W 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	4.66%	3.51%	3.79%	6.63%	4.85%	4.89%	75.05	82.70	71.49	86.81
周度	10.45%	10.12%	10.21%	15.73%	10.68%	10.77%	70.80	87.66	63.63	97.54
月度	22.75%	26.90%	19.98%	33.43%	22.23%	22.41%	63.08	98.40	50.50	122.89
季度	42.74%	75.47%	37.26%	65.79%	38.51%	38.82%	53.60	115.79	36.47	170.18
Annual	—	—	—	—	77.02%	77.64%	36.47	170.18	16.88	367.61
Option Time Horizon	—	—	—	—	29.35%	29.58%	58.74	105.65	43.80	141.69

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $78.78 | Strike (K): $80.00 (first OTM call ≥ spot) | Observed Mid-价格: $8.8250 (Bid $8.3500 / Ask $9.3000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 77.02% (CRR binomial tree, American, n=20 steps) | BS IV: 76.84% (European Black-Scholes) | Yahoo IV (Annual): 77.64% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.67. Further, an Excess 峰度 of 9.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.85%	21	0.72%	0.72%
-13.85% to -10.35%	15	0.52%	1.24%
-10.35% to -6.86%	104	3.58%	4.82%
-6.86% to -3.36%	322	11.08%	15.90%
-3.36% to 0.13%	1006	34.62%	50.52%
0.13% to 3.63%	980	33.72%	84.24%
3.63% to 7.12%	317	10.91%	95.15%
7.12% to 10.62%	86	2.96%	98.11%
10.62% to 14.11%	30	1.03%	99.14%
Greater than 14.11%	25	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-4.53%	4.79%	79.15%	68.27%
±2σ	-9.19%	9.45%	95.42%	95.45%
±3σ	-13.85%	14.11%	98.42%	99.73%

Descriptive Statistics

均值	0.133%
Standard Error	0.086%
中位数	0.096%
Mode	0.000%
Standard Deviation	4.660%
Sample Variance	21.713%
峰度	9.33
偏度	0.67
Range	69.521%
Minimum	-26.683%
Maximum	42.838%
Count	2906

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.214%	1490	51.27%	1.648%
负向	-3.127%	1408	48.45%	-1.515%
Zero	0.000%	8	0.28%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.96%
20	1 Month	6.25%
60	1 Quarter	6.77%
250	1 Year	5.58%
750	3 Years	6.04%
1,250	5 Years	6.63%
2,500	10 Years	5.93%
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 2.79. Further, an Excess 峰度 of 14.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.75%	0	0.00%	0.00%
-4.75% to -2.12%	0	0.00%	0.00%
-2.12% to 0.51%	0	0.00%	0.00%
0.51% to 3.15%	512	17.61%	17.61%
3.15% to 5.78%	1288	44.31%	61.92%
5.78% to 8.42%	664	22.84%	84.76%
8.42% to 11.05%	256	8.81%	93.57%
11.05% to 13.68%	97	3.34%	96.90%
13.68% to 16.32%	36	1.24%	98.14%
Greater than 16.32%	54	1.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.27%	9.29%	84.18%	68.27%
±2σ	-1.24%	12.81%	96.15%	95.45%
±3σ	-4.75%	16.32%	98.14%	99.73%

Descriptive Statistics

均值	5.782%
Standard Error	0.065%
中位数	4.958%
Mode	3.090%
Standard Deviation	3.512%
Sample Variance	12.333%
峰度	14.00
偏度	2.79
Range	39.639%
Minimum	0.897%
Maximum	40.536%
Count	2907

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.782%	2907	100.00%	5.782%
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 0.30. 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 -11.35%	16	0.55%	0.55%
-11.35% to -8.51%	26	0.89%	1.44%
-8.51% to -5.67%	109	3.75%	5.19%
-5.67% to -2.84%	397	13.66%	18.85%
-2.84% to 0.00%	955	32.85%	51.70%
0.00% to 2.84%	889	30.58%	82.28%
2.84% to 5.68%	342	11.76%	94.05%
5.68% to 8.52%	113	3.89%	97.94%
8.52% to 11.36%	40	1.38%	99.31%
Greater than 11.36%	20	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.78%	3.79%	76.23%	68.27%
±2σ	-7.57%	7.58%	94.67%	95.45%
±3σ	-11.35%	11.36%	98.76%	99.73%

Descriptive Statistics

均值	0.004%
Standard Error	0.070%
中位数	-0.143%
Mode	-1.245%
Standard Deviation	3.786%
Sample Variance	14.337%
峰度	3.76
偏度	0.30
Range	48.684%
Minimum	-21.987%
Maximum	26.697%
Count	2907

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.857%	1404	48.30%	1.380%
负向	-2.669%	1499	51.56%	-1.376%
Zero	0.000%	4	0.14%	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 0.81. Further, an Excess 峰度 of 4.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.67%	1	0.17%	0.17%
-30.67% to -22.84%	4	0.66%	0.83%
-22.84% to -15.00%	28	4.64%	5.47%
-15.00% to -7.16%	86	14.26%	19.73%
-7.16% to 0.67%	191	31.67%	51.41%
0.67% to 8.51%	189	31.34%	82.75%
8.51% to 16.34%	67	11.11%	93.86%
16.34% to 24.18%	24	3.98%	97.84%
24.18% to 32.02%	7	1.16%	99.00%
Greater than 32.02%	6	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.78%	11.12%	75.29%	68.27%
±2σ	-20.22%	21.57%	95.36%	95.45%
±3σ	-30.67%	32.02%	98.84%	99.73%

Descriptive Statistics

均值	0.672%
Standard Error	0.425%
中位数	0.262%
Mode	-5.627%
Standard Deviation	10.448%
Sample Variance	109.168%
峰度	4.26
偏度	0.81
Range	109.721%
Minimum	-38.860%
Maximum	70.861%
Count	603

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.153%	309	51.24%	4.178%
负向	-7.189%	294	48.76%	-3.505%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.41%
12	1 Quarter	15.53%
52	1 Year	13.47%
156	3 Years	14.49%
260	5 Years	15.73%
520	10 Years	14.12%
1,040	20 Years	14.27%
2,600	50 Years	14.27%

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 2.41. Further, an Excess 峰度 of 8.74 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.88%	0	0.00%	0.00%
-14.88% to -7.29%	0	0.00%	0.00%
-7.29% to 0.31%	0	0.00%	0.00%
0.31% to 7.90%	96	15.89%	15.89%
7.90% to 15.49%	291	48.18%	64.07%
15.49% to 23.09%	132	21.85%	85.93%
23.09% to 30.68%	37	6.13%	92.05%
30.68% to 38.27%	24	3.97%	96.03%
38.27% to 45.87%	14	2.32%	98.34%
Greater than 45.87%	10	1.66%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.37%	25.62%	82.78%	68.27%
±2σ	-4.76%	35.74%	95.53%	95.45%
±3σ	-14.88%	45.87%	98.34%	99.73%

Descriptive Statistics

均值	15.493%
Standard Error	0.412%
中位数	12.663%
Mode	7.932%
Standard Deviation	10.124%
Sample Variance	102.492%
峰度	8.74
偏度	2.41
Range	80.511%
Minimum	3.598%
Maximum	84.109%
Count	604

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.493%	604	100.00%	15.493%
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 0.72. Further, an Excess 峰度 of 3.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -30.15%	1	0.17%	0.17%
-30.15% to -22.49%	8	1.32%	1.49%
-22.49% to -14.83%	23	3.81%	5.30%
-14.83% to -7.17%	82	13.58%	18.87%
-7.17% to 0.49%	213	35.26%	54.14%
0.49% to 8.15%	164	27.15%	81.29%
8.15% to 15.81%	72	11.92%	93.21%
15.81% to 23.47%	26	4.30%	97.52%
23.47% to 31.13%	13	2.15%	99.67%
Greater than 31.13%	2	0.33%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.72%	10.70%	74.34%	68.27%
±2σ	-19.93%	20.92%	94.21%	95.45%
±3σ	-30.15%	31.13%	99.50%	99.73%

Descriptive Statistics

均值	0.491%
Standard Error	0.416%
中位数	-0.398%
Mode	-5.149%
Standard Deviation	10.213%
Sample Variance	104.303%
峰度	3.86
偏度	0.72
Range	104.874%
Minimum	-34.782%
Maximum	70.092%
Count	604

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.373%	292	48.34%	4.048%
负向	-6.886%	312	51.66%	-3.557%
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 1.81. Further, an Excess 峰度 of 7.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.25%	0	0.00%	0.00%
-65.25% to -48.19%	0	0.00%	0.00%
-48.19% to -31.12%	3	2.17%	2.17%
-31.12% to -14.06%	24	17.39%	19.57%
-14.06% to 3.00%	50	36.23%	55.80%
3.00% to 20.07%	38	27.54%	83.33%
20.07% to 37.13%	15	10.87%	94.20%
37.13% to 54.20%	5	3.62%	97.83%
54.20% to 71.26%	1	0.72%	98.55%
Greater than 71.26%	2	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.75%	25.76%	77.54%	68.27%
±2σ	-42.50%	48.51%	97.10%	95.45%
±3σ	-65.25%	71.26%	98.55%	99.73%

Descriptive Statistics

均值	3.005%
Standard Error	1.937%
中位数	-0.267%
Mode	-38.247%
Standard Deviation	22.753%
Sample Variance	517.689%
峰度	7.48
偏度	1.81
Range	170.358%
Minimum	-38.247%
Maximum	132.111%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.768%	67	48.55%	9.598%
负向	-12.996%	70	50.73%	-6.592%
Zero	0.000%	1	0.72%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.64%
12	1 Year	29.03%
36	3 Years	31.74%
60	5 Years	33.43%
120	10 Years	31.68%
240	20 Years	31.57%
600	50 Years	31.57%

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 3.50. Further, an Excess 峰度 of 17.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -42.38%	0	0.00%	0.00%
-42.38% to -22.20%	0	0.00%	0.00%
-22.20% to -2.02%	0	0.00%	0.00%
-2.02% to 18.16%	19	13.67%	13.67%
18.16% to 38.34%	75	53.96%	67.63%
38.34% to 58.51%	29	20.86%	88.49%
58.51% to 78.69%	10	7.19%	95.68%
78.69% to 98.87%	1	0.72%	96.40%
98.87% to 119.05%	3	2.16%	98.56%
Greater than 119.05%	2	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.43%	65.24%	90.65%	68.27%
±2σ	-15.47%	92.14%	95.68%	95.45%
±3σ	-42.38%	119.05%	98.56%	99.73%

Descriptive Statistics

均值	38.336%
Standard Error	2.282%
中位数	33.761%
Mode	10.652%
Standard Deviation	26.904%
Sample Variance	723.804%
峰度	17.04
偏度	3.50
Range	188.380%
Minimum	10.652%
Maximum	199.032%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.336%	139	100.00%	38.336%
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 0.24. Further, an Excess 峰度 of 0.38 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.81%	1	0.72%	0.72%
-58.81% to -43.83%	1	0.72%	1.44%
-43.83% to -28.84%	4	2.88%	4.32%
-28.84% to -13.86%	27	19.42%	23.74%
-13.86% to 1.13%	42	30.22%	53.96%
1.13% to 16.12%	36	25.90%	79.86%
16.12% to 31.10%	15	10.79%	90.65%
31.10% to 46.09%	10	7.19%	97.84%
46.09% to 61.07%	3	2.16%	100.00%
Greater than 61.07%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.85%	21.11%	71.94%	68.27%
±2σ	-38.83%	41.09%	94.96%	95.45%
±3σ	-58.81%	61.07%	99.28%	99.73%

Descriptive Statistics

均值	1.131%
Standard Error	1.695%
中位数	-0.134%
Mode	-59.884%
Standard Deviation	19.981%
Sample Variance	399.252%
峰度	0.38
偏度	0.24
Range	116.566%
Minimum	-59.884%
Maximum	56.682%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.224%	67	48.20%	8.302%
负向	-14.039%	71	51.08%	-7.171%
Zero	0.000%	1	0.72%	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 1.06. Further, an Excess 峰度 of 0.85 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -118.44%	0	0.00%	0.00%
-118.44% to -86.38%	0	0.00%	0.00%
-86.38% to -54.33%	0	0.00%	0.00%
-54.33% to -22.27%	11	23.91%	23.91%
-22.27% to 9.79%	15	32.61%	56.52%
9.79% to 41.84%	11	23.91%	80.43%
41.84% to 73.90%	5	10.87%	91.30%
73.90% to 105.96%	1	2.17%	93.48%
105.96% to 138.01%	3	6.52%	100.00%
Greater than 138.01%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.96%	52.53%	69.57%	68.27%
±2σ	-75.70%	95.27%	93.48%	95.45%
±3σ	-118.44%	138.01%	100.00%	99.73%

Descriptive Statistics

均值	9.786%
Standard Error	6.302%
中位数	5.069%
Mode	-50.654%
Standard Deviation	42.742%
Sample Variance	1826.838%
峰度	0.85
偏度	1.06
Range	174.226%
Minimum	-50.654%
Maximum	123.572%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	38.143%	25	54.35%	20.730%
负向	-23.971%	21	45.65%	-10.943%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	65.45%
12	3 Years	66.63%
20	5 Years	65.79%
40	10 Years	60.10%
80	20 Years	59.11%
200	50 Years	59.11%

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 4.39. Further, an Excess 峰度 of 24.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -140.77%	0	0.00%	0.00%
-140.77% to -84.17%	0	0.00%	0.00%
-84.17% to -27.56%	0	0.00%	0.00%
-27.56% to 29.04%	1	2.13%	2.13%
29.04% to 85.64%	33	70.21%	72.34%
85.64% to 142.25%	8	17.02%	89.36%
142.25% to 198.85%	4	8.51%	97.87%
198.85% to 255.46%	0	0.00%	97.87%
255.46% to 312.06%	0	0.00%	97.87%
Greater than 312.06%	1	2.13%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	10.17%	161.12%	93.62%	68.27%
±2σ	-65.30%	236.59%	97.87%	95.45%
±3σ	-140.77%	312.06%	97.87%	99.73%

Descriptive Statistics

均值	85.645%
Standard Error	11.009%
中位数	65.439%
Mode	27.801%
Standard Deviation	75.471%
Sample Variance	5695.839%
峰度	24.44
偏度	4.39
Range	493.397%
Minimum	27.801%
Maximum	521.198%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	85.645%	47	100.00%	85.645%
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 0.59. Further, an Excess 峰度 of -0.08 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -107.67%	0	0.00%	0.00%
-107.67% to -79.72%	0	0.00%	0.00%
-79.72% to -51.78%	2	4.26%	4.26%
-51.78% to -23.83%	8	17.02%	21.28%
-23.83% to 4.11%	18	38.30%	59.57%
4.11% to 32.06%	9	19.15%	78.72%
32.06% to 60.00%	7	14.89%	93.62%
60.00% to 87.95%	2	4.26%	97.87%
87.95% to 115.89%	1	2.13%	100.00%
Greater than 115.89%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-33.15%	41.37%	63.83%	68.27%
±2σ	-70.41%	78.63%	95.74%	95.45%
±3σ	-107.67%	115.89%	100.00%	99.73%

Descriptive Statistics

均值	4.112%
Standard Error	5.435%
中位数	-6.394%
Mode	-55.554%
Standard Deviation	37.260%
Sample Variance	1388.287%
峰度	-0.08
偏度	0.59
Range	159.011%
Minimum	-55.554%
Maximum	103.457%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	37.638%	21	44.68%	16.817%
负向	-22.967%	26	55.32%	-12.705%
Zero	0.000%	0	0.00%	0.000%

W 深度分析报告