TOST 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	3.86%	3.05%	3.34%	5.47%	3.92%	4.01%	27.92	30.20	26.85	31.41
周度	8.15%	7.89%	8.55%	12.53%	8.63%	8.82%	26.64	31.66	24.44	34.51
月度	15.37%	16.52%	15.88%	25.73%	17.96%	18.37%	24.27	34.75	20.28	41.59
季度	26.72%	53.75%	37.89%	43.01%	31.11%	31.81%	21.28	39.64	15.59	54.11
Annual	—	—	—	—	62.23%	63.62%	15.59	54.11	8.37	100.81
Option Time Horizon	—	—	—	—	23.71%	24.24%	22.91	36.81	18.07	46.66

Calculation Notes: Computed at 2026-04-26T02:45 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $29.04 | Strike (K): $30.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.4200 (Bid $2.2500 / Ask $2.5900) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 62.23% (CRR binomial tree, American, n=20 steps) | BS IV: 62.75% (European Black-Scholes) | Yahoo IV (Annual): 63.62% → 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 -0.06. Further, an Excess 峰度 of 3.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.57%	7	0.61%	0.61%
-11.57% to -8.68%	13	1.13%	1.74%
-8.68% to -5.78%	46	4.00%	5.73%
-5.78% to -2.89%	136	11.82%	17.55%
-2.89% to 0.01%	368	31.97%	49.52%
0.01% to 2.90%	381	33.10%	82.62%
2.90% to 5.80%	135	11.73%	94.35%
5.80% to 8.69%	44	3.82%	98.18%
8.69% to 11.59%	8	0.70%	98.87%
Greater than 11.59%	13	1.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.85%	3.87%	76.37%	68.27%
±2σ	-7.71%	7.73%	95.05%	95.45%
±3σ	-11.57%	11.59%	98.26%	99.73%

Descriptive Statistics

均值	0.008%
Standard Error	0.114%
中位数	0.058%
Mode	0.000%
Standard Deviation	3.860%
Sample Variance	14.900%
峰度	3.30
偏度	-0.06
Range	39.614%
Minimum	-22.843%
Maximum	16.771%
Count	1151

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.754%	581	50.48%	1.390%
负向	-2.845%	559	48.57%	-1.382%
Zero	0.000%	11	0.96%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.25%
20	1 Month	4.59%
60	1 Quarter	4.95%
250	1 Year	4.04%
750	3 Years	4.36%
1,250	5 Years	5.47%
2,500	10 Years	5.47%
5,000	20 Years	5.47%
12,500	50 Years	5.47%

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 1.80. Further, an Excess 峰度 of 4.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.88%	0	0.00%	0.00%
-3.88% to -1.58%	0	0.00%	0.00%
-1.58% to 0.71%	0	0.00%	0.00%
0.71% to 3.00%	240	20.83%	20.83%
3.00% to 5.29%	486	42.19%	63.02%
5.29% to 7.58%	221	19.18%	82.20%
7.58% to 9.87%	106	9.20%	91.41%
9.87% to 12.16%	55	4.77%	96.18%
12.16% to 14.45%	25	2.17%	98.35%
Greater than 14.45%	19	1.65%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.23%	8.34%	80.12%	68.27%
±2σ	-0.82%	11.39%	94.97%	95.45%
±3σ	-3.87%	14.45%	98.35%	99.73%

Descriptive Statistics

均值	5.287%
Standard Error	0.090%
中位数	4.303%
Mode	2.906%
Standard Deviation	3.054%
Sample Variance	9.327%
峰度	4.54
偏度	1.80
Range	23.232%
Minimum	0.967%
Maximum	24.199%
Count	1152

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.287%	1152	100.00%	5.287%
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 0.12. Further, an Excess 峰度 of 2.23 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.97%	6	0.52%	0.52%
-9.97% to -7.46%	7	0.61%	1.13%
-7.46% to -4.96%	51	4.43%	5.56%
-4.96% to -2.45%	152	13.19%	18.75%
-2.45% to 0.06%	389	33.77%	52.52%
0.06% to 2.56%	335	29.08%	81.60%
2.56% to 5.07%	132	11.46%	93.06%
5.07% to 7.58%	54	4.69%	97.74%
7.58% to 10.09%	19	1.65%	99.39%
Greater than 10.09%	7	0.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.29%	3.40%	74.05%	68.27%
±2σ	-6.63%	6.74%	94.62%	95.45%
±3σ	-9.97%	10.09%	98.87%	99.73%

Descriptive Statistics

均值	0.057%
Standard Error	0.099%
中位数	-0.071%
Mode	0.000%
Standard Deviation	3.343%
Sample Variance	11.178%
峰度	2.23
偏度	0.12
Range	34.068%
Minimum	-17.331%
Maximum	16.737%
Count	1152

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.606%	556	48.26%	1.258%
负向	-2.356%	587	50.95%	-1.200%
Zero	0.000%	9	0.78%	0.000%

收盘-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 1.26 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.37%	1	0.42%	0.42%
-24.37% to -18.26%	4	1.67%	2.09%
-18.26% to -12.15%	11	4.60%	6.69%
-12.15% to -6.04%	29	12.13%	18.83%
-6.04% to 0.07%	76	31.80%	50.63%
0.07% to 6.18%	71	29.71%	80.33%
6.18% to 12.29%	32	13.39%	93.72%
12.29% to 18.40%	9	3.77%	97.49%
18.40% to 24.51%	4	1.67%	99.16%
Greater than 24.51%	2	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.08%	8.21%	72.38%	68.27%
±2σ	-16.22%	16.36%	94.98%	95.45%
±3σ	-24.37%	24.51%	98.74%	99.73%

Descriptive Statistics

均值	0.068%
Standard Error	0.527%
中位数	-0.060%
Mode	-8.175%
Standard Deviation	8.146%
Sample Variance	66.357%
峰度	1.26
偏度	-0.01
Range	54.222%
Minimum	-29.057%
Maximum	25.165%
Count	239

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.169%	118	49.37%	3.046%
负向	-5.930%	120	50.21%	-2.977%
Zero	0.000%	1	0.42%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.88%
12	1 Quarter	11.06%
52	1 Year	9.08%
156	3 Years	10.06%
260	5 Years	12.53%
520	10 Years	12.53%
1,040	20 Years	12.53%
2,600	50 Years	12.53%

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 1.64. Further, an Excess 峰度 of 3.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.14%	0	0.00%	0.00%
-10.14% to -4.23%	0	0.00%	0.00%
-4.23% to 1.69%	0	0.00%	0.00%
1.69% to 7.61%	53	22.08%	22.08%
7.61% to 13.53%	100	41.67%	63.75%
13.53% to 19.45%	43	17.92%	81.67%
19.45% to 25.37%	20	8.33%	90.00%
25.37% to 31.29%	15	6.25%	96.25%
31.29% to 37.21%	5	2.08%	98.33%
Greater than 37.21%	4	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.64%	21.42%	78.75%	68.27%
±2σ	-2.25%	29.32%	95.83%	95.45%
±3σ	-10.15%	37.21%	98.33%	99.73%

Descriptive Statistics

均值	13.531%
Standard Error	0.509%
中位数	10.939%
Mode	8.190%
Standard Deviation	7.892%
Sample Variance	62.277%
峰度	3.14
偏度	1.64
Range	44.817%
Minimum	3.930%
Maximum	48.747%
Count	240

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.531%	240	100.00%	13.531%
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 0.87. Further, an Excess 峰度 of 2.79 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.02%	0	0.00%	0.00%
-25.02% to -18.61%	1	0.42%	0.42%
-18.61% to -12.20%	9	3.75%	4.17%
-12.20% to -5.79%	35	14.58%	18.75%
-5.79% to 0.62%	86	35.83%	54.58%
0.62% to 7.03%	67	27.92%	82.50%
7.03% to 13.44%	26	10.83%	93.33%
13.44% to 19.85%	8	3.33%	96.67%
19.85% to 26.26%	6	2.50%	99.17%
Greater than 26.26%	2	0.83%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.93%	9.17%	74.58%	68.27%
±2σ	-16.47%	17.72%	93.33%	95.45%
±3σ	-25.02%	26.26%	99.17%	99.73%

Descriptive Statistics

均值	0.622%
Standard Error	0.552%
中位数	0.007%
Mode	-0.363%
Standard Deviation	8.547%
Sample Variance	73.055%
峰度	2.79
偏度	0.87
Range	60.785%
Minimum	-20.843%
Maximum	39.942%
Count	240

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.712%	120	50.00%	3.356%
负向	-5.469%	120	50.00%	-2.734%
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 0.53. Further, an Excess 峰度 of 0.42 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.97%	0	0.00%	0.00%
-45.97% to -34.44%	0	0.00%	0.00%
-34.44% to -22.91%	2	3.64%	3.64%
-22.91% to -11.38%	14	25.45%	29.09%
-11.38% to 0.15%	13	23.64%	52.73%
0.15% to 11.68%	15	27.27%	80.00%
11.68% to 23.21%	6	10.91%	90.91%
23.21% to 34.74%	4	7.27%	98.18%
34.74% to 46.27%	1	1.82%	100.00%
Greater than 46.27%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.22%	15.53%	72.73%	68.27%
±2σ	-30.60%	30.90%	94.55%	95.45%
±3σ	-45.97%	46.27%	100.00%	99.73%

Descriptive Statistics

均值	0.151%
Standard Error	2.073%
中位数	-1.797%
Mode	-34.082%
Standard Deviation	15.374%
Sample Variance	236.356%
峰度	0.42
偏度	0.53
Range	79.070%
Minimum	-34.082%
Maximum	44.988%
Count	55

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.030%	26	47.27%	6.160%
负向	-11.396%	29	52.73%	-6.009%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	21.58%
12	1 Year	19.00%
36	3 Years	21.38%
60	5 Years	25.73%
120	10 Years	25.73%
240	20 Years	25.73%
600	50 Years	25.73%

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 2.00. Further, an Excess 峰度 of 4.43 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.04%	0	0.00%	0.00%
-19.04% to -6.64%	0	0.00%	0.00%
-6.64% to 5.75%	0	0.00%	0.00%
5.75% to 18.14%	8	14.29%	14.29%
18.14% to 30.53%	24	42.86%	57.14%
30.53% to 42.92%	15	26.79%	83.93%
42.92% to 55.31%	5	8.93%	92.86%
55.31% to 67.71%	1	1.79%	94.64%
67.71% to 80.10%	1	1.79%	96.43%
Greater than 80.10%	2	3.57%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.01%	47.05%	85.71%	68.27%
±2σ	-2.51%	63.57%	92.86%	95.45%
±3σ	-19.03%	80.10%	96.43%	99.73%

Descriptive Statistics

均值	30.531%
Standard Error	2.208%
中位数	24.631%
Mode	11.399%
Standard Deviation	16.522%
Sample Variance	272.969%
峰度	4.43
偏度	2.00
Range	78.505%
Minimum	11.399%
Maximum	89.904%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.531%	56	100.00%	30.531%
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 0.52. Further, an Excess 峰度 of 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.05%	0	0.00%	0.00%
-45.05% to -33.14%	0	0.00%	0.00%
-33.14% to -21.23%	3	5.36%	5.36%
-21.23% to -9.32%	9	16.07%	21.43%
-9.32% to 2.59%	20	35.71%	57.14%
2.59% to 14.50%	8	14.29%	71.43%
14.50% to 26.41%	13	23.21%	94.64%
26.41% to 38.32%	2	3.57%	98.21%
38.32% to 50.23%	0	0.00%	98.21%
Greater than 50.23%	1	1.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.29%	18.47%	69.64%	68.27%
±2σ	-29.17%	34.35%	94.64%	95.45%
±3σ	-45.05%	50.23%	98.21%	99.73%

Descriptive Statistics

均值	2.592%
Standard Error	2.122%
中位数	1.034%
Mode	-30.799%
Standard Deviation	15.879%
Sample Variance	252.149%
峰度	0.70
偏度	0.52
Range	83.334%
Minimum	-30.799%
Maximum	52.535%
Count	56

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.058%	30	53.57%	7.531%
负向	-10.638%	26	46.43%	-4.939%
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 -0.19. Further, an Excess 峰度 of -0.44 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -79.71%	0	0.00%	0.00%
-79.71% to -59.67%	0	0.00%	0.00%
-59.67% to -39.63%	1	5.56%	5.56%
-39.63% to -19.59%	2	11.11%	16.67%
-19.59% to 0.46%	6	33.33%	50.00%
0.46% to 20.50%	4	22.22%	72.22%
20.50% to 40.54%	5	27.78%	100.00%
40.54% to 60.58%	0	0.00%	100.00%
60.58% to 80.63%	0	0.00%	100.00%
Greater than 80.63%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.27%	27.18%	66.67%	68.27%
±2σ	-52.99%	53.90%	94.44%	95.45%
±3σ	-79.71%	80.63%	100.00%	99.73%

Descriptive Statistics

均值	0.457%
Standard Error	6.299%
中位数	-2.829%
Mode	-57.009%
Standard Deviation	26.723%
Sample Variance	714.137%
峰度	-0.44
偏度	-0.19
Range	95.244%
Minimum	-57.009%
Maximum	38.235%
Count	18

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.626%	9	50.00%	11.313%
负向	-21.712%	9	50.00%	-10.856%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	30.82%
12	3 Years	37.27%
20	5 Years	43.01%
40	10 Years	43.01%
80	20 Years	43.01%
200	50 Years	43.01%

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 3.80. Further, an Excess 峰度 of 15.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -100.38%	0	0.00%	0.00%
-100.38% to -60.07%	0	0.00%	0.00%
-60.07% to -19.75%	0	0.00%	0.00%
-19.75% to 20.56%	0	0.00%	0.00%
20.56% to 60.88%	15	78.95%	78.95%
60.88% to 101.19%	3	15.79%	94.74%
101.19% to 141.50%	0	0.00%	94.74%
141.50% to 181.82%	0	0.00%	94.74%
181.82% to 222.13%	0	0.00%	94.74%
Greater than 222.13%	1	5.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.12%	114.63%	94.74%	68.27%
±2σ	-46.63%	168.38%	94.74%	95.45%
±3σ	-100.38%	222.13%	94.74%	99.73%

Descriptive Statistics

均值	60.875%
Standard Error	12.332%
中位数	45.460%
Mode	29.134%
Standard Deviation	53.752%
Sample Variance	2889.304%
峰度	15.49
偏度	3.80
Range	244.424%
Minimum	29.134%
Maximum	273.558%
Count	19

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	60.875%	19	100.00%	60.875%
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 2.23. Further, an Excess 峰度 of 7.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -104.20%	0	0.00%	0.00%
-104.20% to -75.79%	0	0.00%	0.00%
-75.79% to -47.37%	0	0.00%	0.00%
-47.37% to -18.95%	4	21.05%	21.05%
-18.95% to 9.46%	6	31.58%	52.63%
9.46% to 37.88%	8	42.11%	94.74%
37.88% to 66.30%	0	0.00%	94.74%
66.30% to 94.71%	0	0.00%	94.74%
94.71% to 123.13%	0	0.00%	94.74%
Greater than 123.13%	1	5.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.43%	47.35%	89.47%	68.27%
±2σ	-66.32%	85.24%	94.74%	95.45%
±3σ	-104.20%	123.13%	94.74%	99.73%

Descriptive Statistics

均值	9.462%
Standard Error	8.692%
中位数	7.782%
Mode	-28.655%
Standard Deviation	37.889%
Sample Variance	1435.605%
峰度	7.15
偏度	2.23
Range	167.029%
Minimum	-28.655%
Maximum	138.374%
Count	19

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.481%	11	57.90%	17.647%
负向	-19.440%	8	42.10%	-8.185%
Zero	0.000%	0	0.00%	0.000%

TOST 深度分析报告