U 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	4.85%	3.36%	4.16%	6.43%	5.02%	5.09%	24.74	27.35	23.53	28.76
周度	10.59%	9.64%	10.91%	15.30%	11.04%	11.21%	23.29	29.05	20.86	32.44
月度	20.85%	20.91%	22.28%	32.65%	22.99%	23.34%	20.67	32.73	16.42	41.19
季度	35.19%	24.61%	37.40%	61.51%	39.82%	40.43%	17.47	38.73	11.73	57.68
Annual	—	—	—	—	79.64%	80.86%	11.73	57.68	5.29	127.89
Option Time Horizon	—	—	—	—	30.35%	30.81%	19.20	35.23	14.18	47.72

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $26.01 | Strike (K): $27.00 (first OTM call ≥ spot) | Observed Mid-价格: $2.8050 (Bid $2.7600 / Ask $2.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 79.64% (CRR binomial tree, American, n=20 steps) | BS IV: 80.21% (European Black-Scholes) | Yahoo IV (Annual): 80.86% → 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 0.08. Further, an Excess 峰度 of 5.90 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.49%	5	0.36%	0.36%
-14.49% to -10.86%	9	0.64%	1.00%
-10.86% to -7.22%	54	3.84%	4.84%
-7.22% to -3.59%	185	13.17%	18.01%
-3.59% to 0.05%	464	33.02%	51.03%
0.05% to 3.69%	437	31.10%	82.14%
3.69% to 7.32%	170	12.10%	94.23%
7.32% to 10.96%	55	3.91%	98.15%
10.96% to 14.59%	15	1.07%	99.22%
Greater than 14.59%	11	0.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.80%	4.90%	75.23%	68.27%
±2σ	-9.65%	9.75%	95.66%	95.45%
±3σ	-14.49%	14.59%	98.86%	99.73%

Descriptive Statistics

均值	0.050%
Standard Error	0.129%
中位数	-0.072%
Mode	0.000%
Standard Deviation	4.848%
Sample Variance	23.507%
峰度	5.90
偏度	0.08
Range	67.461%
Minimum	-37.046%
Maximum	30.415%
Count	1405

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.586%	688	48.97%	1.756%
负向	-3.362%	713	50.75%	-1.706%
Zero	0.000%	4	0.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	6.89%
20	1 Month	6.84%
60	1 Quarter	8.14%
250	1 Year	6.39%
750	3 Years	5.92%
1,250	5 Years	6.43%
2,500	10 Years	6.47%
5,000	20 Years	6.47%
12,500	50 Years	6.47%

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 2.43. Further, an Excess 峰度 of 11.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.86%	0	0.00%	0.00%
-3.86% to -1.34%	0	0.00%	0.00%
-1.34% to 1.18%	0	0.00%	0.00%
1.18% to 3.70%	284	20.20%	20.20%
3.70% to 6.21%	560	39.83%	60.03%
6.21% to 8.73%	321	22.83%	82.86%
8.73% to 11.25%	142	10.10%	92.96%
11.25% to 13.77%	57	4.05%	97.01%
13.77% to 16.29%	19	1.35%	98.36%
Greater than 16.29%	23	1.64%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.86%	9.57%	80.44%	68.27%
±2σ	-0.50%	12.93%	95.73%	95.45%
±3σ	-3.86%	16.29%	98.36%	99.73%

Descriptive Statistics

均值	6.215%
Standard Error	0.090%
中位数	5.450%
Mode	4.224%
Standard Deviation	3.357%
Sample Variance	11.270%
峰度	11.92
偏度	2.43
Range	36.542%
Minimum	1.548%
Maximum	38.090%
Count	1406

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.215%	1406	100.00%	6.215%
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 0.22. Further, an Excess 峰度 of 2.94 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.31%	8	0.57%	0.57%
-12.31% to -9.19%	14	1.00%	1.56%
-9.19% to -6.08%	54	3.84%	5.41%
-6.08% to -2.96%	198	14.08%	19.49%
-2.96% to 0.15%	440	31.29%	50.78%
0.15% to 3.27%	419	29.80%	80.58%
3.27% to 6.39%	183	13.02%	93.60%
6.39% to 9.50%	67	4.77%	98.36%
9.50% to 12.62%	18	1.28%	99.64%
Greater than 12.62%	5	0.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.00%	4.31%	72.76%	68.27%
±2σ	-8.16%	8.46%	94.81%	95.45%
±3σ	-12.31%	12.62%	99.08%	99.73%

Descriptive Statistics

均值	0.155%
Standard Error	0.111%
中位数	0.109%
Mode	0.000%
Standard Deviation	4.155%
Sample Variance	17.266%
峰度	2.94
偏度	0.22
Range	47.309%
Minimum	-17.068%
Maximum	30.241%
Count	1406

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.179%	720	51.21%	1.628%
负向	-3.041%	681	48.44%	-1.473%
Zero	0.000%	5	0.36%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.27. Further, an Excess 峰度 of 1.06 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.56%	2	0.68%	0.68%
-31.56% to -23.62%	3	1.03%	1.71%
-23.62% to -15.68%	9	3.08%	4.79%
-15.68% to -7.74%	45	15.41%	20.21%
-7.74% to 0.21%	92	31.51%	51.71%
0.21% to 8.15%	86	29.45%	81.16%
8.15% to 16.09%	37	12.67%	93.84%
16.09% to 24.03%	9	3.08%	96.92%
24.03% to 31.98%	8	2.74%	99.66%
Greater than 31.98%	1	0.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.38%	10.80%	73.29%	68.27%
±2σ	-20.97%	21.39%	94.52%	95.45%
±3σ	-31.56%	31.98%	98.97%	99.73%

Descriptive Statistics

均值	0.206%
Standard Error	0.620%
中位数	-0.208%
Mode	-7.901%
Standard Deviation	10.590%
Sample Variance	112.139%
峰度	1.06
偏度	0.27
Range	66.519%
Minimum	-33.000%
Maximum	33.519%
Count	292

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.431%	142	48.63%	4.100%
负向	-7.581%	150	51.37%	-3.894%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	13.77%
12	1 Quarter	17.28%
52	1 Year	15.07%
156	3 Years	14.20%
260	5 Years	15.30%
520	10 Years	15.36%
1,040	20 Years	15.36%
2,600	50 Years	15.36%

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 2.54. Further, an Excess 峰度 of 10.80 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -12.14%	0	0.00%	0.00%
-12.14% to -4.91%	0	0.00%	0.00%
-4.91% to 2.32%	0	0.00%	0.00%
2.32% to 9.55%	52	17.75%	17.75%
9.55% to 16.77%	129	44.03%	61.77%
16.77% to 24.00%	67	22.87%	84.64%
24.00% to 31.23%	25	8.53%	93.17%
31.23% to 38.46%	9	3.07%	96.25%
38.46% to 45.69%	6	2.05%	98.29%
Greater than 45.69%	5	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	7.14%	26.41%	83.62%	68.27%
±2σ	-2.50%	36.05%	95.56%	95.45%
±3σ	-12.14%	45.69%	98.29%	99.73%

Descriptive Statistics

均值	16.774%
Standard Error	0.563%
中位数	14.334%
Mode	20.420%
Standard Deviation	9.638%
Sample Variance	92.898%
峰度	10.80
偏度	2.54
Range	79.218%
Minimum	5.210%
Maximum	84.428%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.774%	293	100.00%	16.774%
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 0.91. Further, an Excess 峰度 of 3.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.71%	0	0.00%	0.00%
-31.71% to -23.53%	3	1.02%	1.02%
-23.53% to -15.34%	11	3.75%	4.78%
-15.34% to -7.16%	44	15.02%	19.80%
-7.16% to 1.03%	96	32.76%	52.56%
1.03% to 9.21%	91	31.06%	83.62%
9.21% to 17.40%	34	11.60%	95.22%
17.40% to 25.59%	7	2.39%	97.61%
25.59% to 33.77%	2	0.68%	98.29%
Greater than 33.77%	5	1.71%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.88%	11.94%	75.09%	68.27%
±2σ	-20.80%	22.86%	95.22%	95.45%
±3σ	-31.71%	33.77%	98.29%	99.73%

Descriptive Statistics

均值	1.029%
Standard Error	0.638%
中位数	0.551%
Mode	-1.851%
Standard Deviation	10.914%
Sample Variance	119.126%
峰度	3.17
偏度	0.91
Range	77.495%
Minimum	-26.853%
Maximum	50.642%
Count	293

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.633%	153	52.22%	4.508%
负向	-7.332%	139	47.44%	-3.478%
Zero	0.000%	1	0.34%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.42. Further, an Excess 峰度 of 0.15 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.21%	0	0.00%	0.00%
-62.21% to -46.58%	0	0.00%	0.00%
-46.58% to -30.94%	4	5.97%	5.97%
-30.94% to -15.31%	12	17.91%	23.88%
-15.31% to 0.33%	19	28.36%	52.24%
0.33% to 15.96%	16	23.88%	76.12%
15.96% to 31.60%	10	14.93%	91.04%
31.60% to 47.23%	5	7.46%	98.51%
47.23% to 62.87%	1	1.49%	100.00%
Greater than 62.87%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-20.52%	21.17%	71.64%	68.27%
±2σ	-41.37%	42.02%	97.01%	95.45%
±3σ	-62.21%	62.86%	100.00%	99.73%

Descriptive Statistics

均值	0.327%
Standard Error	2.547%
中位数	-0.394%
Mode	-6.801%
Standard Deviation	20.846%
Sample Variance	434.560%
峰度	0.15
偏度	0.42
Range	99.994%
Minimum	-39.813%
Maximum	60.181%
Count	67

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.859%	33	49.25%	8.304%
负向	-15.719%	34	50.75%	-7.977%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	35.13%
12	1 Year	33.68%
36	3 Years	31.12%
60	5 Years	32.65%
120	10 Years	32.45%
240	20 Years	32.45%
600	50 Years	32.45%

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 2.12. Further, an Excess 峰度 of 7.55 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.08%	0	0.00%	0.00%
-22.08% to -6.40%	0	0.00%	0.00%
-6.40% to 9.28%	0	0.00%	0.00%
9.28% to 24.97%	10	14.71%	14.71%
24.97% to 40.65%	32	47.06%	61.76%
40.65% to 56.33%	13	19.12%	80.88%
56.33% to 72.01%	9	13.24%	94.12%
72.01% to 87.70%	3	4.41%	98.53%
87.70% to 103.38%	0	0.00%	98.53%
Greater than 103.38%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	19.74%	61.56%	76.47%	68.27%
±2σ	-1.17%	82.47%	95.59%	95.45%
±3σ	-22.08%	103.38%	98.53%	99.73%

Descriptive Statistics

均值	40.649%
Standard Error	2.536%
中位数	34.018%
Mode	12.922%
Standard Deviation	20.910%
Sample Variance	437.229%
峰度	7.55
偏度	2.12
Range	130.117%
Minimum	12.922%
Maximum	143.039%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	40.649%	68	100.00%	40.649%
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 0.77. Further, an Excess 峰度 of 0.54 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -62.59%	0	0.00%	0.00%
-62.59% to -45.88%	0	0.00%	0.00%
-45.88% to -29.18%	2	2.94%	2.94%
-29.18% to -12.47%	17	25.00%	27.94%
-12.47% to 4.24%	18	26.47%	54.41%
4.24% to 20.95%	17	25.00%	79.41%
20.95% to 37.66%	9	13.24%	92.65%
37.66% to 54.37%	2	2.94%	95.59%
54.37% to 71.08%	3	4.41%	100.00%
Greater than 71.08%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.04%	26.52%	73.53%	68.27%
±2σ	-40.31%	48.80%	95.59%	95.45%
±3σ	-62.59%	71.08%	100.00%	99.73%

Descriptive Statistics

均值	4.241%
Standard Error	2.702%
中位数	1.413%
Mode	-36.393%
Standard Deviation	22.278%
Sample Variance	496.328%
峰度	0.54
偏度	0.77
Range	102.383%
Minimum	-36.393%
Maximum	65.990%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.235%	36	52.94%	10.713%
负向	-13.753%	32	47.06%	-6.472%
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 0.58. Further, an Excess 峰度 of -0.81 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -105.65%	0	0.00%	0.00%
-105.65% to -79.25%	0	0.00%	0.00%
-79.25% to -52.86%	0	0.00%	0.00%
-52.86% to -26.47%	6	27.27%	27.27%
-26.47% to -0.08%	6	27.27%	54.55%
-0.08% to 26.31%	5	22.73%	77.27%
26.31% to 52.70%	2	9.09%	86.36%
52.70% to 79.09%	3	13.64%	100.00%
79.09% to 105.49%	0	0.00%	100.00%
Greater than 105.49%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-35.27%	35.11%	68.18%	68.27%
±2σ	-70.46%	70.30%	100.00%	95.45%
±3σ	-105.65%	105.49%	100.00%	99.73%

Descriptive Statistics

均值	-0.080%
Standard Error	7.502%
中位数	-7.854%
Mode	-44.655%
Standard Deviation	35.189%
Sample Variance	1238.232%
峰度	-0.81
偏度	0.58
Range	114.622%
Minimum	-44.655%
Maximum	69.967%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	32.793%	10	45.45%	14.906%
负向	-27.474%	12	54.55%	-14.986%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	63.19%
12	3 Years	62.60%
20	5 Years	61.51%
40	10 Years	61.90%
80	20 Years	61.90%
200	50 Years	61.90%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.67. Further, an Excess 峰度 of 0.25 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than 11.25%	0	0.00%	0.00%
11.25% to 29.70%	0	0.00%	0.00%
29.70% to 48.16%	1	4.35%	4.35%
48.16% to 66.61%	5	21.74%	26.09%
66.61% to 85.06%	6	26.09%	52.17%
85.06% to 103.52%	8	34.78%	86.96%
103.52% to 121.97%	1	4.35%	91.30%
121.97% to 140.43%	1	4.35%	95.65%
140.43% to 158.88%	1	4.35%	100.00%
Greater than 158.88%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	60.46%	109.67%	69.57%	68.27%
±2σ	35.85%	134.28%	95.65%	95.45%
±3σ	11.25%	158.88%	100.00%	99.73%

Descriptive Statistics

均值	85.065%
Standard Error	5.131%
中位数	84.744%
Mode	47.391%
Standard Deviation	24.606%
Sample Variance	605.446%
峰度	0.25
偏度	0.67
Range	95.648%
Minimum	47.391%
Maximum	143.039%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	85.065%	23	100.00%	85.065%
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 0.35. Further, an Excess 峰度 of -1.15 proves the distribution possesses Thin Tails (Platykurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -101.27%	0	0.00%	0.00%
-101.27% to -73.22%	0	0.00%	0.00%
-73.22% to -45.17%	0	0.00%	0.00%
-45.17% to -17.12%	7	30.43%	30.43%
-17.12% to 10.93%	5	21.74%	52.17%
10.93% to 38.98%	5	21.74%	73.91%
38.98% to 67.03%	4	17.39%	91.30%
67.03% to 95.08%	2	8.70%	100.00%
95.08% to 123.13%	0	0.00%	100.00%
Greater than 123.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-26.47%	48.33%	65.22%	68.27%
±2σ	-63.87%	85.73%	100.00%	95.45%
±3σ	-101.27%	123.13%	100.00%	99.73%

Descriptive Statistics

均值	10.931%
Standard Error	7.798%
中位数	-0.071%
Mode	-41.449%
Standard Deviation	37.400%
Sample Variance	1398.774%
峰度	-1.15
偏度	0.35
Range	119.730%
Minimum	-41.449%
Maximum	78.281%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	45.206%	11	47.83%	21.620%
负向	-20.487%	12	52.17%	-10.689%
Zero	0.000%	0	0.00%	0.000%

U 深度分析报告