VIX 资产分析 - DOR 信号与波动率

Timeframe	C-C DoR σ (Historical)	H-L DoR σ (Historical)	O-C DoR σ (Historical)	5Y ATRP (Avg)
日度	7.13%	6.72%	5.90%	10.92%
周度	15.57%	18.10%	12.77%	25.59%
月度	21.86%	38.44%	20.45%	54.25%
季度	29.51%	70.39%	26.05%	90.36%
Annual	—	—	—	—
Option Time Horizon	—	—	—	—

收盘-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 1.94. Further, an Excess 峰度 of 16.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.15%	17	0.20%	0.20%
-21.15% to -15.80%	47	0.54%	0.74%
-15.80% to -10.46%	243	2.81%	3.55%
-10.46% to -5.11%	1192	13.80%	17.36%
-5.11% to 0.24%	3251	37.64%	55.00%
0.24% to 5.59%	2495	28.89%	83.89%
5.59% to 10.93%	896	10.38%	94.27%
10.93% to 16.28%	296	3.43%	97.70%
16.28% to 21.63%	94	1.09%	98.78%
Greater than 21.63%	105	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.89%	7.37%	78.39%	68.27%
±2σ	-14.02%	14.50%	95.76%	95.45%
±3σ	-21.15%	21.63%	98.59%	99.73%

Descriptive Statistics

均值	0.238%
Standard Error	0.077%
中位数	-0.430%
Mode	0.000%
Standard Deviation	7.130%
Sample Variance	50.838%
峰度	16.22
偏度	1.94
Range	151.352%
Minimum	-35.754%
Maximum	115.598%
Count	8636

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.522%	4012	46.46%	2.565%
负向	-4.391%	4577	53.00%	-2.327%
Zero	0.000%	47	0.54%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	9.55%
20	1 Month	10.92%
60	1 Quarter	14.94%
250	1 Year	11.21%
750	3 Years	10.85%
1,250	5 Years	10.92%
2,500	10 Years	11.49%
5,000	20 Years	10.53%
12,500	50 Years	9.29%

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 5.86. Further, an Excess 峰度 of 87.72 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.33%	0	0.00%	0.00%
-11.33% to -6.29%	0	0.00%	0.00%
-6.29% to -1.25%	0	0.00%	0.00%
-1.25% to 3.79%	1009	11.68%	11.68%
3.79% to 8.82%	4521	52.34%	64.03%
8.82% to 13.86%	1965	22.75%	86.78%
13.86% to 18.90%	639	7.40%	94.18%
18.90% to 23.93%	280	3.24%	97.42%
23.93% to 28.97%	99	1.15%	98.56%
Greater than 28.97%	124	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.11%	15.54%	88.89%	68.27%
±2σ	-4.61%	22.25%	96.65%	95.45%
±3σ	-11.33%	28.97%	98.56%	99.73%

Descriptive Statistics

均值	8.822%
Standard Error	0.072%
中位数	7.203%
Mode	4.000%
Standard Deviation	6.716%
Sample Variance	45.110%
峰度	87.72
偏度	5.86
Range	179.874%
Minimum	1.144%
Maximum	181.018%
Count	8637

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.822%	8637	100.00%	8.822%
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 -0.29. Further, an Excess 峰度 of 5.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.05%	68	0.79%	0.79%
-17.05% to -12.63%	133	1.54%	2.33%
-12.63% to -8.21%	313	3.62%	5.95%
-8.21% to -3.79%	999	11.57%	17.52%
-3.79% to 0.64%	2605	30.16%	47.68%
0.64% to 5.06%	2962	34.29%	81.97%
5.06% to 9.48%	1147	13.28%	95.25%
9.48% to 13.90%	300	3.47%	98.73%
13.90% to 18.32%	67	0.78%	99.50%
Greater than 18.32%	43	0.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.26%	6.53%	76.50%	68.27%
±2σ	-11.16%	12.43%	94.79%	95.45%
±3σ	-17.05%	18.32%	98.71%	99.73%

Descriptive Statistics

均值	0.635%
Standard Error	0.063%
中位数	0.901%
Mode	0.000%
Standard Deviation	5.896%
Sample Variance	34.758%
峰度	5.48
偏度	-0.29
Range	102.225%
Minimum	-50.589%
Maximum	51.636%
Count	8637

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.255%	4990	57.77%	2.458%
负向	-4.380%	3595	41.62%	-1.823%
Zero	0.000%	52	0.60%	0.000%

收盘-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 3.44. Further, an Excess 峰度 of 32.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.71%	1	0.06%	0.06%
-45.71% to -34.03%	2	0.11%	0.17%
-34.03% to -22.36%	46	2.57%	2.74%
-22.36% to -10.68%	237	13.24%	15.98%
-10.68% to 1.00%	712	39.78%	55.75%
1.00% to 12.68%	537	30.00%	85.75%
12.68% to 24.36%	170	9.50%	95.25%
24.36% to 36.04%	49	2.74%	97.99%
36.04% to 47.72%	17	0.95%	98.94%
Greater than 47.72%	19	1.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.57%	16.57%	80.34%	68.27%
±2σ	-30.14%	32.15%	96.70%	95.45%
±3σ	-45.71%	47.72%	98.88%	99.73%

Descriptive Statistics

均值	1.003%
Standard Error	0.368%
中位数	-0.691%
Mode	-24.014%
Standard Deviation	15.572%
Sample Variance	242.474%
峰度	32.95
偏度	3.44
Range	259.208%
Minimum	-46.305%
Maximum	212.903%
Count	1790

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.591%	857	47.88%	5.549%
负向	-8.733%	932	52.07%	-4.547%
Zero	0.000%	1	0.06%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	23.36%
12	1 Quarter	31.92%
52	1 Year	24.71%
156	3 Years	25.96%
260	5 Years	25.59%
520	10 Years	26.92%
1,040	20 Years	24.78%
2,600	50 Years	21.90%

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 6.73. Further, an Excess 峰度 of 84.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.31%	0	0.00%	0.00%
-30.31% to -16.73%	0	0.00%	0.00%
-16.73% to -3.15%	0	0.00%	0.00%
-3.15% to 10.43%	139	7.76%	7.76%
10.43% to 24.00%	1019	56.90%	64.66%
24.00% to 37.58%	425	23.73%	88.39%
37.58% to 51.16%	123	6.87%	95.25%
51.16% to 64.73%	45	2.51%	97.77%
64.73% to 78.31%	18	1.01%	98.77%
Greater than 78.31%	22	1.23%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.90%	42.11%	91.07%	68.27%
±2σ	-12.20%	60.21%	96.98%	95.45%
±3σ	-30.31%	78.31%	98.77%	99.73%

Descriptive Statistics

均值	24.003%
Standard Error	0.428%
中位数	19.942%
Mode	13.300%
Standard Deviation	18.103%
Sample Variance	327.722%
峰度	84.21
偏度	6.73
Range	312.114%
Minimum	6.282%
Maximum	318.396%
Count	1791

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.003%	1791	100.00%	24.003%
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 -0.02. Further, an Excess 峰度 of 2.33 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.17%	12	0.67%	0.67%
-37.17% to -27.59%	13	0.73%	1.40%
-27.59% to -18.02%	73	4.08%	5.47%
-18.02% to -8.44%	232	12.95%	18.43%
-8.44% to 1.13%	569	31.77%	50.20%
1.13% to 10.71%	562	31.38%	81.57%
10.71% to 20.29%	218	12.17%	93.75%
20.29% to 29.86%	69	3.85%	97.60%
29.86% to 39.44%	32	1.79%	99.39%
Greater than 39.44%	11	0.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.63%	13.90%	74.09%	68.27%
±2σ	-24.40%	26.67%	94.42%	95.45%
±3σ	-37.17%	39.44%	98.72%	99.73%

Descriptive Statistics

均值	1.134%
Standard Error	0.302%
中位数	1.038%
Mode	0.000%
Standard Deviation	12.768%
Sample Variance	163.025%
峰度	2.33
偏度	-0.02
Range	129.856%
Minimum	-67.084%
Maximum	62.772%
Count	1791

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.738%	970	54.16%	5.274%
负向	-9.076%	817	45.62%	-4.140%
Zero	0.000%	4	0.22%	0.000%

收盘-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 1.49. Further, an Excess 峰度 of 5.21 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -63.46%	0	0.00%	0.00%
-63.46% to -47.07%	0	0.00%	0.00%
-47.07% to -30.68%	13	3.16%	3.16%
-30.68% to -14.29%	71	17.27%	20.44%
-14.29% to 2.11%	156	37.96%	58.39%
2.11% to 18.50%	100	24.33%	82.73%
18.50% to 34.89%	39	9.49%	92.21%
34.89% to 51.29%	22	5.35%	97.57%
51.29% to 67.68%	5	1.22%	98.78%
Greater than 67.68%	5	1.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.75%	23.96%	75.67%	68.27%
±2σ	-41.61%	45.82%	96.35%	95.45%
±3σ	-63.46%	67.68%	98.78%	99.73%

Descriptive Statistics

均值	2.108%
Standard Error	1.078%
中位数	-0.857%
Mode	1.023%
Standard Deviation	21.857%
Sample Variance	477.747%
峰度	5.21
偏度	1.49
Range	180.468%
Minimum	-45.897%
Maximum	134.571%
Count	411

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.791%	194	47.20%	8.870%
负向	-12.806%	217	52.80%	-6.761%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	47.92%
12	1 Year	44.40%
36	3 Years	54.88%
60	5 Years	54.25%
120	10 Years	56.69%
240	20 Years	51.82%
600	50 Years	44.79%

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 4.56. Further, an Excess 峰度 of 30.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.66%	0	0.00%	0.00%
-61.66% to -32.83%	0	0.00%	0.00%
-32.83% to -4.00%	0	0.00%	0.00%
-4.00% to 24.84%	37	8.98%	8.98%
24.84% to 53.67%	237	57.52%	66.50%
53.67% to 82.50%	92	22.33%	88.83%
82.50% to 111.33%	27	6.55%	95.39%
111.33% to 140.17%	10	2.43%	97.82%
140.17% to 169.00%	3	0.73%	98.54%
Greater than 169.00%	6	1.46%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.22%	92.11%	92.48%	68.27%
±2σ	-23.22%	130.56%	97.33%	95.45%
±3σ	-61.66%	169.00%	98.54%	99.73%

Descriptive Statistics

均值	53.669%
Standard Error	1.894%
中位数	43.986%
Mode	28.004%
Standard Deviation	38.444%
Sample Variance	1477.956%
峰度	30.08
偏度	4.56
Range	374.619%
Minimum	15.179%
Maximum	389.798%
Count	412

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	53.669%	412	100.00%	53.669%
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 0.43. Further, an Excess 峰度 of 1.22 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.31%	0	0.00%	0.00%
-58.31% to -42.97%	4	0.97%	0.97%
-42.97% to -27.62%	25	6.07%	7.04%
-27.62% to -12.29%	57	13.83%	20.87%
-12.29% to 3.06%	129	31.31%	52.18%
3.06% to 18.40%	118	28.64%	80.83%
18.40% to 33.74%	53	12.86%	93.69%
33.74% to 49.08%	15	3.64%	97.33%
49.08% to 64.42%	6	1.46%	98.79%
Greater than 64.42%	5	1.21%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.40%	23.51%	72.57%	68.27%
±2σ	-37.85%	43.96%	94.66%	95.45%
±3σ	-58.31%	64.42%	98.79%	99.73%

Descriptive Statistics

均值	3.056%
Standard Error	1.008%
中位数	1.588%
Mode	-13.817%
Standard Deviation	20.454%
Sample Variance	418.361%
峰度	1.22
偏度	0.43
Range	142.307%
Minimum	-54.801%
Maximum	87.506%
Count	412

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.826%	227	55.10%	9.271%
负向	-13.840%	185	44.90%	-6.215%
Zero	0.000%	0	0.00%	0.000%

收盘-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 1.58. Further, an Excess 峰度 of 5.05 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.88%	0	0.00%	0.00%
-84.88% to -62.75%	0	0.00%	0.00%
-62.75% to -40.62%	1	0.73%	0.73%
-40.62% to -18.49%	33	24.09%	24.82%
-18.49% to 3.64%	48	35.04%	59.85%
3.64% to 25.77%	27	19.71%	79.56%
25.77% to 47.90%	17	12.41%	91.97%
47.90% to 70.03%	8	5.84%	97.81%
70.03% to 92.17%	2	1.46%	99.27%
Greater than 92.17%	1	0.73%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.87%	33.15%	75.91%	68.27%
±2σ	-55.37%	62.66%	95.62%	95.45%
±3σ	-84.88%	92.17%	99.27%	99.73%

Descriptive Statistics

均值	3.642%
Standard Error	2.521%
中位数	-1.756%
Mode	0.000%
Standard Deviation	29.508%
Sample Variance	870.724%
峰度	5.05
偏度	1.58
Range	204.831%
Minimum	-43.759%
Maximum	161.072%
Count	137

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.488%	61	44.53%	12.685%
负向	-16.741%	74	54.02%	-9.043%
Zero	0.000%	2	1.46%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	77.50%
12	3 Years	100.06%
20	5 Years	90.36%
40	10 Years	95.74%
80	20 Years	89.07%
200	50 Years	75.80%

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 3.58. Further, an Excess 峰度 of 15.82 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -114.59%	0	0.00%	0.00%
-114.59% to -61.80%	0	0.00%	0.00%
-61.80% to -9.01%	0	0.00%	0.00%
-9.01% to 43.79%	9	6.52%	6.52%
43.79% to 96.58%	87	63.04%	69.57%
96.58% to 149.38%	29	21.01%	90.58%
149.38% to 202.17%	7	5.07%	95.65%
202.17% to 254.96%	0	0.00%	95.65%
254.96% to 307.76%	1	0.72%	96.38%
Greater than 307.76%	5	3.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	26.19%	166.97%	92.75%	68.27%
±2σ	-44.20%	237.37%	95.65%	95.45%
±3σ	-114.59%	307.76%	96.38%	99.73%

Descriptive Statistics

均值	96.581%
Standard Error	5.992%
中位数	79.316%
Mode	29.235%
Standard Deviation	70.392%
Sample Variance	4955.104%
峰度	15.82
偏度	3.58
Range	509.554%
Minimum	29.235%
Maximum	538.789%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	96.581%	138	100.00%	96.581%
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 0.27. Further, an Excess 峰度 of 0.01 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.05%	0	0.00%	0.00%
-74.05% to -54.51%	1	0.72%	0.72%
-54.51% to -34.98%	6	4.35%	5.07%
-34.98% to -15.44%	29	21.01%	26.09%
-15.44% to 4.09%	35	25.36%	51.45%
4.09% to 23.63%	33	23.91%	75.36%
23.63% to 43.17%	25	18.12%	93.48%
43.17% to 62.70%	7	5.07%	98.55%
62.70% to 82.24%	1	0.72%	99.28%
Greater than 82.24%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.95%	30.14%	67.39%	68.27%
±2σ	-48.00%	56.19%	96.38%	95.45%
±3σ	-74.05%	82.24%	99.28%	99.73%

Descriptive Statistics

均值	4.095%
Standard Error	2.217%
中位数	3.125%
Mode	-62.164%
Standard Deviation	26.048%
Sample Variance	678.476%
峰度	0.01
偏度	0.27
Range	147.503%
Minimum	-62.164%
Maximum	85.339%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.141%	78	56.52%	12.515%
负向	-19.365%	60	43.48%	-8.420%
Zero	0.000%	0	0.00%	0.000%

^VIX 深度分析报告