UAA 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%	2.55%	2.71%	4.25%	3.83%	3.86%	5.97	6.44	5.74	6.69
周度	7.30%	6.59%	7.18%	9.92%	8.44%	8.50%	5.70	6.75	5.24	7.34
月度	13.37%	14.28%	13.80%	21.70%	17.57%	17.70%	5.20	7.39	4.36	8.81
季度	20.83%	29.84%	23.46%	39.97%	30.43%	30.66%	4.57	8.40	3.37	11.39
Annual	—	—	—	—	60.85%	61.33%	3.37	11.39	1.84	20.94
Option Time Horizon	—	—	—	—	23.19%	23.37%	4.92	7.82	3.90	9.86

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $6.20 | Strike (K): $7.00 (first OTM call ≥ spot) | Observed Mid-价格: $0.3000 (Bid $0.2500 / Ask $0.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 60.85% (CRR binomial tree, American, n=20 steps) | BS IV: 60.83% (European Black-Scholes) | Yahoo IV (Annual): 61.33% → 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 0.12. Further, an Excess 峰度 of 10.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.56%	44	0.86%	0.86%
-9.56% to -7.16%	38	0.74%	1.60%
-7.16% to -4.75%	137	2.67%	4.26%
-4.75% to -2.34%	612	11.91%	16.18%
-2.34% to 0.07%	1747	34.01%	50.18%
0.07% to 2.47%	1742	33.91%	84.10%
2.47% to 4.88%	582	11.33%	95.43%
4.88% to 7.29%	153	2.98%	98.40%
7.29% to 9.69%	43	0.84%	99.24%
Greater than 9.69%	39	0.76%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.14%	3.27%	78.78%	68.27%
±2σ	-6.35%	6.48%	95.62%	95.45%
±3σ	-9.56%	9.69%	98.38%	99.73%

Descriptive Statistics

均值	0.065%
Standard Error	0.045%
中位数	0.055%
Mode	0.000%
Standard Deviation	3.209%
Sample Variance	10.301%
峰度	10.17
偏度	0.12
Range	53.451%
Minimum	-25.743%
Maximum	27.708%
Count	5137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.220%	2594	50.50%	1.121%
负向	-2.176%	2493	48.53%	-1.056%
Zero	0.000%	50	0.97%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.87%
20	1 Month	4.90%
60	1 Quarter	5.36%
250	1 Year	4.44%
750	3 Years	4.19%
1,250	5 Years	4.25%
2,500	10 Years	4.10%
5,000	20 Years	4.08%
12,500	50 Years	4.11%

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 3.01. Further, an Excess 峰度 of 17.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.71%	0	0.00%	0.00%
-3.71% to -1.80%	0	0.00%	0.00%
-1.80% to 0.12%	0	0.00%	0.00%
0.12% to 2.03%	810	15.76%	15.76%
2.03% to 3.94%	2445	47.59%	63.35%
3.94% to 5.86%	1156	22.50%	85.85%
5.86% to 7.77%	384	7.47%	93.32%
7.77% to 9.68%	165	3.21%	96.54%
9.68% to 11.60%	76	1.48%	98.01%
Greater than 11.60%	102	1.99%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.39%	6.49%	85.68%	68.27%
±2σ	-1.16%	9.04%	95.80%	95.45%
±3σ	-3.71%	11.60%	98.01%	99.73%

Descriptive Statistics

均值	3.943%
Standard Error	0.036%
中位数	3.290%
Mode	1.868%
Standard Deviation	2.551%
Sample Variance	6.509%
峰度	17.42
偏度	3.01
Range	38.469%
Minimum	0.666%
Maximum	39.135%
Count	5138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.943%	5138	100.00%	3.943%
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 0.68. Further, an Excess 峰度 of 9.15 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.02%	28	0.54%	0.54%
-8.02% to -5.99%	43	0.84%	1.38%
-5.99% to -3.96%	168	3.27%	4.65%
-3.96% to -1.93%	658	12.81%	17.46%
-1.93% to 0.10%	1783	34.70%	52.16%
0.10% to 2.13%	1570	30.56%	82.72%
2.13% to 4.16%	607	11.81%	94.53%
4.16% to 6.19%	175	3.41%	97.94%
6.19% to 8.22%	59	1.15%	99.09%
Greater than 8.22%	47	0.91%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.61%	2.80%	76.99%	68.27%
±2σ	-5.32%	5.51%	95.35%	95.45%
±3σ	-8.02%	8.22%	98.54%	99.73%

Descriptive Statistics

均值	0.098%
Standard Error	0.038%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.707%
Sample Variance	7.326%
峰度	9.15
偏度	0.68
Range	52.404%
Minimum	-17.737%
Maximum	34.667%
Count	5138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.037%	2532	49.28%	1.004%
负向	-1.825%	2550	49.63%	-0.906%
Zero	0.000%	56	1.09%	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 3.76 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.58%	10	0.94%	0.94%
-21.58% to -16.10%	10	0.94%	1.88%
-16.10% to -10.62%	42	3.94%	5.82%
-10.62% to -5.15%	120	11.26%	17.07%
-5.15% to 0.33%	350	32.83%	49.91%
0.33% to 5.81%	365	34.24%	84.15%
5.81% to 11.28%	114	10.69%	94.84%
11.28% to 16.76%	32	3.00%	97.84%
16.76% to 22.24%	10	0.94%	98.78%
Greater than 22.24%	13	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.97%	7.63%	78.33%	68.27%
±2σ	-14.28%	14.94%	94.47%	95.45%
±3σ	-21.58%	22.24%	97.84%	99.73%

Descriptive Statistics

均值	0.329%
Standard Error	0.224%
中位数	0.341%
Mode	-1.280%
Standard Deviation	7.303%
Sample Variance	53.330%
峰度	3.76
偏度	0.09
Range	75.248%
Minimum	-37.976%
Maximum	37.272%
Count	1066

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.231%	556	52.16%	2.728%
负向	-5.044%	507	47.56%	-2.399%
Zero	0.000%	3	0.28%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	10.00%
12	1 Quarter	12.73%
52	1 Year	10.04%
156	3 Years	9.60%
260	5 Years	9.92%
520	10 Years	9.74%
1,040	20 Years	9.69%
2,600	50 Years	9.77%

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 2.68. Further, an Excess 峰度 of 12.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.58%	0	0.00%	0.00%
-9.58% to -4.64%	0	0.00%	0.00%
-4.64% to 0.30%	0	0.00%	0.00%
0.30% to 5.25%	180	16.87%	16.87%
5.25% to 10.19%	511	47.89%	64.76%
10.19% to 15.13%	212	19.87%	84.63%
15.13% to 20.08%	93	8.72%	93.35%
20.08% to 25.02%	25	2.34%	95.69%
25.02% to 29.96%	21	1.97%	97.66%
Greater than 29.96%	25	2.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.60%	16.78%	85.66%	68.27%
±2σ	-2.99%	23.37%	94.94%	95.45%
±3σ	-9.58%	29.96%	97.66%	99.73%

Descriptive Statistics

均值	10.191%
Standard Error	0.202%
中位数	8.342%
Mode	6.686%
Standard Deviation	6.591%
Sample Variance	43.439%
峰度	12.14
偏度	2.68
Range	67.128%
Minimum	1.804%
Maximum	68.932%
Count	1067

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.191%	1067	100.00%	10.191%
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 9.23 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.22%	3	0.28%	0.28%
-21.22% to -15.84%	8	0.75%	1.03%
-15.84% to -10.45%	34	3.19%	4.22%
-10.45% to -5.07%	132	12.37%	16.59%
-5.07% to 0.32%	396	37.11%	53.70%
0.32% to 5.70%	329	30.83%	84.54%
5.70% to 11.09%	105	9.84%	94.38%
11.09% to 16.47%	35	3.28%	97.66%
16.47% to 21.86%	12	1.12%	98.78%
Greater than 21.86%	13	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.86%	7.50%	79.57%	68.27%
±2σ	-14.04%	14.68%	95.22%	95.45%
±3σ	-21.22%	21.86%	98.50%	99.73%

Descriptive Statistics

均值	0.316%
Standard Error	0.220%
中位数	-0.184%
Mode	0.000%
Standard Deviation	7.180%
Sample Variance	51.553%
峰度	9.23
偏度	1.48
Range	86.116%
Minimum	-26.352%
Maximum	59.764%
Count	1067

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.360%	518	48.55%	2.602%
负向	-4.483%	544	50.98%	-2.286%
Zero	0.000%	5	0.47%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.46. Further, an Excess 峰度 of 2.69 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -38.90%	0	0.00%	0.00%
-38.90% to -28.88%	4	1.63%	1.63%
-28.88% to -18.85%	15	6.12%	7.76%
-18.85% to -8.83%	25	10.20%	17.96%
-8.83% to 1.20%	78	31.84%	49.80%
1.20% to 11.22%	72	29.39%	79.18%
11.22% to 21.25%	39	15.92%	95.10%
21.25% to 31.27%	8	3.27%	98.37%
31.27% to 41.30%	2	0.82%	99.18%
Greater than 41.30%	2	0.82%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.17%	14.57%	74.69%	68.27%
±2σ	-25.54%	27.93%	95.51%	95.45%
±3σ	-38.90%	41.30%	99.18%	99.73%

Descriptive Statistics

均值	1.199%
Standard Error	0.854%
中位数	1.230%
Mode	-35.095%
Standard Deviation	13.367%
Sample Variance	178.674%
峰度	2.69
偏度	0.46
Range	105.286%
Minimum	-35.095%
Maximum	70.191%
Count	245

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.649%	131	53.47%	5.694%
负向	-9.745%	113	46.12%	-4.495%
Zero	0.000%	1	0.41%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	28.77%
12	1 Year	21.93%
36	3 Years	21.08%
60	5 Years	21.70%
120	10 Years	21.57%
240	20 Years	20.73%
600	50 Years	21.14%

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 2.07. Further, an Excess 峰度 of 6.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.53%	0	0.00%	0.00%
-18.53% to -7.82%	0	0.00%	0.00%
-7.82% to 2.89%	0	0.00%	0.00%
2.89% to 13.60%	43	17.48%	17.48%
13.60% to 24.31%	107	43.50%	60.98%
24.31% to 35.02%	51	20.73%	81.71%
35.02% to 45.73%	28	11.38%	93.09%
45.73% to 56.44%	8	3.25%	96.34%
56.44% to 67.15%	4	1.63%	97.97%
Greater than 67.15%	5	2.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.03%	38.59%	81.71%	68.27%
±2σ	-4.25%	52.87%	95.93%	95.45%
±3σ	-18.53%	67.15%	97.97%	99.73%

Descriptive Statistics

均值	24.307%
Standard Error	0.910%
中位数	20.006%
Mode	4.649%
Standard Deviation	14.280%
Sample Variance	203.912%
峰度	6.09
偏度	2.07
Range	94.354%
Minimum	4.649%
Maximum	99.003%
Count	246

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.307%	246	100.00%	24.307%
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 0.89. Further, an Excess 峰度 of 1.75 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.60%	0	0.00%	0.00%
-40.60% to -30.26%	2	0.81%	0.81%
-30.26% to -19.91%	3	1.22%	2.03%
-19.91% to -9.56%	46	18.70%	20.73%
-9.56% to 0.78%	87	35.37%	56.10%
0.78% to 11.13%	65	26.42%	82.52%
11.13% to 21.48%	24	9.76%	92.28%
21.48% to 31.82%	11	4.47%	96.75%
31.82% to 42.17%	5	2.03%	98.78%
Greater than 42.17%	3	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.01%	14.58%	73.98%	68.27%
±2σ	-26.81%	28.38%	94.31%	95.45%
±3σ	-40.60%	42.17%	98.78%	99.73%

Descriptive Statistics

均值	0.784%
Standard Error	0.880%
中位数	-0.773%
Mode	-40.355%
Standard Deviation	13.796%
Sample Variance	190.319%
峰度	1.75
偏度	0.89
Range	96.272%
Minimum	-40.355%
Maximum	55.917%
Count	246

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.861%	115	46.75%	5.545%
负向	-8.941%	131	53.25%	-4.761%
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 0.30 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -60.01%	0	0.00%	0.00%
-60.01% to -44.39%	1	1.23%	1.23%
-44.39% to -28.77%	7	8.64%	9.88%
-28.77% to -13.15%	8	9.88%	19.75%
-13.15% to 2.47%	25	30.86%	50.62%
2.47% to 18.09%	23	28.40%	79.01%
18.09% to 33.71%	13	16.05%	95.06%
33.71% to 49.33%	3	3.70%	98.77%
49.33% to 64.95%	0	0.00%	98.77%
Greater than 64.95%	1	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.36%	23.30%	69.14%	68.27%
±2σ	-39.18%	44.12%	96.30%	95.45%
±3σ	-60.01%	64.95%	98.77%	99.73%

Descriptive Statistics

均值	2.469%
Standard Error	2.314%
中位数	1.368%
Mode	-48.365%
Standard Deviation	20.826%
Sample Variance	433.741%
峰度	0.30
偏度	0.03
Range	114.674%
Minimum	-48.365%
Maximum	66.309%
Count	81

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.844%	43	53.09%	9.473%
负向	-15.332%	37	45.68%	-7.004%
Zero	0.000%	1	1.24%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	41.80%
12	3 Years	37.65%
20	5 Years	39.97%
40	10 Years	38.33%
80	20 Years	36.89%
200	50 Years	36.90%

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 2.57. Further, an Excess 峰度 of 8.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.02%	0	0.00%	0.00%
-41.02% to -18.64%	0	0.00%	0.00%
-18.64% to 3.74%	0	0.00%	0.00%
3.74% to 26.12%	13	15.85%	15.85%
26.12% to 48.49%	35	42.68%	58.54%
48.49% to 70.87%	25	30.49%	89.02%
70.87% to 93.25%	3	3.66%	92.68%
93.25% to 115.63%	3	3.66%	96.34%
115.63% to 138.01%	1	1.22%	97.56%
Greater than 138.01%	2	2.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	18.66%	78.33%	86.59%	68.27%
±2σ	-11.18%	108.17%	95.12%	95.45%
±3σ	-41.02%	138.01%	97.56%	99.73%

Descriptive Statistics

均值	48.495%
Standard Error	3.295%
中位数	42.282%
Mode	15.742%
Standard Deviation	29.838%
Sample Variance	890.299%
峰度	8.49
偏度	2.57
Range	170.591%
Minimum	15.742%
Maximum	186.333%
Count	82

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	48.495%	82	100.00%	48.495%
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 1.37. Further, an Excess 峰度 of 2.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -68.81%	0	0.00%	0.00%
-68.81% to -51.21%	0	0.00%	0.00%
-51.21% to -33.62%	1	1.22%	1.22%
-33.62% to -16.02%	17	20.73%	21.95%
-16.02% to 1.57%	29	35.37%	57.32%
1.57% to 19.17%	21	25.61%	82.93%
19.17% to 36.77%	5	6.10%	89.02%
36.77% to 54.36%	7	8.54%	97.56%
54.36% to 71.96%	1	1.22%	98.78%
Greater than 71.96%	1	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.89%	25.04%	74.39%	68.27%
±2σ	-45.35%	48.50%	95.12%	95.45%
±3σ	-68.81%	71.96%	98.78%	99.73%

Descriptive Statistics

均值	1.575%
Standard Error	2.591%
中位数	-3.551%
Mode	-38.418%
Standard Deviation	23.461%
Sample Variance	550.408%
峰度	2.61
偏度	1.37
Range	133.524%
Minimum	-38.418%
Maximum	95.106%
Count	82

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.948%	37	45.12%	9.452%
负向	-14.354%	45	54.88%	-7.877%
Zero	0.000%	0	0.00%	0.000%

UAA 深度分析报告