TDOC 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	3.85%	3.01%	3.42%	5.50%	4.66%	4.75%	5.49	6.02	5.24	6.31
周度	8.66%	8.77%	8.85%	12.86%	10.26%	10.45%	5.19	6.37	4.68	7.06
月度	15.65%	18.12%	18.06%	26.31%	21.37%	21.76%	4.64	7.12	3.75	8.82
季度	27.72%	34.13%	36.17%	44.77%	37.01%	37.70%	3.97	8.33	2.74	12.05
Annual	—	—	—	—	74.02%	75.39%	2.74	12.05	1.31	25.27
Option Time Horizon	—	—	—	—	28.21%	28.73%	4.34	7.62	3.27	10.11

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $5.75 | Strike (K): $6.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.5600 (Bid $0.5000 / Ask $0.6200) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 74.02% (CRR binomial tree, American, n=20 steps) | BS IV: 74.73% (European Black-Scholes) | Yahoo IV (Annual): 75.39% → 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 -0.17. Further, an Excess 峰度 of 7.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.53%	12	0.44%	0.44%
-11.53% to -8.64%	21	0.77%	1.21%
-8.64% to -5.76%	96	3.53%	4.74%
-5.76% to -2.87%	398	14.64%	19.38%
-2.87% to 0.02%	841	30.93%	50.31%
0.02% to 2.90%	832	30.60%	80.91%
2.90% to 5.79%	377	13.87%	94.78%
5.79% to 8.68%	88	3.24%	98.01%
8.68% to 11.56%	36	1.32%	99.34%
Greater than 11.56%	18	0.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.83%	3.87%	74.73%	68.27%
±2σ	-7.68%	7.71%	95.33%	95.45%
±3σ	-11.53%	11.56%	98.90%	99.73%

Descriptive Statistics

均值	0.016%
Standard Error	0.074%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.849%
Sample Variance	14.817%
峰度	7.69
偏度	-0.17
Range	67.103%
Minimum	-40.150%
Maximum	26.953%
Count	2719

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.819%	1352	49.72%	1.402%
负向	-2.813%	1339	49.25%	-1.385%
Zero	0.000%	28	1.03%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.17%
20	1 Month	5.21%
60	1 Quarter	5.42%
250	1 Year	5.07%
750	3 Years	5.07%
1,250	5 Years	5.50%
2,500	10 Years	5.28%
5,000	20 Years	5.40%
12,500	50 Years	5.40%

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 2.32. Further, an Excess 峰度 of 9.75 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.74%	0	0.00%	0.00%
-3.74% to -1.48%	0	0.00%	0.00%
-1.48% to 0.77%	0	0.00%	0.00%
0.77% to 3.03%	534	19.63%	19.63%
3.03% to 5.29%	1179	43.35%	62.98%
5.29% to 7.54%	557	20.48%	83.46%
7.54% to 9.80%	255	9.38%	92.83%
9.80% to 12.06%	94	3.46%	96.29%
12.06% to 14.31%	54	1.99%	98.27%
Greater than 14.31%	47	1.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.28%	8.29%	80.70%	68.27%
±2σ	-0.73%	11.30%	95.29%	95.45%
±3σ	-3.74%	14.31%	98.27%	99.73%

Descriptive Statistics

均值	5.286%
Standard Error	0.058%
中位数	4.550%
Mode	3.222%
Standard Deviation	3.009%
Sample Variance	9.057%
峰度	9.75
偏度	2.32
Range	30.428%
Minimum	1.131%
Maximum	31.559%
Count	2720

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.286%	2720	100.00%	5.286%
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 0.15. Further, an Excess 峰度 of 2.73 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.16%	16	0.59%	0.59%
-10.16% to -7.60%	29	1.07%	1.65%
-7.60% to -5.04%	112	4.12%	5.77%
-5.04% to -2.48%	372	13.68%	19.45%
-2.48% to 0.08%	851	31.29%	50.74%
0.08% to 2.65%	820	30.15%	80.88%
2.65% to 5.21%	355	13.05%	93.93%
5.21% to 7.77%	117	4.30%	98.24%
7.77% to 10.33%	34	1.25%	99.49%
Greater than 10.33%	14	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.33%	3.50%	73.75%	68.27%
±2σ	-6.75%	6.91%	94.78%	95.45%
±3σ	-10.16%	10.33%	98.90%	99.73%

Descriptive Statistics

均值	0.084%
Standard Error	0.065%
中位数	0.019%
Mode	0.000%
Standard Deviation	3.415%
Sample Variance	11.663%
峰度	2.73
偏度	0.15
Range	39.226%
Minimum	-16.008%
Maximum	23.218%
Count	2720

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.610%	1364	50.15%	1.309%
负向	-2.522%	1321	48.57%	-1.225%
Zero	0.000%	35	1.29%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.36. Further, an Excess 峰度 of 3.00 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.88%	2	0.35%	0.35%
-25.88% to -19.39%	6	1.06%	1.42%
-19.39% to -12.89%	26	4.61%	6.03%
-12.89% to -6.39%	74	13.12%	19.15%
-6.39% to 0.10%	176	31.21%	50.35%
0.10% to 6.60%	179	31.74%	82.09%
6.60% to 13.10%	72	12.77%	94.86%
13.10% to 19.59%	17	3.01%	97.87%
19.59% to 26.09%	5	0.89%	98.76%
Greater than 26.09%	7	1.24%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.56%	8.76%	74.82%	68.27%
±2σ	-17.22%	17.43%	94.50%	95.45%
±3σ	-25.88%	26.09%	98.40%	99.73%

Descriptive Statistics

均值	0.102%
Standard Error	0.365%
中位数	0.000%
Mode	0.000%
Standard Deviation	8.662%
Sample Variance	75.027%
峰度	3.00
偏度	0.36
Range	82.102%
Minimum	-38.672%
Maximum	43.430%
Count	564

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.424%	280	49.65%	3.189%
负向	-6.196%	281	49.82%	-3.087%
Zero	0.000%	3	0.53%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.19%
12	1 Quarter	12.67%
52	1 Year	11.77%
156	3 Years	11.96%
260	5 Years	12.86%
520	10 Years	12.25%
1,040	20 Years	12.55%
2,600	50 Years	12.55%

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 3.83. Further, an Excess 峰度 of 29.81 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.68%	0	0.00%	0.00%
-12.68% to -6.10%	0	0.00%	0.00%
-6.10% to 0.48%	0	0.00%	0.00%
0.48% to 7.06%	91	16.11%	16.11%
7.06% to 13.64%	263	46.55%	62.65%
13.64% to 20.22%	139	24.60%	87.26%
20.22% to 26.80%	36	6.37%	93.63%
26.80% to 33.38%	18	3.19%	96.81%
33.38% to 39.96%	9	1.59%	98.41%
Greater than 39.96%	9	1.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.87%	22.42%	85.84%	68.27%
±2σ	-3.90%	31.19%	95.58%	95.45%
±3σ	-12.68%	39.96%	98.41%	99.73%

Descriptive Statistics

均值	13.643%
Standard Error	0.369%
中位数	11.716%
Mode	7.438%
Standard Deviation	8.773%
Sample Variance	76.964%
峰度	29.81
偏度	3.83
Range	107.897%
Minimum	2.781%
Maximum	110.678%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.643%	565	100.00%	13.643%
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 0.97. Further, an Excess 峰度 of 4.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.74%	3	0.53%	0.53%
-25.74% to -19.11%	3	0.53%	1.06%
-19.11% to -12.47%	16	2.83%	3.89%
-12.47% to -5.84%	86	15.22%	19.12%
-5.84% to 0.80%	194	34.34%	53.45%
0.80% to 7.43%	169	29.91%	83.36%
7.43% to 14.07%	57	10.09%	93.45%
14.07% to 20.70%	20	3.54%	96.99%
20.70% to 27.34%	14	2.48%	99.47%
Greater than 27.34%	3	0.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.05%	9.64%	76.11%	68.27%
±2σ	-16.90%	18.49%	94.87%	95.45%
±3σ	-25.74%	27.34%	98.94%	99.73%

Descriptive Statistics

均值	0.798%
Standard Error	0.372%
中位数	0.153%
Mode	0.000%
Standard Deviation	8.847%
Sample Variance	78.267%
峰度	4.91
偏度	0.97
Range	89.691%
Minimum	-28.356%
Maximum	61.335%
Count	565

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.956%	291	51.50%	3.583%
负向	-5.806%	271	47.97%	-2.785%
Zero	0.000%	3	0.53%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.02. Further, an Excess 峰度 of 0.23 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -47.01%	1	0.78%	0.78%
-47.01% to -35.27%	0	0.00%	0.78%
-35.27% to -23.53%	5	3.88%	4.65%
-23.53% to -11.79%	26	20.16%	24.81%
-11.79% to -0.05%	32	24.81%	49.61%
-0.05% to 11.69%	36	27.91%	77.52%
11.69% to 23.43%	18	13.95%	91.47%
23.43% to 35.17%	10	7.75%	99.22%
35.17% to 46.91%	1	0.78%	100.00%
Greater than 46.91%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.70%	15.61%	68.22%	68.27%
±2σ	-31.36%	31.26%	96.12%	95.45%
±3σ	-47.01%	46.91%	99.22%	99.73%

Descriptive Statistics

均值	-0.048%
Standard Error	1.378%
中位数	-0.024%
Mode	-53.196%
Standard Deviation	15.654%
Sample Variance	245.063%
峰度	0.23
偏度	0.02
Range	93.353%
Minimum	-53.196%
Maximum	40.157%
Count	129

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.741%	63	48.84%	6.222%
负向	-12.445%	65	50.39%	-6.271%
Zero	0.000%	1	0.78%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	22.92%
12	1 Year	22.99%
36	3 Years	24.79%
60	5 Years	26.31%
120	10 Years	25.97%
240	20 Years	26.56%
600	50 Years	26.56%

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 3.70. Further, an Excess 峰度 of 24.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.35%	0	0.00%	0.00%
-22.35% to -8.76%	0	0.00%	0.00%
-8.76% to 4.84%	0	0.00%	0.00%
4.84% to 18.43%	27	20.77%	20.77%
18.43% to 32.02%	49	37.69%	58.46%
32.02% to 45.61%	34	26.15%	84.62%
45.61% to 59.20%	15	11.54%	96.15%
59.20% to 72.80%	3	2.31%	98.46%
72.80% to 86.39%	1	0.77%	99.23%
Greater than 86.39%	1	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.90%	50.14%	83.85%	68.27%
±2σ	-4.23%	68.27%	96.92%	95.45%
±3σ	-22.35%	86.39%	99.23%	99.73%

Descriptive Statistics

均值	32.020%
Standard Error	1.590%
中位数	29.344%
Mode	9.714%
Standard Deviation	18.123%
Sample Variance	328.458%
峰度	24.96
偏度	3.70
Range	159.851%
Minimum	9.714%
Maximum	169.565%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.020%	130	100.00%	32.020%
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 2.06. Further, an Excess 峰度 of 10.85 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.55%	0	0.00%	0.00%
-51.55% to -38.00%	0	0.00%	0.00%
-38.00% to -24.45%	2	1.54%	1.54%
-24.45% to -10.90%	24	18.46%	20.00%
-10.90% to 2.65%	46	35.38%	55.38%
2.65% to 16.19%	33	25.38%	80.77%
16.19% to 29.74%	21	16.15%	96.92%
29.74% to 43.29%	1	0.77%	97.69%
43.29% to 56.84%	2	1.54%	99.23%
Greater than 56.84%	1	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.42%	20.71%	75.38%	68.27%
±2σ	-33.48%	38.77%	97.69%	95.45%
±3σ	-51.55%	56.84%	99.23%	99.73%

Descriptive Statistics

均值	2.646%
Standard Error	1.584%
中位数	0.261%
Mode	-28.402%
Standard Deviation	18.064%
Sample Variance	326.315%
峰度	10.85
偏度	2.06
Range	144.190%
Minimum	-28.402%
Maximum	115.788%
Count	130

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.963%	68	52.31%	7.827%
负向	-10.863%	62	47.69%	-5.181%
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 -0.03. Further, an Excess 峰度 of -0.56 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -82.98%	0	0.00%	0.00%
-82.98% to -62.19%	0	0.00%	0.00%
-62.19% to -41.40%	3	6.98%	6.98%
-41.40% to -20.60%	7	16.28%	23.26%
-20.60% to 0.19%	10	23.26%	46.51%
0.19% to 20.98%	14	32.56%	79.07%
20.98% to 41.77%	6	13.95%	93.02%
41.77% to 62.57%	3	6.98%	100.00%
62.57% to 83.36%	0	0.00%	100.00%
Greater than 83.36%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.54%	27.91%	65.12%	68.27%
±2σ	-55.26%	55.64%	95.35%	95.45%
±3σ	-82.98%	83.36%	100.00%	99.73%

Descriptive Statistics

均值	0.189%
Standard Error	4.228%
中位数	0.762%
Mode	-55.990%
Standard Deviation	27.724%
Sample Variance	768.647%
峰度	-0.56
偏度	-0.03
Range	117.813%
Minimum	-55.990%
Maximum	61.823%
Count	43

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.317%	23	53.49%	11.402%
负向	-24.108%	20	46.51%	-11.213%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	37.15%
12	3 Years	44.28%
20	5 Years	44.77%
40	10 Years	45.96%
80	20 Years	46.57%
200	50 Years	46.57%

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 1.59. Further, an Excess 峰度 of 2.45 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.67%	0	0.00%	0.00%
-38.67% to -13.07%	0	0.00%	0.00%
-13.07% to 12.52%	0	0.00%	0.00%
12.52% to 38.12%	9	20.45%	20.45%
38.12% to 63.71%	21	47.73%	68.18%
63.71% to 89.31%	6	13.64%	81.82%
89.31% to 114.91%	3	6.82%	88.64%
114.91% to 140.50%	4	9.09%	97.73%
140.50% to 166.10%	0	0.00%	97.73%
Greater than 166.10%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	29.59%	97.84%	81.82%	68.27%
±2σ	-4.54%	131.97%	93.18%	95.45%
±3σ	-38.67%	166.10%	97.73%	99.73%

Descriptive Statistics

均值	63.714%
Standard Error	5.145%
中位数	49.875%
Mode	27.808%
Standard Deviation	34.128%
Sample Variance	1164.712%
峰度	2.45
偏度	1.59
Range	153.340%
Minimum	27.808%
Maximum	181.148%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	63.714%	44	100.00%	63.714%
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 1.48. Further, an Excess 峰度 of 2.41 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -100.04%	0	0.00%	0.00%
-100.04% to -72.92%	0	0.00%	0.00%
-72.92% to -45.80%	0	0.00%	0.00%
-45.80% to -18.67%	8	18.18%	18.18%
-18.67% to 8.45%	20	45.45%	63.64%
8.45% to 35.58%	8	18.18%	81.82%
35.58% to 62.70%	5	11.36%	93.18%
62.70% to 89.83%	1	2.27%	95.45%
89.83% to 116.95%	1	2.27%	97.73%
Greater than 116.95%	1	2.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.71%	44.62%	75.00%	68.27%
±2σ	-63.88%	80.79%	95.45%	95.45%
±3σ	-100.04%	116.95%	97.73%	99.73%

Descriptive Statistics

均值	8.454%
Standard Error	5.452%
中位数	-3.508%
Mode	-37.609%
Standard Deviation	36.166%
Sample Variance	1307.958%
峰度	2.41
偏度	1.48
Range	170.636%
Minimum	-37.609%
Maximum	133.027%
Count	44

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.857%	20	45.45%	17.208%
负向	-16.049%	24	54.55%	-8.754%
Zero	0.000%	0	0.00%	0.000%

TDOC 深度分析报告