TEAM 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	3.21%	2.37%	2.72%	4.71%	5.62%	5.71%	67.64	75.69	63.94	80.07
周度	7.04%	6.82%	7.67%	11.35%	12.38%	12.56%	63.22	80.98	55.86	91.65
月度	13.46%	12.09%	14.40%	23.93%	25.77%	26.15%	55.30	92.58	42.74	119.79
季度	23.27%	18.95%	24.23%	41.15%	44.63%	45.29%	45.79	111.80	29.31	174.69
Annual	—	—	—	—	89.26%	90.58%	29.31	174.69	12.00	426.50
Option Time Horizon	—	—	—	—	34.01%	34.51%	50.92	100.54	36.24	141.27

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $71.55 | Strike (K): $75.00 (first OTM call ≥ spot) | Observed Mid-价格: $8.5000 (Bid $8.2000 / Ask $8.8000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 89.26% (CRR binomial tree, American, n=20 steps) | BS IV: 90.02% (European Black-Scholes) | Yahoo IV (Annual): 90.58% → 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 0.03. Further, an Excess 峰度 of 7.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.54%	13	0.50%	0.50%
-9.54% to -7.13%	37	1.42%	1.92%
-7.13% to -4.72%	109	4.18%	6.10%
-4.72% to -2.32%	280	10.74%	16.85%
-2.32% to 0.09%	818	31.39%	48.23%
0.09% to 2.49%	944	36.22%	84.46%
2.49% to 4.90%	276	10.59%	95.05%
4.90% to 7.31%	83	3.18%	98.23%
7.31% to 9.71%	26	1.00%	99.23%
Greater than 9.71%	20	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.12%	3.30%	78.17%	68.27%
±2σ	-6.33%	6.50%	94.63%	95.45%
±3σ	-9.54%	9.71%	98.73%	99.73%

Descriptive Statistics

均值	0.088%
Standard Error	0.063%
中位数	0.173%
Mode	0.000%
Standard Deviation	3.208%
Sample Variance	10.291%
峰度	7.56
偏度	0.03
Range	53.606%
Minimum	-28.960%
Maximum	24.646%
Count	2606

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.140%	1401	53.76%	1.150%
负向	-2.310%	1199	46.01%	-1.063%
Zero	0.000%	6	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	8.13%
20	1 Month	7.02%
60	1 Quarter	7.22%
250	1 Year	4.61%
750	3 Years	4.25%
1,250	5 Years	4.71%
2,500	10 Years	4.21%
5,000	20 Years	4.27%
12,500	50 Years	4.27%

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 2.65. Further, an Excess 峰度 of 18.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.02%	0	0.00%	0.00%
-3.02% to -1.24%	0	0.00%	0.00%
-1.24% to 0.54%	0	0.00%	0.00%
0.54% to 2.32%	542	20.79%	20.79%
2.32% to 4.10%	1103	42.31%	63.10%
4.10% to 5.88%	517	19.83%	82.93%
5.88% to 7.66%	244	9.36%	92.29%
7.66% to 9.44%	108	4.14%	96.43%
9.44% to 11.22%	56	2.15%	98.58%
Greater than 11.22%	37	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.73%	6.48%	80.74%	68.27%
±2σ	-0.65%	8.85%	95.28%	95.45%
±3σ	-3.02%	11.22%	98.58%	99.73%

Descriptive Statistics

均值	4.103%
Standard Error	0.046%
中位数	3.522%
Mode	2.082%
Standard Deviation	2.374%
Sample Variance	5.634%
峰度	18.46
偏度	2.65
Range	36.387%
Minimum	0.707%
Maximum	37.094%
Count	2607

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.103%	2607	100.00%	4.103%
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 0.44. Further, an Excess 峰度 of 2.37 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.21%	8	0.31%	0.31%
-8.21% to -6.16%	33	1.27%	1.57%
-6.16% to -4.12%	93	3.57%	5.14%
-4.12% to -2.08%	349	13.39%	18.53%
-2.08% to -0.03%	896	34.37%	52.90%
-0.03% to 2.01%	749	28.73%	81.63%
2.01% to 4.05%	299	11.47%	93.10%
4.05% to 6.09%	119	4.56%	97.66%
6.09% to 8.14%	45	1.73%	99.39%
Greater than 8.14%	16	0.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.76%	2.69%	74.84%	68.27%
±2σ	-5.48%	5.41%	93.75%	95.45%
±3σ	-8.21%	8.14%	99.08%	99.73%

Descriptive Statistics

均值	-0.034%
Standard Error	0.053%
中位数	-0.176%
Mode	0.000%
Standard Deviation	2.724%
Sample Variance	7.419%
峰度	2.37
偏度	0.44
Range	31.227%
Minimum	-12.356%
Maximum	18.871%
Count	2607

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.129%	1203	46.15%	0.982%
负向	-1.898%	1396	53.55%	-1.016%
Zero	0.000%	8	0.31%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of -0.32. Further, an Excess 峰度 of 3.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.68%	3	0.55%	0.55%
-20.68% to -15.40%	7	1.29%	1.85%
-15.40% to -10.12%	23	4.25%	6.10%
-10.12% to -4.84%	67	12.38%	18.48%
-4.84% to 0.44%	163	30.13%	48.61%
0.44% to 5.72%	176	32.53%	81.15%
5.72% to 11.00%	71	13.12%	94.27%
11.00% to 16.27%	22	4.07%	98.34%
16.27% to 21.55%	7	1.29%	99.63%
Greater than 21.55%	2	0.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.60%	7.48%	74.68%	68.27%
±2σ	-13.64%	14.52%	94.64%	95.45%
±3σ	-20.68%	21.55%	99.08%	99.73%

Descriptive Statistics

均值	0.439%
Standard Error	0.303%
中位数	0.578%
Mode	-5.107%
Standard Deviation	7.038%
Sample Variance	49.529%
峰度	3.38
偏度	-0.32
Range	73.839%
Minimum	-41.188%
Maximum	32.651%
Count	541

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.091%	298	55.08%	2.804%
负向	-5.265%	243	44.92%	-2.365%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	15.27%
12	1 Quarter	16.43%
52	1 Year	11.14%
156	3 Years	10.37%
260	5 Years	11.35%
520	10 Years	10.03%
1,040	20 Years	10.13%
2,600	50 Years	10.13%

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 3.57. Further, an Excess 峰度 of 28.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.68%	0	0.00%	0.00%
-9.68% to -4.57%	0	0.00%	0.00%
-4.57% to 0.55%	0	0.00%	0.00%
0.55% to 5.66%	100	18.45%	18.45%
5.66% to 10.78%	227	41.88%	60.33%
10.78% to 15.89%	130	23.99%	84.32%
15.89% to 21.01%	53	9.78%	94.10%
21.01% to 26.12%	18	3.32%	97.42%
26.12% to 31.24%	8	1.48%	98.89%
Greater than 31.24%	6	1.11%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.96%	17.60%	83.39%	68.27%
±2σ	-2.86%	24.42%	96.68%	95.45%
±3σ	-9.68%	31.24%	98.89%	99.73%

Descriptive Statistics

均值	10.778%
Standard Error	0.293%
中位数	9.056%
Mode	4.000%
Standard Deviation	6.820%
Sample Variance	46.518%
峰度	28.77
偏度	3.57
Range	83.533%
Minimum	2.244%
Maximum	85.777%
Count	542

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.778%	542	100.00%	10.778%
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 2.21. Further, an Excess 峰度 of 18.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.91%	1	0.18%	0.18%
-22.91% to -17.16%	2	0.37%	0.55%
-17.16% to -11.40%	16	2.95%	3.51%
-11.40% to -5.65%	74	13.65%	17.16%
-5.65% to 0.10%	211	38.93%	56.09%
0.10% to 5.86%	147	27.12%	83.21%
5.86% to 11.61%	62	11.44%	94.65%
11.61% to 17.37%	17	3.14%	97.79%
17.37% to 23.12%	5	0.92%	98.71%
Greater than 23.12%	7	1.29%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.57%	7.78%	77.49%	68.27%
±2σ	-15.24%	15.45%	95.76%	95.45%
±3σ	-22.91%	23.12%	98.52%	99.73%

Descriptive Statistics

均值	0.104%
Standard Error	0.330%
中位数	-0.748%
Mode	-11.194%
Standard Deviation	7.672%
Sample Variance	58.859%
峰度	18.14
偏度	2.21
Range	102.636%
Minimum	-26.615%
Maximum	76.021%
Count	542

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.076%	240	44.28%	2.690%
负向	-4.673%	300	55.35%	-2.587%
Zero	0.000%	2	0.37%	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 0.72 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.76%	0	0.00%	0.00%
-38.76% to -28.66%	3	2.42%	2.42%
-28.66% to -18.57%	5	4.03%	6.45%
-18.57% to -8.47%	15	12.10%	18.55%
-8.47% to 1.62%	40	32.26%	50.81%
1.62% to 11.71%	32	25.81%	76.61%
11.71% to 21.81%	20	16.13%	92.74%
21.81% to 31.90%	7	5.65%	98.39%
31.90% to 41.99%	2	1.61%	100.00%
Greater than 41.99%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.84%	15.08%	75.00%	68.27%
±2σ	-25.30%	28.54%	94.35%	95.45%
±3σ	-38.76%	41.99%	100.00%	99.73%

Descriptive Statistics

均值	1.619%
Standard Error	1.209%
中位数	1.181%
Mode	-36.427%
Standard Deviation	13.458%
Sample Variance	181.113%
峰度	0.72
偏度	-0.09
Range	76.228%
Minimum	-36.427%
Maximum	39.801%
Count	124

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.563%	64	51.61%	5.968%
负向	-8.988%	60	48.39%	-4.349%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	33.81%
12	1 Year	22.28%
36	3 Years	22.29%
60	5 Years	23.93%
120	10 Years	21.08%
240	20 Years	21.20%
600	50 Years	21.20%

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 2.08. Further, an Excess 峰度 of 6.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.16%	0	0.00%	0.00%
-12.16% to -3.09%	0	0.00%	0.00%
-3.09% to 5.98%	0	0.00%	0.00%
5.98% to 15.04%	22	17.60%	17.60%
15.04% to 24.11%	57	45.60%	63.20%
24.11% to 33.18%	23	18.40%	81.60%
33.18% to 42.24%	13	10.40%	92.00%
42.24% to 51.31%	8	6.40%	98.40%
51.31% to 60.38%	0	0.00%	98.40%
Greater than 60.38%	2	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	12.02%	36.20%	78.40%	68.27%
±2σ	-0.07%	48.29%	98.40%	95.45%
±3σ	-12.16%	60.38%	98.40%	99.73%

Descriptive Statistics

均值	24.111%
Standard Error	1.081%
中位数	20.324%
Mode	6.195%
Standard Deviation	12.089%
Sample Variance	146.138%
峰度	6.90
偏度	2.08
Range	79.998%
Minimum	6.195%
Maximum	86.193%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.111%	125	100.00%	24.111%
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 1.41. Further, an Excess 峰度 of 3.53 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.88%	0	0.00%	0.00%
-42.88% to -32.08%	0	0.00%	0.00%
-32.08% to -21.28%	1	0.80%	0.80%
-21.28% to -10.48%	27	21.60%	22.40%
-10.48% to 0.32%	37	29.60%	52.00%
0.32% to 11.12%	41	32.80%	84.80%
11.12% to 21.92%	10	8.00%	92.80%
21.92% to 32.72%	4	3.20%	96.00%
32.72% to 43.52%	3	2.40%	98.40%
Greater than 43.52%	2	1.60%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.08%	14.72%	75.20%	68.27%
±2σ	-28.48%	29.12%	95.20%	95.45%
±3σ	-42.88%	43.52%	98.40%	99.73%

Descriptive Statistics

均值	0.321%
Standard Error	1.288%
中位数	-1.326%
Mode	1.933%
Standard Deviation	14.401%
Sample Variance	207.391%
峰度	3.53
偏度	1.41
Range	87.177%
Minimum	-27.641%
Maximum	59.536%
Count	125

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.706%	62	49.60%	5.310%
负向	-9.900%	63	50.40%	-4.990%
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 0.07. Further, an Excess 峰度 of -0.34 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -64.16%	0	0.00%	0.00%
-64.16% to -46.70%	0	0.00%	0.00%
-46.70% to -29.25%	4	9.76%	9.76%
-29.25% to -11.79%	5	12.20%	21.95%
-11.79% to 5.66%	12	29.27%	51.22%
5.66% to 23.12%	9	21.95%	73.17%
23.12% to 40.58%	9	21.95%	95.12%
40.58% to 58.03%	1	2.44%	97.56%
58.03% to 75.49%	1	2.44%	100.00%
Greater than 75.49%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.61%	28.94%	63.41%	68.27%
±2σ	-40.89%	52.21%	97.56%	95.45%
±3σ	-64.16%	75.49%	100.00%	99.73%

Descriptive Statistics

均值	5.664%
Standard Error	3.635%
中位数	4.834%
Mode	-39.457%
Standard Deviation	23.275%
Sample Variance	541.736%
峰度	-0.34
偏度	0.07
Range	102.170%
Minimum	-39.457%
Maximum	62.713%
Count	41

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.613%	26	63.41%	12.438%
负向	-18.513%	15	36.59%	-6.773%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.75%
12	3 Years	38.79%
20	5 Years	41.15%
40	10 Years	37.15%
80	20 Years	37.22%
200	50 Years	37.22%

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 1.41. Further, an Excess 峰度 of 3.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.55%	0	0.00%	0.00%
-10.55% to 3.66%	0	0.00%	0.00%
3.66% to 17.87%	0	0.00%	0.00%
17.87% to 32.09%	12	28.57%	28.57%
32.09% to 46.30%	11	26.19%	54.76%
46.30% to 60.51%	13	30.95%	85.71%
60.51% to 74.72%	3	7.14%	92.86%
74.72% to 88.94%	2	4.76%	97.62%
88.94% to 103.15%	0	0.00%	97.62%
Greater than 103.15%	1	2.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.35%	65.25%	78.57%	68.27%
±2σ	8.40%	84.20%	92.86%	95.45%
±3σ	-10.55%	103.15%	97.62%	99.73%

Descriptive Statistics

均值	46.299%
Standard Error	2.924%
中位数	44.948%
Mode	19.620%
Standard Deviation	18.950%
Sample Variance	359.118%
峰度	3.04
偏度	1.41
Range	93.931%
Minimum	19.620%
Maximum	113.551%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	46.299%	42	100.00%	46.299%
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 0.90. Further, an Excess 峰度 of -0.03 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -72.00%	0	0.00%	0.00%
-72.00% to -53.83%	0	0.00%	0.00%
-53.83% to -35.66%	0	0.00%	0.00%
-35.66% to -17.49%	12	28.57%	28.57%
-17.49% to 0.68%	15	35.71%	64.29%
0.68% to 18.84%	6	14.29%	78.57%
18.84% to 37.01%	4	9.52%	88.10%
37.01% to 55.18%	4	9.52%	97.62%
55.18% to 73.35%	1	2.38%	100.00%
Greater than 73.35%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-23.55%	24.90%	66.67%	68.27%
±2σ	-47.77%	49.13%	97.62%	95.45%
±3σ	-72.00%	73.35%	100.00%	99.73%

Descriptive Statistics

均值	0.676%
Standard Error	3.738%
中位数	-5.008%
Mode	-29.234%
Standard Deviation	24.225%
Sample Variance	586.859%
峰度	-0.03
偏度	0.90
Range	93.930%
Minimum	-29.234%
Maximum	64.696%
Count	42

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.898%	15	35.71%	9.963%
负向	-14.447%	27	64.29%	-9.287%
Zero	0.000%	0	0.00%	0.000%

TEAM 深度分析报告