
Maximum	41.365%
Count	404

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.493%	204	50.49%	2.774%
负向	-5.099%	200	49.51%	-2.524%
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 0.74. Further, an Excess 峰度 of 1.17 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -46.93%	0	0.00%	0.00%
-46.93% to -34.97%	0	0.00%	0.00%
-34.97% to -23.01%	3	3.26%	3.26%
-23.01% to -11.05%	18	19.57%	22.83%
-11.05% to 0.91%	29	31.52%	54.35%
0.91% to 12.87%	28	30.43%	84.78%
12.87% to 24.83%	8	8.70%	93.48%
24.83% to 36.79%	3	3.26%	96.74%
36.79% to 48.75%	1	1.09%	97.83%
Greater than 48.75%	2	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.04%	16.86%	71.74%	68.27%
±2σ	-30.99%	32.80%	92.39%	95.45%
±3σ	-46.93%	48.75%	97.83%	99.73%

Descriptive Statistics

均值	0.908%
Standard Error	1.663%
中位数	-0.194%
Mode	-31.976%
Standard Deviation	15.947%
Sample Variance	254.299%
峰度	1.17
偏度	0.74
Range	84.305%
Minimum	-31.976%
Maximum	52.329%
Count	92

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.442%	45	48.91%	6.575%
负向	-11.333%	46	50.00%	-5.666%
Zero	0.000%	1	1.09%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.51%
12	1 Year	20.87%
36	3 Years	20.69%
60	5 Years	20.68%
120	10 Years	23.37%
240	20 Years	23.37%
600	50 Years	23.37%

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 1.35. Further, an Excess 峰度 of 1.54 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.85%	0	0.00%	0.00%
-16.85% to -5.83%	0	0.00%	0.00%
-5.83% to 5.19%	0	0.00%	0.00%
5.19% to 16.21%	24	25.81%	25.81%
16.21% to 27.23%	32	34.41%	60.22%
27.23% to 38.24%	21	22.58%	82.80%
38.24% to 49.26%	5	5.38%	88.17%
49.26% to 60.28%	7	7.53%	95.70%
60.28% to 71.30%	3	3.23%	98.92%
Greater than 71.30%	1	1.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.53%	41.92%	77.42%	68.27%
±2σ	-2.16%	56.61%	93.55%	95.45%
±3σ	-16.85%	71.30%	98.92%	99.73%

Descriptive Statistics

均值	27.226%
Standard Error	1.523%
中位数	23.098%
Mode	9.520%
Standard Deviation	14.691%
Sample Variance	215.818%
峰度	1.54
偏度	1.35
Range	70.723%
Minimum	9.520%
Maximum	80.243%
Count	93

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.226%	93	100.00%	27.226%
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 0.31. Further, an Excess 峰度 of 0.31 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.81%	0	0.00%	0.00%
-45.81% to -34.01%	1	1.08%	1.08%
-34.01% to -22.22%	5	5.38%	6.45%
-22.22% to -10.43%	12	12.90%	19.35%
-10.43% to 1.37%	30	32.26%	51.61%
1.37% to 13.16%	26	27.96%	79.57%
13.16% to 24.95%	14	15.05%	94.62%
24.95% to 36.74%	2	2.15%	96.77%
36.74% to 48.54%	3	3.23%	100.00%
Greater than 48.54%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.36%	17.09%	70.97%	68.27%
±2σ	-30.08%	32.81%	94.62%	95.45%
±3σ	-45.81%	48.54%	100.00%	99.73%

Descriptive Statistics

均值	1.366%
Standard Error	1.630%
中位数	0.521%
Mode	-34.038%
Standard Deviation	15.724%
Sample Variance	247.236%
峰度	0.31
偏度	0.31
Range	79.324%
Minimum	-34.038%
Maximum	45.286%
Count	93

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.661%	47	50.54%	6.904%
负向	-11.196%	46	49.46%	-5.538%
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 1.01. Further, an Excess 峰度 of 0.50 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -83.34%	0	0.00%	0.00%
-83.34% to -61.49%	0	0.00%	0.00%
-61.49% to -39.64%	0	0.00%	0.00%
-39.64% to -17.80%	7	23.33%	23.33%
-17.80% to 4.05%	11	36.67%	60.00%
4.05% to 25.90%	7	23.33%	83.33%
25.90% to 47.74%	1	3.33%	86.67%
47.74% to 69.59%	3	10.00%	96.67%
69.59% to 91.44%	1	3.33%	100.00%
Greater than 91.44%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.08%	33.18%	70.00%	68.27%
±2σ	-54.21%	62.31%	96.67%	95.45%
±3σ	-83.34%	91.44%	100.00%	99.73%

Descriptive Statistics

均值	4.050%
Standard Error	5.318%
中位数	-2.694%
Mode	-37.106%
Standard Deviation	29.129%
Sample Variance	848.485%
峰度	0.50
偏度	1.01
Range	116.216%
Minimum	-37.106%
Maximum	79.110%
Count	30

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	29.636%	13	43.33%	12.842%
负向	-15.516%	17	56.67%	-8.792%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	45.18%
12	3 Years	41.83%
20	5 Years	38.21%
40	10 Years	44.48%
80	20 Years	44.48%
200	50 Years	44.48%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.63%	0	0.00%	0.00%
-39.63% to -15.15%	0	0.00%	0.00%
-15.15% to 9.34%	0	0.00%	0.00%
9.34% to 33.83%	8	25.81%	25.81%
33.83% to 58.31%	10	32.26%	58.06%
58.31% to 82.80%	7	22.58%	80.65%
82.80% to 107.28%	4	12.90%	93.55%
107.28% to 131.77%	1	3.23%	96.77%
131.77% to 156.26%	0	0.00%	96.77%
Greater than 156.26%	1	3.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	25.66%	90.96%	70.97%	68.27%
±2σ	-6.98%	123.61%	96.77%	95.45%
±3σ	-39.63%	156.26%	96.77%	99.73%

Descriptive Statistics

均值	58.312%
Standard Error	5.864%
中位数	42.581%
Mode	21.192%
Standard Deviation	32.648%
Sample Variance	1065.877%
峰度	1.07
偏度	1.12
Range	135.343%
Minimum	21.192%
Maximum	156.535%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	58.312%	31	100.00%	58.312%
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 -0.01. 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 -73.42%	0	0.00%	0.00%
-73.42% to -54.16%	0	0.00%	0.00%
-54.16% to -34.89%	3	9.68%	9.68%
-34.89% to -15.63%	3	9.68%	19.35%
-15.63% to 3.63%	10	32.26%	51.61%
3.63% to 22.90%	7	22.58%	74.19%
22.90% to 42.16%	6	19.35%	93.55%
42.16% to 61.42%	2	6.45%	100.00%
61.42% to 80.69%	0	0.00%	100.00%
Greater than 80.69%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.05%	29.32%	67.74%	68.27%
±2σ	-47.74%	55.00%	96.77%	95.45%
±3σ	-73.42%	80.69%	100.00%	99.73%

Descriptive Statistics

均值	3.633%
Standard Error	4.613%
中位数	3.166%
Mode	-43.901%
Standard Deviation	25.685%
Sample Variance	659.744%
峰度	-0.43
偏度	-0.01
Range	101.879%
Minimum	-43.901%
Maximum	57.978%
Count	31

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.919%	18	58.06%	12.147%
负向	-20.300%	13	41.94%	-8.513%
Zero	0.000%	0	0.00%	0.000%

SONO 深度分析报告