XNCR 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	3.46%	3.07%	3.25%	4.88%	9.19%	9.07%	11.13	13.38	10.16	14.67
周度	7.64%	6.88%	7.44%	10.83%	20.24%	19.98%	9.97	14.94	8.14	18.30
月度	15.31%	14.01%	14.64%	23.07%	42.13%	41.58%	8.01	18.60	5.26	28.35
季度	25.09%	27.17%	26.05%	41.23%	72.97%	72.02%	5.88	25.32	2.84	52.53
Annual	—	—	—	—	145.95%	144.04%	2.84	52.53	0.66	226.06
Option Time Horizon	—	—	—	—	55.09%	54.37%	7.04	21.17	4.06	36.73

Calculation Notes: Computed at 2026-03-23T17:46 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot 价格 (S): $12.20 | Strike (K): $12.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.5500 (Bid $0.1000 / Ask $5.0000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 145.95% (CRR binomial tree, American, n=20 steps) | BS IV: 145.35% (European Black-Scholes) | Yahoo IV (Annual): 144.04% → 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 0.90. Further, an Excess 峰度 of 11.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.30%	15	0.48%	0.48%
-10.30% to -7.71%	29	0.93%	1.41%
-7.71% to -5.11%	102	3.27%	4.69%
-5.11% to -2.52%	410	13.16%	17.85%
-2.52% to 0.07%	1073	34.45%	52.30%
0.07% to 2.67%	961	30.85%	83.15%
2.67% to 5.26%	353	11.33%	94.48%
5.26% to 7.85%	122	3.92%	98.39%
7.85% to 10.44%	29	0.93%	99.33%
Greater than 10.44%	21	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.38%	3.53%	76.57%	68.27%
±2σ	-6.84%	6.99%	95.47%	95.45%
±3σ	-10.30%	10.44%	98.84%	99.73%

Descriptive Statistics

均值	0.073%
Standard Error	0.062%
中位数	-0.048%
Mode	0.000%
Standard Deviation	3.457%
Sample Variance	11.949%
峰度	11.35
偏度	0.90
Range	59.584%
Minimum	-21.836%
Maximum	37.748%
Count	3115

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.566%	1514	48.60%	1.247%
负向	-2.322%	1575	50.56%	-1.174%
Zero	0.000%	26	0.83%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.04%
20	1 Month	5.98%
60	1 Quarter	6.63%
250	1 Year	6.50%
750	3 Years	5.20%
1,250	5 Years	4.88%
2,500	10 Years	4.89%
5,000	20 Years	5.13%
12,500	50 Years	5.13%

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 3.92. Further, an Excess 峰度 of 32.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.05%	0	0.00%	0.00%
-4.05% to -1.75%	0	0.00%	0.00%
-1.75% to 0.56%	0	0.00%	0.00%
0.56% to 2.86%	467	14.99%	14.99%
2.86% to 5.17%	1477	47.40%	62.39%
5.17% to 7.47%	736	23.62%	86.01%
7.47% to 9.77%	256	8.22%	94.22%
9.77% to 12.07%	95	3.05%	97.27%
12.07% to 14.38%	37	1.19%	98.46%
Greater than 14.38%	48	1.54%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.09%	8.24%	85.98%	68.27%
±2σ	-0.98%	11.31%	96.76%	95.45%
±3σ	-4.05%	14.38%	98.46%	99.73%

Descriptive Statistics

均值	5.165%
Standard Error	0.055%
中位数	4.481%
Mode	3.450%
Standard Deviation	3.071%
Sample Variance	9.434%
峰度	32.67
偏度	3.92
Range	46.933%
Minimum	0.716%
Maximum	47.649%
Count	3116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.165%	3116	100.00%	5.165%
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 -0.07. Further, an Excess 峰度 of 7.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.61%	15	0.48%	0.48%
-9.61% to -7.18%	30	0.96%	1.44%
-7.18% to -4.74%	117	3.75%	5.20%
-4.74% to -2.31%	399	12.80%	18.00%
-2.31% to 0.12%	997	32.00%	50.00%
0.12% to 2.56%	1002	32.16%	82.16%
2.56% to 4.99%	397	12.74%	94.90%
4.99% to 7.43%	110	3.53%	98.43%
7.43% to 9.86%	28	0.90%	99.33%
Greater than 9.86%	21	0.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.12%	3.37%	75.83%	68.27%
±2σ	-6.37%	6.62%	95.76%	95.45%
±3σ	-9.61%	9.86%	98.84%	99.73%

Descriptive Statistics

均值	0.125%
Standard Error	0.058%
中位数	0.123%
Mode	0.000%
Standard Deviation	3.245%
Sample Variance	10.528%
峰度	7.56
偏度	-0.07
Range	53.834%
Minimum	-28.657%
Maximum	25.177%
Count	3116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.392%	1596	51.22%	1.225%
负向	-2.294%	1494	47.95%	-1.100%
Zero	0.000%	26	0.83%	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 1.03. Further, an Excess 峰度 of 6.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.56%	2	0.31%	0.31%
-22.56% to -16.83%	5	0.77%	1.08%
-16.83% to -11.10%	23	3.56%	4.64%
-11.10% to -5.38%	82	12.69%	17.34%
-5.38% to 0.35%	238	36.84%	54.18%
0.35% to 6.08%	189	29.26%	83.44%
6.08% to 11.81%	67	10.37%	93.81%
11.81% to 17.53%	26	4.02%	97.83%
17.53% to 23.26%	8	1.24%	99.07%
Greater than 23.26%	6	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.28%	7.99%	77.71%	68.27%
±2σ	-14.92%	15.62%	95.67%	95.45%
±3σ	-22.56%	23.26%	98.76%	99.73%

Descriptive Statistics

均值	0.352%
Standard Error	0.300%
中位数	-0.234%
Mode	-0.203%
Standard Deviation	7.636%
Sample Variance	58.310%
峰度	6.06
偏度	1.03
Range	83.032%
Minimum	-32.075%
Maximum	50.957%
Count	646

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.985%	312	48.30%	2.891%
负向	-4.925%	333	51.55%	-2.539%
Zero	0.000%	1	0.15%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	11.73%
12	1 Quarter	13.32%
52	1 Year	14.31%
156	3 Years	11.80%
260	5 Years	10.83%
520	10 Years	10.96%
1,040	20 Years	11.42%
2,600	50 Years	11.42%

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 2.66. Further, an Excess 峰度 of 12.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.41%	0	0.00%	0.00%
-8.41% to -3.25%	0	0.00%	0.00%
-3.25% to 1.91%	0	0.00%	0.00%
1.91% to 7.06%	111	17.16%	17.16%
7.06% to 12.22%	290	44.82%	61.98%
12.22% to 17.37%	141	21.79%	83.77%
17.37% to 22.53%	64	9.89%	93.66%
22.53% to 27.69%	22	3.40%	97.06%
27.69% to 32.84%	10	1.55%	98.61%
Greater than 32.84%	9	1.39%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.34%	19.09%	81.61%	68.27%
±2σ	-1.53%	25.97%	96.14%	95.45%
±3σ	-8.41%	32.84%	98.61%	99.73%

Descriptive Statistics

均值	12.218%
Standard Error	0.270%
中位数	10.366%
Mode	5.041%
Standard Deviation	6.875%
Sample Variance	47.261%
峰度	12.56
偏度	2.66
Range	60.145%
Minimum	3.421%
Maximum	63.566%
Count	647

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.218%	647	100.00%	12.218%
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 0.51. Further, an Excess 峰度 of 4.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.06%	4	0.62%	0.62%
-22.06% to -16.48%	7	1.08%	1.70%
-16.48% to -10.90%	26	4.02%	5.72%
-10.90% to -5.32%	83	12.83%	18.55%
-5.32% to 0.26%	204	31.53%	50.08%
0.26% to 5.84%	213	32.92%	83.00%
5.84% to 11.42%	76	11.75%	94.74%
11.42% to 17.00%	24	3.71%	98.45%
17.00% to 22.58%	6	0.93%	99.38%
Greater than 22.58%	4	0.62%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.18%	7.70%	76.82%	68.27%
±2σ	-14.62%	15.14%	95.21%	95.45%
±3σ	-22.06%	22.58%	98.76%	99.73%

Descriptive Statistics

均值	0.262%
Standard Error	0.292%
中位数	0.255%
Mode	-6.332%
Standard Deviation	7.440%
Sample Variance	55.348%
峰度	4.98
偏度	0.51
Range	82.574%
Minimum	-31.100%
Maximum	51.474%
Count	647

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.567%	330	51.01%	2.839%
负向	-5.295%	315	48.69%	-2.578%
Zero	0.000%	2	0.31%	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 0.69. Further, an Excess 峰度 of 0.45 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.59%	0	0.00%	0.00%
-44.59% to -33.10%	0	0.00%	0.00%
-33.10% to -21.62%	5	3.38%	3.38%
-21.62% to -10.14%	30	20.27%	23.65%
-10.14% to 1.34%	45	30.41%	54.05%
1.34% to 12.82%	39	26.35%	80.41%
12.82% to 24.30%	16	10.81%	91.22%
24.30% to 35.78%	9	6.08%	97.30%
35.78% to 47.27%	3	2.03%	99.32%
Greater than 47.27%	1	0.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.97%	16.65%	72.97%	68.27%
±2σ	-29.28%	31.96%	93.92%	95.45%
±3σ	-44.59%	47.27%	99.32%	99.73%

Descriptive Statistics

均值	1.340%
Standard Error	1.258%
中位数	-1.092%
Mode	-30.729%
Standard Deviation	15.309%
Sample Variance	234.367%
峰度	0.45
偏度	0.69
Range	79.205%
Minimum	-30.729%
Maximum	48.476%
Count	148

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.745%	71	47.97%	6.594%
负向	-10.098%	77	52.03%	-5.254%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	21.55%
12	1 Year	29.58%
36	3 Years	25.15%
60	5 Years	23.07%
120	10 Years	23.15%
240	20 Years	24.13%
600	50 Years	24.13%

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 1.83. Further, an Excess 峰度 of 4.30 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -14.12%	0	0.00%	0.00%
-14.12% to -3.62%	0	0.00%	0.00%
-3.62% to 6.89%	0	0.00%	0.00%
6.89% to 17.39%	28	18.79%	18.79%
17.39% to 27.90%	65	43.62%	62.42%
27.90% to 38.40%	35	23.49%	85.91%
38.40% to 48.91%	9	6.04%	91.95%
48.91% to 59.41%	5	3.36%	95.30%
59.41% to 69.92%	3	2.01%	97.32%
Greater than 69.92%	4	2.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.89%	41.91%	79.87%	68.27%
±2σ	-0.11%	55.91%	94.63%	95.45%
±3σ	-14.12%	69.92%	97.32%	99.73%

Descriptive Statistics

均值	27.899%
Standard Error	1.147%
中位数	25.274%
Mode	8.725%
Standard Deviation	14.007%
Sample Variance	196.189%
峰度	4.30
偏度	1.83
Range	80.840%
Minimum	8.725%
Maximum	89.565%
Count	149

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.899%	149	100.00%	27.899%
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 0.03. Further, an Excess 峰度 of 0.00 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.24%	0	0.00%	0.00%
-43.24% to -32.26%	1	0.67%	0.67%
-32.26% to -21.28%	9	6.04%	6.71%
-21.28% to -10.30%	21	14.09%	20.81%
-10.30% to 0.68%	44	29.53%	50.34%
0.68% to 11.65%	39	26.17%	76.51%
11.65% to 22.63%	26	17.45%	93.96%
22.63% to 33.61%	6	4.03%	97.99%
33.61% to 44.59%	3	2.01%	100.00%
Greater than 44.59%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.96%	15.31%	69.13%	68.27%
±2σ	-28.60%	29.95%	94.63%	95.45%
±3σ	-43.24%	44.59%	100.00%	99.73%

Descriptive Statistics

均值	0.676%
Standard Error	1.199%
中位数	0.317%
Mode	-2.944%
Standard Deviation	14.638%
Sample Variance	214.277%
峰度	0.00
偏度	0.03
Range	77.195%
Minimum	-34.902%
Maximum	42.293%
Count	149

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.258%	75	50.34%	6.170%
负向	-11.061%	74	49.66%	-5.493%
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 0.56. Further, an Excess 峰度 of 0.82 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -71.53%	0	0.00%	0.00%
-71.53% to -52.71%	0	0.00%	0.00%
-52.71% to -33.88%	2	4.08%	4.08%
-33.88% to -15.06%	8	16.33%	20.41%
-15.06% to 3.76%	16	32.65%	53.06%
3.76% to 22.58%	14	28.57%	81.63%
22.58% to 41.40%	5	10.20%	91.84%
41.40% to 60.22%	3	6.12%	97.96%
60.22% to 79.04%	1	2.04%	100.00%
Greater than 79.04%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.34%	28.85%	75.51%	68.27%
±2σ	-46.43%	53.94%	91.84%	95.45%
±3σ	-71.53%	79.04%	100.00%	99.73%

Descriptive Statistics

均值	3.756%
Standard Error	3.585%
中位数	2.889%
Mode	-51.630%
Standard Deviation	25.094%
Sample Variance	629.713%
峰度	0.82
偏度	0.56
Range	128.433%
Minimum	-51.630%
Maximum	76.803%
Count	49

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.561%	25	51.02%	11.511%
负向	-15.832%	24	48.98%	-7.755%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	56.88%
12	3 Years	45.66%
20	5 Years	41.23%
40	10 Years	41.26%
80	20 Years	43.55%
200	50 Years	43.55%

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 1.73. Further, an Excess 峰度 of 3.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -27.01%	0	0.00%	0.00%
-27.01% to -6.63%	0	0.00%	0.00%
-6.63% to 13.75%	0	0.00%	0.00%
13.75% to 34.13%	10	20.00%	20.00%
34.13% to 54.51%	21	42.00%	62.00%
54.51% to 74.88%	11	22.00%	84.00%
74.88% to 95.26%	5	10.00%	94.00%
95.26% to 115.64%	0	0.00%	94.00%
115.64% to 136.02%	2	4.00%	98.00%
Greater than 136.02%	1	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.33%	81.68%	80.00%	68.27%
±2σ	0.16%	108.85%	94.00%	95.45%
±3σ	-27.01%	136.02%	98.00%	99.73%

Descriptive Statistics

均值	54.505%
Standard Error	3.843%
中位数	47.331%
Mode	21.068%
Standard Deviation	27.171%
Sample Variance	738.264%
峰度	3.57
偏度	1.73
Range	134.379%
Minimum	21.068%
Maximum	155.447%
Count	50

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	54.505%	50	100.00%	54.505%
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 1.18. Further, an Excess 峰度 of 2.80 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -76.67%	0	0.00%	0.00%
-76.67% to -57.13%	0	0.00%	0.00%
-57.13% to -37.60%	1	2.00%	2.00%
-37.60% to -18.06%	9	18.00%	20.00%
-18.06% to 1.48%	18	36.00%	56.00%
1.48% to 21.02%	14	28.00%	84.00%
21.02% to 40.55%	6	12.00%	96.00%
40.55% to 60.09%	0	0.00%	96.00%
60.09% to 79.63%	1	2.00%	98.00%
Greater than 79.63%	1	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.57%	27.53%	74.00%	68.27%
±2σ	-50.62%	53.58%	96.00%	95.45%
±3σ	-76.67%	79.63%	98.00%	99.73%

Descriptive Statistics

均值	1.479%
Standard Error	3.684%
中位数	-3.952%
Mode	-44.256%
Standard Deviation	26.050%
Sample Variance	678.627%
峰度	2.80
偏度	1.18
Range	141.948%
Minimum	-44.256%
Maximum	97.692%
Count	50

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.691%	24	48.00%	10.412%
负向	-17.178%	26	52.00%	-8.933%
Zero	0.000%	0	0.00%	0.000%

XNCR 深度分析报告