XPEV 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	5.30%	3.56%	3.72%	6.32%	3.83%	3.90%	16.03	17.31	15.43	17.99
周度	12.45%	11.53%	10.75%	15.60%	8.43%	8.58%	15.31	18.12	14.08	19.72
月度	33.77%	33.16%	24.78%	33.41%	17.54%	17.86%	13.98	19.85	11.73	23.66
季度	51.36%	74.32%	67.33%	62.57%	30.38%	30.93%	12.30	22.57	9.07	30.59
Annual	—	—	—	—	60.76%	61.87%	9.07	30.59	4.94	56.16
Option Time Horizon	—	—	—	—	23.15%	23.57%	13.22	21.00	10.49	26.47

Calculation Notes: Computed at 2026-04-26T02:48 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $16.66 | Strike (K): $17.00 (first OTM call ≥ spot) | Observed Mid-价格: $1.4300 (Bid $1.4000 / Ask $1.4600) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 60.76% (CRR binomial tree, American, n=20 steps) | BS IV: 60.94% (European Black-Scholes) | Yahoo IV (Annual): 61.87% → 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 高ly Right Skewed (Extreme 正向 Tail Risk) with a 偏度 factor of 1.47. Further, an Excess 峰度 of 8.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.77%	0	0.00%	0.00%
-15.77% to -11.80%	10	0.70%	0.70%
-11.80% to -7.83%	50	3.52%	4.23%
-7.83% to -3.85%	222	15.63%	19.86%
-3.85% to 0.12%	467	32.89%	52.75%
0.12% to 4.09%	428	30.14%	82.89%
4.09% to 8.06%	169	11.90%	94.79%
8.06% to 12.03%	47	3.31%	98.10%
12.03% to 16.00%	17	1.20%	99.30%
Greater than 16.00%	10	0.70%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.18%	5.41%	75.14%	68.27%
±2σ	-10.47%	10.71%	95.85%	95.45%
±3σ	-15.77%	16.01%	99.30%	99.73%

Descriptive Statistics

均值	0.117%
Standard Error	0.141%
中位数	-0.180%
Mode	0.000%
Standard Deviation	5.296%
Sample Variance	28.048%
峰度	8.56
偏度	1.47
Range	62.359%
Minimum	-15.084%
Maximum	47.275%
Count	1420

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.105%	678	47.75%	1.960%
负向	-3.564%	734	51.69%	-1.842%
Zero	0.000%	8	0.56%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.33%
20	1 Month	3.91%
60	1 Quarter	4.31%
250	1 Year	4.25%
750	3 Years	5.61%
1,250	5 Years	6.32%
2,500	10 Years	6.64%
5,000	20 Years	6.64%
12,500	50 Years	6.64%

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 2.76. Further, an Excess 峰度 of 13.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.89%	0	0.00%	0.00%
-4.89% to -2.23%	0	0.00%	0.00%
-2.23% to 0.45%	0	0.00%	0.00%
0.45% to 3.12%	250	17.59%	17.59%
3.12% to 5.79%	630	44.33%	61.93%
5.79% to 8.46%	329	23.15%	85.08%
8.46% to 11.12%	127	8.94%	94.02%
11.12% to 13.79%	42	2.96%	96.97%
13.79% to 16.46%	14	0.99%	97.96%
Greater than 16.46%	29	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.23%	9.35%	83.60%	68.27%
±2σ	-1.33%	12.91%	96.41%	95.45%
±3σ	-4.89%	16.46%	97.96%	99.73%

Descriptive Statistics

均值	5.785%
Standard Error	0.094%
中位数	4.916%
Mode	4.492%
Standard Deviation	3.560%
Sample Variance	12.672%
峰度	13.32
偏度	2.76
Range	35.399%
Minimum	1.034%
Maximum	36.433%
Count	1421

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.785%	1421	100.00%	5.785%
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 -0.20. Further, an Excess 峰度 of 3.91 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.98%	12	0.84%	0.84%
-10.98% to -8.19%	12	0.84%	1.69%
-8.19% to -5.40%	44	3.10%	4.79%
-5.40% to -2.61%	182	12.81%	17.59%
-2.61% to 0.18%	468	32.93%	50.53%
0.18% to 2.97%	435	30.61%	81.14%
2.97% to 5.76%	193	13.58%	94.72%
5.76% to 8.55%	50	3.52%	98.24%
8.55% to 11.34%	16	1.13%	99.37%
Greater than 11.34%	9	0.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.54%	3.90%	75.02%	68.27%
±2σ	-7.26%	7.62%	95.43%	95.45%
±3σ	-10.98%	11.34%	98.52%	99.73%

Descriptive Statistics

均值	0.177%
Standard Error	0.099%
中位数	0.142%
Mode	0.000%
Standard Deviation	3.720%
Sample Variance	13.836%
峰度	3.91
偏度	-0.20
Range	39.376%
Minimum	-21.366%
Maximum	18.010%
Count	1421

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.767%	736	51.80%	1.433%
负向	-2.654%	673	47.36%	-1.257%
Zero	0.000%	12	0.84%	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 1.54. Further, an Excess 峰度 of 6.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -36.72%	0	0.00%	0.00%
-36.72% to -27.38%	1	0.34%	0.34%
-27.38% to -18.04%	11	3.73%	4.07%
-18.04% to -8.70%	54	18.31%	22.37%
-8.70% to 0.64%	100	33.90%	56.27%
0.64% to 9.98%	80	27.12%	83.39%
9.98% to 19.32%	35	11.86%	95.25%
19.32% to 28.66%	6	2.03%	97.29%
28.66% to 37.99%	4	1.36%	98.64%
Greater than 37.99%	4	1.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.82%	13.09%	76.61%	68.27%
±2σ	-24.27%	25.54%	95.93%	95.45%
±3σ	-36.72%	37.99%	98.64%	99.73%

Descriptive Statistics

均值	0.636%
Standard Error	0.725%
中位数	-0.495%
Mode	-2.340%
Standard Deviation	12.453%
Sample Variance	155.082%
峰度	6.04
偏度	1.54
Range	92.002%
Minimum	-27.416%
Maximum	64.586%
Count	295

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.181%	138	46.78%	4.763%
负向	-7.754%	157	53.22%	-4.127%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.90%
12	1 Quarter	10.40%
52	1 Year	10.59%
156	3 Years	14.11%
260	5 Years	15.60%
520	10 Years	16.49%
1,040	20 Years	16.49%
2,600	50 Years	16.49%

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 3.17. Further, an Excess 峰度 of 14.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.97%	0	0.00%	0.00%
-16.97% to -8.32%	0	0.00%	0.00%
-8.32% to 0.33%	0	0.00%	0.00%
0.33% to 8.97%	38	12.84%	12.84%
8.97% to 17.62%	161	54.39%	67.23%
17.62% to 26.27%	58	19.59%	86.82%
26.27% to 34.92%	24	8.11%	94.93%
34.92% to 43.57%	6	2.03%	96.96%
43.57% to 52.22%	2	0.68%	97.64%
Greater than 52.22%	7	2.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.09%	29.15%	87.50%	68.27%
±2σ	-5.44%	40.68%	96.62%	95.45%
±3σ	-16.97%	52.22%	97.64%	99.73%

Descriptive Statistics

均值	17.622%
Standard Error	0.670%
中位数	15.107%
Mode	4.666%
Standard Deviation	11.531%
Sample Variance	132.957%
峰度	14.48
偏度	3.17
Range	90.396%
Minimum	4.666%
Maximum	95.062%
Count	296

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.622%	296	100.00%	17.622%
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 1.28 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -31.41%	3	1.01%	1.01%
-31.41% to -23.35%	2	0.68%	1.69%
-23.35% to -15.29%	5	1.69%	3.38%
-15.29% to -7.22%	52	17.57%	20.95%
-7.22% to 0.84%	91	30.74%	51.69%
0.84% to 8.90%	76	25.68%	77.36%
8.90% to 16.96%	48	16.22%	93.58%
16.96% to 25.03%	12	4.05%	97.64%
25.03% to 33.09%	6	2.03%	99.66%
Greater than 33.09%	1	0.34%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-9.91%	11.59%	75.00%	68.27%
±2σ	-20.66%	22.34%	93.58%	95.45%
±3σ	-31.41%	33.09%	98.65%	99.73%

Descriptive Statistics

均值	0.839%
Standard Error	0.625%
中位数	0.382%
Mode	1.082%
Standard Deviation	10.750%
Sample Variance	115.565%
峰度	1.28
偏度	-0.02
Range	70.555%
Minimum	-37.188%
Maximum	33.367%
Count	296

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.665%	154	52.03%	4.508%
负向	-7.648%	142	47.97%	-3.669%
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 3.34. Further, an Excess 峰度 of 17.70 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -97.75%	0	0.00%	0.00%
-97.75% to -72.43%	0	0.00%	0.00%
-72.43% to -47.11%	0	0.00%	0.00%
-47.11% to -21.78%	9	13.24%	13.24%
-21.78% to 3.54%	33	48.53%	61.76%
3.54% to 28.86%	17	25.00%	86.76%
28.86% to 54.19%	5	7.35%	94.12%
54.19% to 79.51%	3	4.41%	98.53%
79.51% to 104.84%	0	0.00%	98.53%
Greater than 104.84%	1	1.47%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-30.22%	37.31%	83.82%	68.27%
±2σ	-63.99%	71.07%	98.53%	95.45%
±3σ	-97.75%	104.84%	98.53%	99.73%

Descriptive Statistics

均值	3.541%
Standard Error	4.095%
中位数	-2.450%
Mode	-44.603%
Standard Deviation	33.765%
Sample Variance	1140.091%
峰度	17.70
偏度	3.34
Range	247.802%
Minimum	-44.603%
Maximum	203.199%
Count	68

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.424%	30	44.12%	11.658%
负向	-14.525%	38	55.88%	-8.117%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.47%
12	1 Year	22.03%
36	3 Years	31.23%
60	5 Years	33.41%
120	10 Years	36.67%
240	20 Years	36.67%
600	50 Years	36.67%

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 4.76. Further, an Excess 峰度 of 30.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.23%	0	0.00%	0.00%
-55.23% to -30.36%	0	0.00%	0.00%
-30.36% to -5.50%	0	0.00%	0.00%
-5.50% to 19.38%	5	7.25%	7.25%
19.38% to 44.24%	41	59.42%	66.67%
44.24% to 69.11%	14	20.29%	86.96%
69.11% to 93.98%	6	8.70%	95.65%
93.98% to 118.86%	2	2.90%	98.55%
118.86% to 143.72%	0	0.00%	98.55%
Greater than 143.72%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.09%	77.41%	94.20%	68.27%
±2σ	-22.07%	110.56%	98.55%	95.45%
±3σ	-55.23%	143.72%	98.55%	99.73%

Descriptive Statistics

均值	44.245%
Standard Error	3.992%
中位数	40.015%
Mode	12.514%
Standard Deviation	33.160%
Sample Variance	1099.607%
峰度	30.47
偏度	4.76
Range	255.338%
Minimum	12.514%
Maximum	267.852%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	44.245%	69	100.00%	44.245%
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 0.37. Further, an Excess 峰度 of 1.36 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -69.45%	0	0.00%	0.00%
-69.45% to -50.87%	1	1.45%	1.45%
-50.87% to -32.28%	3	4.35%	5.80%
-32.28% to -13.70%	8	11.59%	17.39%
-13.70% to 4.89%	27	39.13%	56.52%
4.89% to 23.48%	19	27.54%	84.06%
23.48% to 42.06%	5	7.25%	91.30%
42.06% to 60.65%	4	5.80%	97.10%
60.65% to 79.23%	1	1.45%	98.55%
Greater than 79.23%	1	1.45%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.89%	29.67%	72.46%	68.27%
±2σ	-44.67%	54.45%	95.65%	95.45%
±3σ	-69.45%	79.23%	98.55%	99.73%

Descriptive Statistics

均值	4.890%
Standard Error	2.983%
中位数	1.873%
Mode	-63.462%
Standard Deviation	24.781%
Sample Variance	614.119%
峰度	1.36
偏度	0.37
Range	142.767%
Minimum	-63.462%
Maximum	79.305%
Count	69

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.268%	37	53.62%	11.405%
负向	-14.501%	31	44.93%	-6.515%
Zero	0.000%	1	1.45%	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 1.22. Further, an Excess 峰度 of 1.93 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -144.09%	0	0.00%	0.00%
-144.09% to -105.57%	0	0.00%	0.00%
-105.57% to -67.05%	1	4.55%	4.55%
-67.05% to -28.53%	4	18.18%	22.73%
-28.53% to 9.99%	8	36.36%	59.09%
9.99% to 48.51%	6	27.27%	86.36%
48.51% to 87.03%	1	4.55%	90.91%
87.03% to 125.55%	1	4.55%	95.45%
125.55% to 164.07%	1	4.55%	100.00%
Greater than 164.07%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-41.37%	61.35%	81.82%	68.27%
±2σ	-92.73%	112.71%	90.91%	95.45%
±3σ	-144.09%	164.07%	100.00%	99.73%

Descriptive Statistics

均值	9.994%
Standard Error	10.950%
中位数	-1.479%
Mode	-72.902%
Standard Deviation	51.360%
Sample Variance	2637.819%
峰度	1.93
偏度	1.22
Range	221.509%
Minimum	-72.902%
Maximum	148.607%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	56.240%	9	40.91%	23.007%
负向	-22.023%	13	59.09%	-13.014%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	35.62%
12	3 Years	60.58%
20	5 Years	62.57%
40	10 Years	70.87%
80	20 Years	70.87%
200	50 Years	70.87%

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 1.80. 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 -124.28%	0	0.00%	0.00%
-124.28% to -68.54%	0	0.00%	0.00%
-68.54% to -12.80%	0	0.00%	0.00%
-12.80% to 42.94%	4	17.39%	17.39%
42.94% to 98.68%	10	43.48%	60.87%
98.68% to 154.42%	6	26.09%	86.96%
154.42% to 210.16%	0	0.00%	86.96%
210.16% to 265.91%	1	4.35%	91.30%
265.91% to 321.65%	2	8.70%	100.00%
Greater than 321.65%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	24.36%	173.00%	86.96%	68.27%
±2σ	-49.96%	247.33%	91.30%	95.45%
±3σ	-124.28%	321.65%	100.00%	99.73%

Descriptive Statistics

均值	98.682%
Standard Error	15.497%
中位数	84.011%
Mode	32.387%
Standard Deviation	74.322%
Sample Variance	5523.826%
峰度	2.94
偏度	1.80
Range	282.173%
Minimum	32.387%
Maximum	314.560%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	98.682%	23	100.00%	98.682%
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 2.81. Further, an Excess 峰度 of 10.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -186.74%	0	0.00%	0.00%
-186.74% to -136.24%	0	0.00%	0.00%
-136.24% to -85.74%	0	0.00%	0.00%
-85.74% to -35.24%	2	8.70%	8.70%
-35.24% to 15.26%	12	52.17%	60.87%
15.26% to 65.75%	6	26.09%	86.96%
65.75% to 116.25%	2	8.70%	95.65%
116.25% to 166.75%	0	0.00%	95.65%
166.75% to 217.25%	0	0.00%	95.65%
Greater than 217.25%	1	4.35%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-52.07%	82.58%	86.96%	68.27%
±2σ	-119.41%	149.91%	95.65%	95.45%
±3σ	-186.74%	217.25%	95.65%	99.73%

Descriptive Statistics

均值	15.255%
Standard Error	14.039%
中位数	3.361%
Mode	-55.438%
Standard Deviation	67.330%
Sample Variance	4533.355%
峰度	10.47
偏度	2.81
Range	332.477%
Minimum	-55.438%
Maximum	277.039%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	48.327%	13	56.52%	27.315%
负向	-27.739%	10	43.48%	-12.060%
Zero	0.000%	0	0.00%	0.000%

XPEV 深度分析报告