TXG 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	4.20%	3.08%	3.75%	6.03%	4.73%	4.71%	21.06	23.15	20.09	24.27
周度	9.43%	7.74%	9.42%	14.31%	10.40%	10.36%	19.90	24.50	17.93	27.19
月度	17.03%	15.00%	17.95%	29.26%	21.66%	21.57%	17.78	27.42	14.32	34.05
季度	34.99%	31.52%	38.89%	52.99%	37.51%	37.35%	15.17	32.13	10.43	46.76
Annual	—	—	—	—	75.03%	74.71%	10.43	46.76	4.92	99.01
Option Time Horizon	—	—	—	—	28.59%	28.47%	16.59	29.39	12.46	39.11

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $22.08 | Strike (K): $25.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.4750 (Bid $1.3000 / Ask $1.6500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 75.03% (CRR binomial tree, American, n=20 steps) | BS IV: 74.24% (European Black-Scholes) | Yahoo IV (Annual): 74.71% → 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 3.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.57%	8	0.48%	0.48%
-12.57% to -9.42%	17	1.02%	1.50%
-9.42% to -6.27%	70	4.21%	5.72%
-6.27% to -3.12%	203	12.21%	17.93%
-3.12% to 0.04%	562	33.81%	51.74%
0.04% to 3.19%	491	29.54%	81.29%
3.19% to 6.34%	220	13.24%	94.52%
6.34% to 9.49%	56	3.37%	97.89%
9.49% to 12.64%	23	1.38%	99.28%
Greater than 12.64%	12	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.17%	4.24%	75.33%	68.27%
±2σ	-8.37%	8.44%	94.83%	95.45%
±3σ	-12.57%	12.64%	98.80%	99.73%

Descriptive Statistics

均值	0.036%
Standard Error	0.103%
中位数	-0.053%
Mode	0.000%
Standard Deviation	4.202%
Sample Variance	17.654%
峰度	3.47
偏度	0.17
Range	49.067%
Minimum	-24.700%
Maximum	24.367%
Count	1662

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.170%	809	48.68%	1.543%
负向	-2.975%	842	50.66%	-1.507%
Zero	0.000%	11	0.66%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	7.16%
20	1 Month	6.11%
60	1 Quarter	6.51%
250	1 Year	6.11%
750	3 Years	5.72%
1,250	5 Years	6.03%
2,500	10 Years	5.98%
5,000	20 Years	5.98%
12,500	50 Years	5.98%

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 1.86. Further, an Excess 峰度 of 5.52 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.38%	0	0.00%	0.00%
-3.38% to -1.06%	0	0.00%	0.00%
-1.06% to 1.25%	1	0.06%	0.06%
1.25% to 3.56%	339	20.38%	20.44%
3.56% to 5.87%	681	40.95%	61.40%
5.87% to 8.18%	356	21.41%	82.80%
8.18% to 10.49%	160	9.62%	92.42%
10.49% to 12.80%	65	3.91%	96.33%
12.80% to 15.11%	32	1.92%	98.26%
Greater than 15.11%	29	1.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.79%	8.95%	78.41%	68.27%
±2σ	-0.29%	12.03%	95.31%	95.45%
±3σ	-3.38%	15.11%	98.26%	99.73%

Descriptive Statistics

均值	5.868%
Standard Error	0.076%
中位数	5.086%
Mode	2.742%
Standard Deviation	3.081%
Sample Variance	9.495%
峰度	5.52
偏度	1.86
Range	26.454%
Minimum	1.212%
Maximum	27.666%
Count	1663

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.868%	1663	100.00%	5.868%
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 0.16. Further, an Excess 峰度 of 1.96 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.21%	7	0.42%	0.42%
-11.21% to -8.39%	21	1.26%	1.68%
-8.39% to -5.57%	66	3.97%	5.65%
-5.57% to -2.76%	234	14.07%	19.72%
-2.76% to 0.06%	513	30.85%	50.57%
0.06% to 2.87%	520	31.27%	81.84%
2.87% to 5.69%	194	11.67%	93.51%
5.69% to 8.50%	72	4.33%	97.84%
8.50% to 11.32%	22	1.32%	99.16%
Greater than 11.32%	14	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.70%	3.81%	73.84%	68.27%
±2σ	-7.45%	7.57%	94.41%	95.45%
±3σ	-11.21%	11.32%	98.74%	99.73%

Descriptive Statistics

均值	0.057%
Standard Error	0.092%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.754%
Sample Variance	14.094%
峰度	1.96
偏度	0.16
Range	37.855%
Minimum	-19.954%
Maximum	17.901%
Count	1663

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.836%	831	49.97%	1.417%
负向	-2.738%	826	49.67%	-1.360%
Zero	0.000%	6	0.36%	0.000%

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 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -28.12%	1	0.29%	0.29%
-28.12% to -21.05%	3	0.87%	1.16%
-21.05% to -13.97%	16	4.64%	5.80%
-13.97% to -6.90%	56	16.23%	22.03%
-6.90% to 0.18%	105	30.43%	52.46%
0.18% to 7.25%	92	26.67%	79.13%
7.25% to 14.33%	48	13.91%	93.04%
14.33% to 21.40%	15	4.35%	97.39%
21.40% to 28.48%	9	2.61%	100.00%
Greater than 28.48%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.26%	9.61%	73.04%	68.27%
±2σ	-18.69%	19.05%	93.91%	95.45%
±3σ	-28.12%	28.48%	99.71%	99.73%

Descriptive Statistics

均值	0.178%
Standard Error	0.508%
中位数	-0.372%
Mode	2.258%
Standard Deviation	9.434%
Sample Variance	89.006%
峰度	0.70
偏度	0.22
Range	58.293%
Minimum	-29.982%
Maximum	28.311%
Count	345

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.695%	166	48.12%	3.703%
负向	-6.793%	179	51.88%	-3.524%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.91%
12	1 Quarter	16.66%
52	1 Year	14.99%
156	3 Years	13.70%
260	5 Years	14.31%
520	10 Years	14.04%
1,040	20 Years	14.04%
2,600	50 Years	14.04%

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 1.72. Further, an Excess 峰度 of 4.60 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.01%	0	0.00%	0.00%
-8.01% to -2.21%	0	0.00%	0.00%
-2.21% to 3.60%	0	0.00%	0.00%
3.60% to 9.40%	71	20.52%	20.52%
9.40% to 15.21%	133	38.44%	58.96%
15.21% to 21.01%	81	23.41%	82.37%
21.01% to 26.82%	35	10.12%	92.49%
26.82% to 32.62%	14	4.05%	96.53%
32.62% to 38.43%	6	1.73%	98.27%
Greater than 38.43%	6	1.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.47%	22.95%	76.88%	68.27%
±2σ	-0.27%	30.69%	94.80%	95.45%
±3σ	-8.01%	38.43%	98.27%	99.73%

Descriptive Statistics

均值	15.209%
Standard Error	0.416%
中位数	13.554%
Mode	11.530%
Standard Deviation	7.740%
Sample Variance	59.907%
峰度	4.60
偏度	1.72
Range	53.574%
Minimum	3.996%
Maximum	57.570%
Count	346

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.209%	346	100.00%	15.209%
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 1.55 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.56%	0	0.00%	0.00%
-27.56% to -20.50%	3	0.87%	0.87%
-20.50% to -13.43%	17	4.91%	5.78%
-13.43% to -6.37%	52	15.03%	20.81%
-6.37% to 0.70%	111	32.08%	52.89%
0.70% to 7.76%	95	27.46%	80.35%
7.76% to 14.82%	44	12.72%	93.06%
14.82% to 21.89%	16	4.62%	97.69%
21.89% to 28.95%	4	1.16%	98.84%
Greater than 28.95%	4	1.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.72%	10.12%	72.83%	68.27%
±2σ	-18.14%	19.53%	95.09%	95.45%
±3σ	-27.56%	28.95%	98.84%	99.73%

Descriptive Statistics

均值	0.696%
Standard Error	0.506%
中位数	0.146%
Mode	-1.673%
Standard Deviation	9.419%
Sample Variance	88.710%
峰度	1.55
偏度	0.62
Range	62.432%
Minimum	-22.355%
Maximum	40.077%
Count	346

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.663%	176	50.87%	3.898%
负向	-6.517%	170	49.13%	-3.202%
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 0.04. 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 -50.66%	0	0.00%	0.00%
-50.66% to -37.89%	0	0.00%	0.00%
-37.89% to -25.12%	5	6.33%	6.33%
-25.12% to -12.35%	16	20.25%	26.58%
-12.35% to 0.42%	19	24.05%	50.63%
0.42% to 13.19%	20	25.32%	75.95%
13.19% to 25.97%	14	17.72%	93.67%
25.97% to 38.74%	4	5.06%	98.73%
38.74% to 51.51%	1	1.27%	100.00%
Greater than 51.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-16.61%	17.45%	68.35%	68.27%
±2σ	-33.64%	34.48%	94.94%	95.45%
±3σ	-50.67%	51.51%	100.00%	99.73%

Descriptive Statistics

均值	0.422%
Standard Error	1.916%
中位数	0.057%
Mode	-37.216%
Standard Deviation	17.029%
Sample Variance	289.998%
峰度	-0.44
偏度	0.04
Range	79.453%
Minimum	-37.216%
Maximum	42.237%
Count	79

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	14.419%	40	50.63%	7.301%
负向	-13.934%	39	49.37%	-6.879%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	29.62%
12	1 Year	30.69%
36	3 Years	27.81%
60	5 Years	29.26%
120	10 Years	29.06%
240	20 Years	29.06%
600	50 Years	29.06%

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 1.01. Further, an Excess 峰度 of 1.11 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.67%	0	0.00%	0.00%
-9.67% to 1.58%	0	0.00%	0.00%
1.58% to 12.83%	1	1.25%	1.25%
12.83% to 24.08%	17	21.25%	22.50%
24.08% to 35.33%	28	35.00%	57.50%
35.33% to 46.57%	19	23.75%	81.25%
46.57% to 57.82%	8	10.00%	91.25%
57.82% to 69.07%	5	6.25%	97.50%
69.07% to 80.32%	0	0.00%	97.50%
Greater than 80.32%	2	2.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	20.33%	50.32%	72.50%	68.27%
±2σ	5.33%	65.32%	96.25%	95.45%
±3σ	-9.67%	80.32%	97.50%	99.73%

Descriptive Statistics

均值	35.325%
Standard Error	1.677%
中位数	33.221%
Mode	10.673%
Standard Deviation	14.999%
Sample Variance	224.970%
峰度	1.11
偏度	1.01
Range	73.285%
Minimum	10.673%
Maximum	83.958%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	35.325%	80	100.00%	35.325%
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 0.80. Further, an Excess 峰度 of 0.71 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -51.28%	0	0.00%	0.00%
-51.28% to -37.83%	0	0.00%	0.00%
-37.83% to -24.37%	3	3.75%	3.75%
-24.37% to -10.91%	17	21.25%	25.00%
-10.91% to 2.55%	22	27.50%	52.50%
2.55% to 16.01%	20	25.00%	77.50%
16.01% to 29.47%	13	16.25%	93.75%
29.47% to 42.93%	3	3.75%	97.50%
42.93% to 56.39%	1	1.25%	98.75%
Greater than 56.39%	1	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.39%	20.50%	72.50%	68.27%
±2σ	-33.34%	38.45%	96.25%	95.45%
±3σ	-51.29%	56.39%	98.75%	99.73%

Descriptive Statistics

均值	2.553%
Standard Error	2.006%
中位数	0.108%
Mode	-27.326%
Standard Deviation	17.946%
Sample Variance	322.077%
峰度	0.71
偏度	0.80
Range	87.125%
Minimum	-27.326%
Maximum	59.799%
Count	80

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.865%	40	50.00%	8.432%
负向	-11.758%	40	50.00%	-5.879%
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 0.36. Further, an Excess 峰度 of -0.74 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -102.81%	0	0.00%	0.00%
-102.81% to -76.56%	0	0.00%	0.00%
-76.56% to -50.31%	1	3.85%	3.85%
-50.31% to -24.07%	6	23.08%	26.92%
-24.07% to 2.18%	7	26.92%	53.85%
2.18% to 28.43%	7	26.92%	80.77%
28.43% to 54.67%	2	7.69%	88.46%
54.67% to 80.92%	3	11.54%	100.00%
80.92% to 107.17%	0	0.00%	100.00%
Greater than 107.17%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.81%	37.17%	65.38%	68.27%
±2σ	-67.81%	72.17%	96.15%	95.45%
±3σ	-102.80%	107.16%	100.00%	99.73%

Descriptive Statistics

均值	2.180%
Standard Error	6.863%
中位数	-2.506%
Mode	-50.390%
Standard Deviation	34.995%
Sample Variance	1224.663%
峰度	-0.74
偏度	0.36
Range	122.686%
Minimum	-50.390%
Maximum	72.296%
Count	26

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	31.110%	13	50.00%	15.555%
负向	-26.750%	13	50.00%	-13.375%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	60.98%
12	3 Years	53.18%
20	5 Years	52.99%
40	10 Years	53.95%
80	20 Years	53.95%
200	50 Years	53.95%

高-to-低收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.19. Further, an Excess 峰度 of -1.00 proves the distribution possesses Thin Tails (Platykurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.53%	0	0.00%	0.00%
-20.53% to 3.11%	0	0.00%	0.00%
3.11% to 26.75%	1	3.70%	3.70%
26.75% to 50.40%	7	25.93%	29.63%
50.40% to 74.04%	5	18.52%	48.15%
74.04% to 97.68%	8	29.63%	77.78%
97.68% to 121.32%	3	11.11%	88.89%
121.32% to 144.96%	3	11.11%	100.00%
144.96% to 168.60%	0	0.00%	100.00%
Greater than 168.60%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	42.52%	105.56%	55.56%	68.27%
±2σ	10.99%	137.08%	100.00%	95.45%
±3σ	-20.53%	168.60%	100.00%	99.73%

Descriptive Statistics

均值	74.037%
Standard Error	6.066%
中位数	76.605%
Mode	25.015%
Standard Deviation	31.522%
Sample Variance	993.611%
峰度	-1.00
偏度	0.19
Range	105.363%
Minimum	25.015%
Maximum	130.378%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	74.037%	27	100.00%	74.037%
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 0.88. Further, an Excess 峰度 of 0.09 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -107.53%	0	0.00%	0.00%
-107.53% to -78.36%	0	0.00%	0.00%
-78.36% to -49.20%	0	0.00%	0.00%
-49.20% to -20.03%	6	22.22%	22.22%
-20.03% to 9.14%	10	37.04%	59.26%
9.14% to 38.31%	5	18.52%	77.78%
38.31% to 67.48%	2	7.41%	85.19%
67.48% to 96.65%	3	11.11%	96.30%
96.65% to 125.81%	1	3.70%	100.00%
Greater than 125.81%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.75%	48.03%	70.37%	68.27%
±2σ	-68.64%	86.92%	96.30%	95.45%
±3σ	-107.53%	125.81%	100.00%	99.73%

Descriptive Statistics

均值	9.141%
Standard Error	7.485%
中位数	-3.959%
Mode	-39.739%
Standard Deviation	38.891%
Sample Variance	1512.523%
峰度	0.09
偏度	0.88
Range	145.267%
Minimum	-39.739%
Maximum	105.528%
Count	27

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.093%	13	48.15%	19.785%
负向	-20.529%	14	51.85%	-10.645%
Zero	0.000%	0	0.00%	0.000%

TXG 深度分析报告