ZM 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	3.43%	2.59%	2.81%	3.70%	3.52%	3.56%	88.85	95.32	85.78	98.74
周度	7.44%	7.11%	6.98%	8.65%	7.74%	7.83%	85.17	99.44	78.83	107.44
月度	14.29%	13.33%	12.72%	17.96%	16.12%	16.31%	78.33	108.13	66.67	127.04
季度	32.86%	35.74%	28.33%	31.16%	27.92%	28.25%	69.61	121.67	52.66	160.85
Annual	—	—	—	—	55.83%	56.49%	52.66	160.85	30.13	281.13
Option Time Horizon	—	—	—	—	21.28%	21.53%	74.39	113.85	60.13	140.84

Calculation Notes: Computed at 2026-04-26T02:46 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $92.03 | Strike (K): $92.50 (first OTM call ≥ spot) | Observed Mid-价格: $7.7500 (Bid $7.4500 / Ask $8.0500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 55.83% (CRR binomial tree, American, n=20 steps) | BS IV: 55.42% (European Black-Scholes) | Yahoo IV (Annual): 56.49% → 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 1.10. Further, an Excess 峰度 of 14.86 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.21%	9	0.51%	0.51%
-10.21% to -7.63%	17	0.96%	1.47%
-7.63% to -5.06%	60	3.40%	4.88%
-5.06% to -2.49%	189	10.72%	15.60%
-2.49% to 0.08%	639	36.25%	51.84%
0.08% to 2.65%	587	33.30%	85.14%
2.65% to 5.22%	162	9.19%	94.33%
5.22% to 7.79%	64	3.63%	97.96%
7.79% to 10.37%	24	1.36%	99.32%
Greater than 10.37%	12	0.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.35%	3.51%	78.56%	68.27%
±2σ	-6.78%	6.94%	94.90%	95.45%
±3σ	-10.21%	10.37%	98.81%	99.73%

Descriptive Statistics

均值	0.080%
Standard Error	0.082%
中位数	-0.033%
Mode	-0.035%
Standard Deviation	3.429%
Sample Variance	11.755%
峰度	14.86
偏度	1.10
Range	58.154%
Minimum	-17.370%
Maximum	40.784%
Count	1763

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.410%	868	49.23%	1.187%
负向	-2.190%	891	50.54%	-1.107%
Zero	0.000%	4	0.23%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	4.17%
20	1 Month	4.11%
60	1 Quarter	4.32%
250	1 Year	2.92%
750	3 Years	2.88%
1,250	5 Years	3.70%
2,500	10 Years	4.36%
5,000	20 Years	4.36%
12,500	50 Years	4.36%

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 1.96. Further, an Excess 峰度 of 6.32 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.62%	0	0.00%	0.00%
-3.62% to -1.67%	0	0.00%	0.00%
-1.67% to 0.27%	0	0.00%	0.00%
0.27% to 2.22%	389	22.05%	22.05%
2.22% to 4.16%	710	40.25%	62.30%
4.16% to 6.11%	366	20.75%	83.05%
6.11% to 8.05%	158	8.96%	92.01%
8.05% to 10.00%	70	3.97%	95.98%
10.00% to 11.94%	44	2.49%	98.47%
Greater than 11.94%	27	1.53%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.57%	6.76%	80.22%	68.27%
±2σ	-1.03%	9.35%	95.18%	95.45%
±3σ	-3.62%	11.94%	98.47%	99.73%

Descriptive Statistics

均值	4.162%
Standard Error	0.062%
中位数	3.479%
Mode	1.533%
Standard Deviation	2.594%
Sample Variance	6.729%
峰度	6.32
偏度	1.96
Range	24.480%
Minimum	0.743%
Maximum	25.223%
Count	1764

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.162%	1764	100.00%	4.162%
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 0.26. Further, an Excess 峰度 of 3.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.43%	11	0.62%	0.62%
-8.43% to -6.32%	27	1.53%	2.15%
-6.32% to -4.21%	63	3.57%	5.73%
-4.21% to -2.11%	203	11.51%	17.23%
-2.11% to 0.00%	583	33.05%	50.28%
0.00% to 2.11%	579	32.82%	83.11%
2.11% to 4.21%	181	10.26%	93.37%
4.21% to 6.32%	85	4.82%	98.19%
6.32% to 8.43%	23	1.30%	99.49%
Greater than 8.43%	9	0.51%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.81%	2.81%	75.23%	68.27%
±2σ	-5.62%	5.62%	94.84%	95.45%
±3σ	-8.43%	8.43%	98.87%	99.73%

Descriptive Statistics

均值	0.000%
Standard Error	0.067%
中位数	-0.015%
Mode	0.000%
Standard Deviation	2.809%
Sample Variance	7.891%
峰度	3.31
偏度	0.26
Range	29.722%
Minimum	-11.800%
Maximum	17.922%
Count	1764

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.038%	871	49.38%	1.006%
负向	-2.000%	887	50.28%	-1.006%
Zero	0.000%	6	0.34%	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 1.12. Further, an Excess 峰度 of 5.98 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.95%	1	0.27%	0.27%
-21.95% to -16.38%	3	0.82%	1.09%
-16.38% to -10.80%	13	3.55%	4.64%
-10.80% to -5.22%	50	13.66%	18.31%
-5.22% to 0.36%	122	33.33%	51.64%
0.36% to 5.93%	119	32.51%	84.15%
5.93% to 11.51%	37	10.11%	94.26%
11.51% to 17.09%	13	3.55%	97.81%
17.09% to 22.67%	3	0.82%	98.63%
Greater than 22.67%	5	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.08%	7.79%	77.87%	68.27%
±2σ	-14.52%	15.23%	94.54%	95.45%
±3σ	-21.95%	22.67%	98.36%	99.73%

Descriptive Statistics

均值	0.357%
Standard Error	0.389%
中位数	0.084%
Mode	-7.771%
Standard Deviation	7.437%
Sample Variance	55.315%
峰度	5.98
偏度	1.12
Range	72.033%
Minimum	-24.100%
Maximum	47.933%
Count	366

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.518%	185	50.55%	2.789%
负向	-4.918%	181	49.45%	-2.432%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.21%
12	1 Quarter	9.82%
52	1 Year	7.02%
156	3 Years	6.93%
260	5 Years	8.65%
520	10 Years	10.26%
1,040	20 Years	10.26%
2,600	50 Years	10.26%

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 9.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.61%	0	0.00%	0.00%
-10.61% to -5.28%	0	0.00%	0.00%
-5.28% to 0.05%	0	0.00%	0.00%
0.05% to 5.38%	64	17.44%	17.44%
5.38% to 10.71%	172	46.87%	64.31%
10.71% to 16.04%	71	19.35%	83.65%
16.04% to 21.36%	34	9.26%	92.92%
21.36% to 26.69%	17	4.63%	97.55%
26.69% to 32.02%	3	0.82%	98.37%
Greater than 32.02%	6	1.63%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.60%	17.81%	82.83%	68.27%
±2σ	-3.50%	24.92%	94.28%	95.45%
±3σ	-10.61%	32.02%	98.37%	99.73%

Descriptive Statistics

均值	10.707%
Standard Error	0.371%
中位数	8.550%
Mode	5.826%
Standard Deviation	7.105%
Sample Variance	50.477%
峰度	9.54
偏度	2.41
Range	59.498%
Minimum	2.208%
Maximum	61.706%
Count	367

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.707%	367	100.00%	10.707%
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 0.28. Further, an Excess 峰度 of 4.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.84%	2	0.54%	0.54%
-20.84% to -15.60%	5	1.36%	1.91%
-15.60% to -10.36%	16	4.36%	6.27%
-10.36% to -5.12%	40	10.90%	17.17%
-5.12% to 0.11%	125	34.06%	51.23%
0.11% to 5.35%	114	31.06%	82.29%
5.35% to 10.59%	43	11.72%	94.01%
10.59% to 15.82%	13	3.54%	97.55%
15.82% to 21.06%	8	2.18%	99.73%
Greater than 21.06%	1	0.27%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.87%	7.10%	77.66%	68.27%
±2σ	-13.85%	14.08%	94.82%	95.45%
±3σ	-20.84%	21.06%	99.18%	99.73%

Descriptive Statistics

均值	0.113%
Standard Error	0.365%
中位数	-0.010%
Mode	-8.007%
Standard Deviation	6.983%
Sample Variance	48.761%
峰度	4.77
偏度	0.28
Range	74.116%
Minimum	-32.734%
Maximum	41.382%
Count	367

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.057%	183	49.86%	2.522%
负向	-4.804%	184	50.14%	-2.409%
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 0.79. Further, an Excess 峰度 of 1.42 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.63%	0	0.00%	0.00%
-41.63% to -30.91%	0	0.00%	0.00%
-30.91% to -20.19%	4	4.76%	4.76%
-20.19% to -9.48%	15	17.86%	22.62%
-9.48% to 1.24%	27	32.14%	54.76%
1.24% to 11.96%	26	30.95%	85.71%
11.96% to 22.67%	6	7.14%	92.86%
22.67% to 33.39%	2	2.38%	95.24%
33.39% to 44.11%	3	3.57%	98.81%
Greater than 44.11%	1	1.19%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.05%	15.53%	76.19%	68.27%
±2σ	-27.34%	29.82%	92.86%	95.45%
±3σ	-41.63%	44.11%	98.81%	99.73%

Descriptive Statistics

均值	1.241%
Standard Error	1.559%
中位数	0.403%
Mode	-29.484%
Standard Deviation	14.289%
Sample Variance	204.163%
峰度	1.42
偏度	0.79
Range	74.089%
Minimum	-29.484%
Maximum	44.605%
Count	84

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.921%	45	53.57%	5.850%
负向	-9.929%	39	46.43%	-4.610%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	20.65%
12	1 Year	14.67%
36	3 Years	14.42%
60	5 Years	17.96%
120	10 Years	21.61%
240	20 Years	21.61%
600	50 Years	21.61%

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 1.15. Further, an Excess 峰度 of 1.04 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.62%	0	0.00%	0.00%
-15.62% to -5.62%	0	0.00%	0.00%
-5.62% to 4.38%	0	0.00%	0.00%
4.38% to 14.38%	20	23.53%	23.53%
14.38% to 24.37%	34	40.00%	63.53%
24.37% to 34.37%	14	16.47%	80.00%
34.37% to 44.37%	10	11.76%	91.76%
44.37% to 54.37%	4	4.71%	96.47%
54.37% to 64.37%	2	2.35%	98.82%
Greater than 64.37%	1	1.18%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	11.04%	37.70%	68.24%	68.27%
±2σ	-2.29%	51.04%	95.29%	95.45%
±3σ	-15.62%	64.37%	98.82%	99.73%

Descriptive Statistics

均值	24.374%
Standard Error	1.446%
中位数	21.161%
Mode	6.892%
Standard Deviation	13.331%
Sample Variance	177.720%
峰度	1.04
偏度	1.15
Range	60.343%
Minimum	6.892%
Maximum	67.235%
Count	85

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.374%	85	100.00%	24.374%
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 0.05 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -37.38%	0	0.00%	0.00%
-37.38% to -27.84%	0	0.00%	0.00%
-27.84% to -18.30%	5	5.88%	5.88%
-18.30% to -8.76%	13	15.29%	21.18%
-8.76% to 0.78%	28	32.94%	54.12%
0.78% to 10.32%	22	25.88%	80.00%
10.32% to 19.86%	10	11.76%	91.76%
19.86% to 29.39%	6	7.06%	98.82%
29.39% to 38.93%	1	1.18%	100.00%
Greater than 38.93%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-11.94%	13.50%	74.12%	68.27%
±2σ	-24.66%	26.21%	91.76%	95.45%
±3σ	-37.38%	38.93%	100.00%	99.73%

Descriptive Statistics

均值	0.777%
Standard Error	1.380%
中位数	-0.946%
Mode	-27.751%
Standard Deviation	12.719%
Sample Variance	161.785%
峰度	0.05
偏度	0.29
Range	58.321%
Minimum	-27.751%
Maximum	30.570%
Count	85

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.356%	40	47.06%	5.344%
负向	-8.627%	45	52.94%	-4.567%
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 1.22. Further, an Excess 峰度 of 1.41 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -93.37%	0	0.00%	0.00%
-93.37% to -68.73%	0	0.00%	0.00%
-68.73% to -44.08%	0	0.00%	0.00%
-44.08% to -19.44%	5	17.86%	17.86%
-19.44% to 5.21%	11	39.29%	57.14%
5.21% to 29.85%	8	28.57%	85.71%
29.85% to 54.50%	1	3.57%	89.29%
54.50% to 79.14%	1	3.57%	92.86%
79.14% to 103.79%	2	7.14%	100.00%
Greater than 103.79%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-27.65%	38.07%	82.14%	68.27%
±2σ	-60.51%	70.93%	89.29%	95.45%
±3σ	-93.37%	103.79%	100.00%	99.73%

Descriptive Statistics

均值	5.206%
Standard Error	6.210%
中位数	-0.611%
Mode	-43.827%
Standard Deviation	32.860%
Sample Variance	1079.772%
峰度	1.41
偏度	1.22
Range	131.672%
Minimum	-43.827%
Maximum	87.845%
Count	28

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	30.822%	13	46.43%	14.310%
负向	-16.995%	15	53.57%	-9.104%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	22.97%
12	3 Years	23.94%
20	5 Years	31.16%
40	10 Years	42.89%
80	20 Years	42.89%
200	50 Years	42.89%

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 1.63. Further, an Excess 峰度 of 2.18 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -55.66%	0	0.00%	0.00%
-55.66% to -28.86%	0	0.00%	0.00%
-28.86% to -2.05%	0	0.00%	0.00%
-2.05% to 24.75%	6	20.69%	20.69%
24.75% to 51.56%	12	41.38%	62.07%
51.56% to 78.37%	7	24.14%	86.21%
78.37% to 105.17%	0	0.00%	86.21%
105.17% to 131.98%	2	6.90%	93.10%
131.98% to 158.79%	2	6.90%	100.00%
Greater than 158.79%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	15.82%	87.30%	86.21%	68.27%
±2σ	-19.92%	123.05%	93.10%	95.45%
±3σ	-55.66%	158.79%	100.00%	99.73%

Descriptive Statistics

均值	51.562%
Standard Error	6.637%
中位数	40.827%
Mode	16.443%
Standard Deviation	35.742%
Sample Variance	1277.521%
峰度	2.18
偏度	1.63
Range	139.574%
Minimum	16.443%
Maximum	156.017%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	51.562%	29	100.00%	51.562%
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 0.52. Further, an Excess 峰度 of 0.66 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -82.29%	0	0.00%	0.00%
-82.29% to -61.05%	0	0.00%	0.00%
-61.05% to -39.80%	3	10.34%	10.34%
-39.80% to -18.55%	2	6.90%	17.24%
-18.55% to 2.70%	11	37.93%	55.17%
2.70% to 23.95%	8	27.59%	82.76%
23.95% to 45.20%	3	10.34%	93.10%
45.20% to 66.45%	1	3.45%	96.55%
66.45% to 87.70%	1	3.45%	100.00%
Greater than 87.70%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-25.63%	31.03%	75.86%	68.27%
±2σ	-53.96%	59.37%	96.55%	95.45%
±3σ	-82.29%	87.70%	100.00%	99.73%

Descriptive Statistics

均值	2.702%
Standard Error	5.261%
中位数	-0.369%
Mode	-46.438%
Standard Deviation	28.332%
Sample Variance	802.709%
峰度	0.66
偏度	0.52
Range	123.519%
Minimum	-46.438%
Maximum	77.081%
Count	29

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.141%	14	48.28%	12.137%
负向	-18.240%	15	51.72%	-9.434%
Zero	0.000%	0	0.00%	0.000%

ZM 深度分析报告