SPWH 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	4.16%	3.61%	3.37%	5.65%	7.35%	7.28%	1.39	1.61	1.29	1.74
周度	8.36%	9.77%	7.99%	12.95%	16.18%	16.03%	1.28	1.76	1.09	2.07
月度	18.09%	20.88%	17.95%	29.32%	33.69%	33.38%	1.07	2.10	0.76	2.94
季度	31.53%	35.70%	29.43%	45.62%	58.35%	57.81%	0.84	2.69	0.47	4.82
Annual	—	—	—	—	116.70%	115.63%	0.47	4.82	0.15	15.48
Option Time Horizon	—	—	—	—	55.32%	54.80%	0.86	2.61	0.50	4.53

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-07-17 (82 days) | Spot 价格 (S): $1.50 | Strike (K): $2.50 (first OTM call ≥ spot) | Observed Mid-价格: $0.1000 (Bid $0.0500 / Ask $0.1500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 116.70% (CRR binomial tree, American, n=20 steps) | BS IV: 115.39% (European Black-Scholes) | Yahoo IV (Annual): 115.63% → 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 4.74. Further, an Excess 峰度 of 108.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.47%	14	0.46%	0.46%
-12.47% to -9.35%	17	0.56%	1.03%
-9.35% to -6.23%	68	2.25%	3.28%
-6.23% to -3.10%	342	11.32%	14.59%
-3.10% to 0.02%	1159	38.35%	52.95%
0.02% to 3.14%	1011	33.45%	86.40%
3.14% to 6.26%	286	9.46%	95.86%
6.26% to 9.38%	83	2.75%	98.61%
9.38% to 12.51%	20	0.66%	99.27%
Greater than 12.51%	22	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.15%	4.18%	82.40%	68.27%
±2σ	-8.31%	8.34%	96.43%	95.45%
±3σ	-12.47%	12.51%	98.81%	99.73%

Descriptive Statistics

均值	0.018%
Standard Error	0.076%
中位数	0.000%
Mode	0.000%
Standard Deviation	4.163%
Sample Variance	17.328%
峰度	108.31
偏度	4.74
Range	127.723%
Minimum	-29.796%
Maximum	97.927%
Count	3022

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.681%	1422	47.05%	1.262%
负向	-2.490%	1509	49.93%	-1.243%
Zero	0.000%	91	3.01%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.30%
20	1 Month	9.81%
60	1 Quarter	7.54%
250	1 Year	7.10%
750	3 Years	7.00%
1,250	5 Years	5.65%
2,500	10 Years	5.23%
5,000	20 Years	5.05%
12,500	50 Years	5.05%

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 4.03. Further, an Excess 峰度 of 40.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.82%	0	0.00%	0.00%
-5.82% to -3.11%	0	0.00%	0.00%
-3.11% to -0.40%	0	0.00%	0.00%
-0.40% to 2.30%	452	14.95%	14.95%
2.30% to 5.01%	1391	46.01%	60.97%
5.01% to 7.72%	756	25.01%	85.97%
7.72% to 10.42%	249	8.24%	94.21%
10.42% to 13.13%	91	3.01%	97.22%
13.13% to 15.84%	35	1.16%	98.38%
Greater than 15.84%	49	1.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.40%	8.62%	82.43%	68.27%
±2σ	-2.21%	12.23%	96.56%	95.45%
±3σ	-5.82%	15.84%	98.38%	99.73%

Descriptive Statistics

均值	5.010%
Standard Error	0.066%
中位数	4.301%
Mode	3.846%
Standard Deviation	3.609%
Sample Variance	13.022%
峰度	40.15
偏度	4.03
Range	65.796%
Minimum	0.113%
Maximum	65.909%
Count	3023

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.010%	3023	100.00%	5.010%
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 -0.05. Further, an Excess 峰度 of 6.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.88%	19	0.63%	0.63%
-9.88% to -7.35%	28	0.93%	1.55%
-7.35% to -4.83%	111	3.67%	5.23%
-4.83% to -2.30%	347	11.48%	16.71%
-2.30% to 0.23%	1086	35.92%	52.63%
0.23% to 2.75%	892	29.51%	82.14%
2.75% to 5.28%	371	12.27%	94.41%
5.28% to 7.80%	114	3.77%	98.18%
7.80% to 10.33%	36	1.19%	99.37%
Greater than 10.33%	19	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.14%	3.59%	77.37%	68.27%
±2σ	-6.51%	6.96%	95.30%	95.45%
±3σ	-9.88%	10.33%	98.74%	99.73%

Descriptive Statistics

均值	0.225%
Standard Error	0.061%
中位数	0.085%
Mode	0.000%
Standard Deviation	3.368%
Sample Variance	11.342%
峰度	6.94
偏度	-0.05
Range	55.045%
Minimum	-27.225%
Maximum	27.820%
Count	3023

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.522%	1533	50.71%	1.279%
负向	-2.291%	1391	46.01%	-1.054%
Zero	0.000%	99	3.27%	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 1.46. Further, an Excess 峰度 of 11.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.04%	3	0.48%	0.48%
-25.04% to -18.77%	6	0.96%	1.44%
-18.77% to -12.50%	23	3.67%	5.10%
-12.50% to -6.23%	76	12.12%	17.22%
-6.23% to 0.04%	226	36.04%	53.27%
0.04% to 6.31%	202	32.22%	85.49%
6.31% to 12.58%	59	9.41%	94.90%
12.58% to 18.85%	21	3.35%	98.25%
18.85% to 25.12%	7	1.12%	99.36%
Greater than 25.12%	4	0.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.32%	8.40%	80.70%	68.27%
±2σ	-16.68%	16.76%	95.06%	95.45%
±3σ	-25.04%	25.12%	98.88%	99.73%

Descriptive Statistics

均值	0.039%
Standard Error	0.334%
中位数	-0.189%
Mode	0.000%
Standard Deviation	8.360%
Sample Variance	69.885%
峰度	11.37
偏度	1.46
Range	95.952%
Minimum	-30.962%
Maximum	64.990%
Count	627

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.940%	293	46.73%	2.776%
负向	-5.313%	323	51.52%	-2.737%
Zero	0.000%	11	1.75%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	19.38%
12	1 Quarter	16.49%
52	1 Year	16.35%
156	3 Years	16.51%
260	5 Years	12.95%
520	10 Years	11.86%
1,040	20 Years	11.46%
2,600	50 Years	11.46%

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 4.76. Further, an Excess 峰度 of 46.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.96%	0	0.00%	0.00%
-16.96% to -9.64%	0	0.00%	0.00%
-9.64% to -2.31%	0	0.00%	0.00%
-2.31% to 5.01%	71	11.31%	11.31%
5.01% to 12.34%	329	52.39%	63.69%
12.34% to 19.66%	148	23.57%	87.26%
19.66% to 26.99%	49	7.80%	95.06%
26.99% to 34.31%	12	1.91%	96.97%
34.31% to 41.64%	9	1.43%	98.41%
Greater than 41.64%	10	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.57%	22.10%	83.92%	68.27%
±2σ	-7.19%	31.87%	95.86%	95.45%
±3σ	-16.96%	41.64%	98.41%	99.73%

Descriptive Statistics

均值	12.338%
Standard Error	0.390%
中位数	10.178%
Mode	2.312%
Standard Deviation	9.766%
Sample Variance	95.377%
峰度	46.95
偏度	4.76
Range	137.478%
Minimum	0.565%
Maximum	138.043%
Count	628

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.338%	628	100.00%	12.338%
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 0.63. Further, an Excess 峰度 of 4.93 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.17%	2	0.32%	0.32%
-23.17% to -17.18%	9	1.43%	1.75%
-17.18% to -11.18%	18	2.87%	4.62%
-11.18% to -5.19%	73	11.62%	16.24%
-5.19% to 0.81%	241	38.38%	54.62%
0.81% to 6.80%	185	29.46%	84.08%
6.80% to 12.80%	63	10.03%	94.11%
12.80% to 18.79%	20	3.18%	97.29%
18.79% to 24.79%	9	1.43%	98.73%
Greater than 24.79%	8	1.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.19%	8.80%	78.98%	68.27%
±2σ	-15.18%	16.79%	94.75%	95.45%
±3σ	-23.17%	24.79%	98.41%	99.73%

Descriptive Statistics

均值	0.806%
Standard Error	0.319%
中位数	0.273%
Mode	0.000%
Standard Deviation	7.993%
Sample Variance	63.889%
峰度	4.93
偏度	0.63
Range	82.653%
Minimum	-37.805%
Maximum	44.848%
Count	628

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.078%	325	51.75%	3.145%
负向	-4.947%	297	47.29%	-2.340%
Zero	0.000%	6	0.95%	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 1.15. Further, an Excess 峰度 of 3.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.09%	0	0.00%	0.00%
-54.09% to -40.53%	0	0.00%	0.00%
-40.53% to -26.96%	8	5.56%	5.56%
-26.96% to -13.39%	19	13.19%	18.75%
-13.39% to 0.17%	50	34.72%	53.47%
0.17% to 13.74%	44	30.56%	84.03%
13.74% to 27.30%	15	10.42%	94.44%
27.30% to 40.87%	4	2.78%	97.22%
40.87% to 54.44%	1	0.69%	97.92%
Greater than 54.44%	3	2.08%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.92%	18.26%	72.92%	68.27%
±2σ	-36.01%	36.35%	96.53%	95.45%
±3σ	-54.09%	54.44%	97.92%	99.73%

Descriptive Statistics

均值	0.171%
Standard Error	1.507%
中位数	-0.929%
Mode	-36.745%
Standard Deviation	18.088%
Sample Variance	327.161%
峰度	3.70
偏度	1.15
Range	119.285%
Minimum	-36.745%
Maximum	82.540%
Count	144

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.875%	67	46.53%	6.456%
负向	-11.753%	77	53.47%	-6.285%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	33.95%
12	1 Year	40.60%
36	3 Years	38.62%
60	5 Years	29.32%
120	10 Years	26.97%
240	20 Years	25.84%
600	50 Years	25.84%

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 2.16. Further, an Excess 峰度 of 8.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -32.11%	0	0.00%	0.00%
-32.11% to -16.45%	0	0.00%	0.00%
-16.45% to -0.79%	0	0.00%	0.00%
-0.79% to 14.88%	28	19.31%	19.31%
14.88% to 30.54%	54	37.24%	56.55%
30.54% to 46.20%	43	29.66%	86.21%
46.20% to 61.86%	12	8.28%	94.48%
61.86% to 77.52%	3	2.07%	96.55%
77.52% to 93.19%	3	2.07%	98.62%
Greater than 93.19%	2	1.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	9.65%	51.42%	82.07%	68.27%
±2σ	-11.23%	72.30%	96.55%	95.45%
±3σ	-32.11%	93.19%	98.62%	99.73%

Descriptive Statistics

均值	30.537%
Standard Error	1.734%
中位数	25.758%
Mode	1.879%
Standard Deviation	20.883%
Sample Variance	436.091%
峰度	8.01
偏度	2.16
Range	136.164%
Minimum	1.879%
Maximum	138.043%
Count	145

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.537%	145	100.00%	30.537%
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 0.62. 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 -50.96%	0	0.00%	0.00%
-50.96% to -37.50%	2	1.38%	1.38%
-37.50% to -24.04%	2	1.38%	2.76%
-24.04% to -10.58%	26	17.93%	20.69%
-10.58% to 2.88%	52	35.86%	56.55%
2.88% to 16.34%	36	24.83%	81.38%
16.34% to 29.80%	13	8.97%	90.34%
29.80% to 43.26%	9	6.21%	96.55%
43.26% to 56.73%	4	2.76%	99.31%
Greater than 56.73%	1	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.07%	20.83%	71.03%	68.27%
±2σ	-33.02%	38.78%	93.79%	95.45%
±3σ	-50.96%	56.73%	99.31%	99.73%

Descriptive Statistics

均值	2.881%
Standard Error	1.491%
中位数	1.057%
Mode	-44.058%
Standard Deviation	17.948%
Sample Variance	322.141%
峰度	1.17
偏度	0.62
Range	106.299%
Minimum	-44.058%
Maximum	62.241%
Count	145

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.806%	78	53.79%	7.965%
负向	-11.168%	66	45.52%	-5.083%
Zero	0.000%	1	0.69%	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 1.99. Further, an Excess 峰度 of 6.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -94.60%	0	0.00%	0.00%
-94.60% to -70.95%	0	0.00%	0.00%
-70.95% to -47.31%	0	0.00%	0.00%
-47.31% to -23.66%	7	14.58%	14.58%
-23.66% to -0.02%	19	39.58%	54.17%
-0.02% to 23.63%	16	33.33%	87.50%
23.63% to 47.27%	3	6.25%	93.75%
47.27% to 70.92%	1	2.08%	95.83%
70.92% to 94.56%	0	0.00%	95.83%
Greater than 94.56%	2	4.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-31.54%	31.51%	79.17%	68.27%
±2σ	-63.07%	63.03%	95.83%	95.45%
±3σ	-94.60%	94.56%	95.83%	99.73%

Descriptive Statistics

均值	-0.018%
Standard Error	4.550%
中位数	-1.949%
Mode	-45.027%
Standard Deviation	31.526%
Sample Variance	993.865%
峰度	6.05
偏度	1.99
Range	169.748%
Minimum	-45.027%
Maximum	124.721%
Count	48

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.052%	22	45.83%	10.107%
负向	-18.692%	26	54.17%	-10.125%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	74.42%
12	3 Years	58.80%
20	5 Years	45.62%
40	10 Years	45.86%
80	20 Years	44.66%
200	50 Years	44.66%

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 1.17 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -48.37%	0	0.00%	0.00%
-48.37% to -21.60%	0	0.00%	0.00%
-21.60% to 5.17%	1	2.04%	2.04%
5.17% to 31.94%	8	16.33%	18.37%
31.94% to 58.71%	23	46.94%	65.31%
58.71% to 85.48%	6	12.24%	77.55%
85.48% to 112.25%	6	12.24%	89.80%
112.25% to 139.03%	3	6.12%	95.92%
139.03% to 165.80%	2	4.08%	100.00%
Greater than 165.80%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	23.02%	94.41%	77.55%	68.27%
±2σ	-12.68%	130.10%	93.88%	95.45%
±3σ	-48.37%	165.80%	100.00%	99.73%

Descriptive Statistics

均值	58.712%
Standard Error	5.099%
中位数	48.812%
Mode	3.379%
Standard Deviation	35.695%
Sample Variance	1274.162%
峰度	1.17
偏度	1.12
Range	160.706%
Minimum	3.379%
Maximum	164.085%
Count	49

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	58.712%	49	100.00%	58.712%
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 0.79. Further, an Excess 峰度 of 1.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -80.52%	0	0.00%	0.00%
-80.52% to -58.45%	0	0.00%	0.00%
-58.45% to -36.38%	2	4.08%	4.08%
-36.38% to -14.31%	7	14.29%	18.37%
-14.31% to 7.76%	19	38.78%	57.14%
7.76% to 29.83%	14	28.57%	85.71%
29.83% to 51.90%	3	6.12%	91.84%
51.90% to 73.97%	1	2.04%	93.88%
73.97% to 96.04%	3	6.12%	100.00%
Greater than 96.04%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.67%	37.19%	79.59%	68.27%
±2σ	-51.09%	66.61%	91.84%	95.45%
±3σ	-80.52%	96.04%	100.00%	99.73%

Descriptive Statistics

均值	7.760%
Standard Error	4.204%
中位数	0.802%
Mode	-56.495%
Standard Deviation	29.426%
Sample Variance	865.882%
峰度	1.61
偏度	0.79
Range	145.614%
Minimum	-56.495%
Maximum	89.119%
Count	49

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.772%	26	53.06%	14.205%
负向	-13.732%	23	46.94%	-6.446%
Zero	0.000%	0	0.00%	0.000%

SPWH 深度分析报告