ZS 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	3.60%	2.52%	2.97%	4.35%	4.62%	4.70%	129.38	141.91	123.53	148.63
周度	8.20%	7.41%	8.06%	10.41%	10.18%	10.35%	122.39	150.02	110.54	166.10
月度	15.30%	13.13%	14.62%	22.62%	21.19%	21.55%	109.63	167.48	88.69	207.01
季度	32.46%	23.70%	31.84%	40.69%	36.70%	37.32%	93.87	195.59	65.03	282.31
Annual	—	—	—	—	73.40%	74.64%	65.03	282.31	31.21	588.20
Option Time Horizon	—	—	—	—	27.97%	28.44%	102.44	179.23	77.44	237.08

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $135.50 | Strike (K): $140.00 (first OTM call ≥ spot) | Observed Mid-价格: $13.5750 (Bid $13.3000 / Ask $13.8500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 73.40% (CRR binomial tree, American, n=20 steps) | BS IV: 73.88% (European Black-Scholes) | Yahoo IV (Annual): 74.64% → 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 Fairly Symmetrical with a 偏度 factor of 0.48. Further, an Excess 峰度 of 8.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.66%	17	0.83%	0.83%
-10.66% to -7.96%	26	1.28%	2.11%
-7.96% to -5.26%	71	3.49%	5.60%
-5.26% to -2.56%	214	10.51%	16.10%
-2.56% to 0.13%	674	33.09%	49.19%
0.13% to 2.83%	709	34.81%	84.00%
2.83% to 5.53%	235	11.54%	95.53%
5.53% to 8.23%	64	3.14%	98.67%
8.23% to 10.93%	12	0.59%	99.26%
Greater than 10.93%	15	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.46%	3.73%	79.09%	68.27%
±2σ	-7.06%	7.33%	94.99%	95.45%
±3σ	-10.66%	10.93%	98.43%	99.73%

Descriptive Statistics

均值	0.134%
Standard Error	0.080%
中位数	0.189%
Mode	1.961%
Standard Deviation	3.597%
Sample Variance	12.938%
峰度	8.10
偏度	0.48
Range	48.773%
Minimum	-19.367%
Maximum	29.406%
Count	2037

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.466%	1078	52.92%	1.305%
负向	-2.496%	956	46.93%	-1.171%
Zero	0.000%	3	0.15%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	5.61%
20	1 Month	5.93%
60	1 Quarter	5.81%
250	1 Year	3.68%
750	3 Years	3.78%
1,250	5 Years	4.35%
2,500	10 Years	4.71%
5,000	20 Years	4.71%
12,500	50 Years	4.71%

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 2.28. Further, an Excess 峰度 of 9.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.08%	0	0.00%	0.00%
-3.08% to -1.19%	0	0.00%	0.00%
-1.19% to 0.70%	0	0.00%	0.00%
0.70% to 2.59%	392	19.23%	19.23%
2.59% to 4.48%	878	43.08%	62.32%
4.48% to 6.37%	433	21.25%	83.56%
6.37% to 8.25%	186	9.13%	92.69%
8.25% to 10.14%	83	4.07%	96.76%
10.14% to 12.03%	30	1.47%	98.23%
Greater than 12.03%	36	1.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.96%	7.00%	81.26%	68.27%
±2σ	-0.56%	9.51%	95.63%	95.45%
±3σ	-3.08%	12.03%	98.23%	99.73%

Descriptive Statistics

均值	4.476%
Standard Error	0.056%
中位数	3.848%
Mode	2.235%
Standard Deviation	2.519%
Sample Variance	6.344%
峰度	9.49
偏度	2.28
Range	27.441%
Minimum	0.993%
Maximum	28.434%
Count	2038

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.476%	2038	100.00%	4.476%
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 3.06 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.87%	11	0.54%	0.54%
-8.87% to -6.64%	21	1.03%	1.57%
-6.64% to -4.41%	72	3.53%	5.10%
-4.41% to -2.19%	264	12.95%	18.06%
-2.19% to 0.04%	689	33.81%	51.86%
0.04% to 2.27%	627	30.77%	82.63%
2.27% to 4.50%	225	11.04%	93.67%
4.50% to 6.73%	76	3.73%	97.40%
6.73% to 8.96%	35	1.72%	99.12%
Greater than 8.96%	18	0.88%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.93%	3.01%	76.10%	68.27%
±2σ	-5.90%	5.98%	94.50%	95.45%
±3σ	-8.87%	8.96%	98.58%	99.73%

Descriptive Statistics

均值	0.042%
Standard Error	0.066%
中位数	-0.097%
Mode	-0.990%
Standard Deviation	2.971%
Sample Variance	8.828%
峰度	3.06
偏度	0.20
Range	33.276%
Minimum	-16.667%
Maximum	16.609%
Count	2038

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.239%	994	48.77%	1.092%
负向	-2.054%	1042	51.13%	-1.050%
Zero	0.000%	2	0.10%	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 0.73. Further, an Excess 峰度 of 4.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.89%	1	0.24%	0.24%
-23.89% to -17.74%	6	1.42%	1.65%
-17.74% to -11.59%	12	2.84%	4.49%
-11.59% to -5.45%	66	15.60%	20.09%
-5.45% to 0.70%	131	30.97%	51.06%
0.70% to 6.85%	136	32.15%	83.22%
6.85% to 13.00%	47	11.11%	94.33%
13.00% to 19.14%	18	4.26%	98.58%
19.14% to 25.29%	2	0.47%	99.05%
Greater than 25.29%	4	0.95%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.50%	8.90%	74.23%	68.27%
±2σ	-15.69%	17.09%	95.98%	95.45%
±3σ	-23.89%	25.29%	98.82%	99.73%

Descriptive Statistics

均值	0.701%
Standard Error	0.399%
中位数	0.610%
Mode	-1.801%
Standard Deviation	8.197%
Sample Variance	67.199%
峰度	4.37
偏度	0.73
Range	69.423%
Minimum	-26.480%
Maximum	42.943%
Count	423

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.156%	225	53.19%	3.274%
负向	-5.526%	197	46.57%	-2.574%
Zero	0.000%	1	0.24%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	14.59%
12	1 Quarter	14.56%
52	1 Year	8.74%
156	3 Years	9.06%
260	5 Years	10.41%
520	10 Years	11.19%
1,040	20 Years	11.19%
2,600	50 Years	11.19%

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 2.33. Further, an Excess 峰度 of 8.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.28%	0	0.00%	0.00%
-10.28% to -4.72%	0	0.00%	0.00%
-4.72% to 0.83%	0	0.00%	0.00%
0.83% to 6.38%	77	18.16%	18.16%
6.38% to 11.94%	182	42.92%	61.08%
11.94% to 17.49%	105	24.76%	85.85%
17.49% to 23.05%	30	7.08%	92.92%
23.05% to 28.60%	13	3.07%	95.99%
28.60% to 34.16%	8	1.89%	97.88%
Greater than 34.16%	9	2.12%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	4.53%	19.34%	83.96%	68.27%
±2σ	-2.87%	26.75%	94.81%	95.45%
±3σ	-10.28%	34.16%	97.88%	99.73%

Descriptive Statistics

均值	11.938%
Standard Error	0.360%
中位数	9.894%
Mode	5.444%
Standard Deviation	7.406%
Sample Variance	54.849%
峰度	8.42
偏度	2.33
Range	59.270%
Minimum	2.165%
Maximum	61.435%
Count	424

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.938%	424	100.00%	11.938%
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 0.54. Further, an Excess 峰度 of 3.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -24.16%	4	0.94%	0.94%
-24.16% to -18.11%	1	0.24%	1.18%
-18.11% to -12.06%	13	3.07%	4.25%
-12.06% to -6.01%	61	14.39%	18.63%
-6.01% to 0.04%	157	37.03%	55.66%
0.04% to 6.08%	110	25.94%	81.60%
6.08% to 12.13%	54	12.74%	94.34%
12.13% to 18.18%	13	3.07%	97.41%
18.18% to 24.23%	5	1.18%	98.58%
Greater than 24.23%	6	1.42%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.03%	8.10%	74.29%	68.27%
±2σ	-16.09%	16.16%	95.75%	95.45%
±3σ	-24.16%	24.23%	97.64%	99.73%

Descriptive Statistics

均值	0.036%
Standard Error	0.392%
中位数	-0.661%
Mode	-2.435%
Standard Deviation	8.064%
Sample Variance	65.024%
峰度	3.10
偏度	0.54
Range	64.880%
Minimum	-29.399%
Maximum	35.481%
Count	424

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	6.530%	189	44.58%	2.911%
负向	-5.232%	233	54.95%	-2.875%
Zero	0.000%	2	0.47%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.50. Further, an Excess 峰度 of 0.84 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -43.17%	0	0.00%	0.00%
-43.17% to -31.69%	0	0.00%	0.00%
-31.69% to -20.21%	6	6.19%	6.19%
-20.21% to -8.73%	16	16.49%	22.68%
-8.73% to 2.75%	30	30.93%	53.61%
2.75% to 14.22%	28	28.87%	82.47%
14.22% to 25.70%	12	12.37%	94.85%
25.70% to 37.18%	2	2.06%	96.91%
37.18% to 48.66%	2	2.06%	98.97%
Greater than 48.66%	1	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.56%	18.05%	72.16%	68.27%
±2σ	-27.86%	33.36%	94.85%	95.45%
±3σ	-43.17%	48.66%	98.97%	99.73%

Descriptive Statistics

均值	2.746%
Standard Error	1.554%
中位数	2.669%
Mode	-31.248%
Standard Deviation	15.305%
Sample Variance	234.236%
峰度	0.84
偏度	0.50
Range	81.614%
Minimum	-31.248%
Maximum	50.366%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	13.447%	53	54.64%	7.347%
负向	-10.144%	44	45.36%	-4.601%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	27.76%
12	1 Year	18.61%
36	3 Years	20.76%
60	5 Years	22.62%
120	10 Years	24.35%
240	20 Years	24.35%
600	50 Years	24.35%

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 1.87. Further, an Excess 峰度 of 5.40 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.47%	0	0.00%	0.00%
-11.47% to -1.63%	0	0.00%	0.00%
-1.63% to 8.22%	0	0.00%	0.00%
8.22% to 18.07%	20	20.41%	20.41%
18.07% to 27.92%	37	37.76%	58.16%
27.92% to 37.76%	25	25.51%	83.67%
37.76% to 47.61%	9	9.18%	92.86%
47.61% to 57.46%	3	3.06%	95.92%
57.46% to 67.31%	2	2.04%	97.96%
Greater than 67.31%	2	2.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.79%	41.05%	82.65%	68.27%
±2σ	1.66%	54.18%	95.92%	95.45%
±3σ	-11.47%	67.31%	97.96%	99.73%

Descriptive Statistics

均值	27.916%
Standard Error	1.326%
中位数	25.851%
Mode	29.922%
Standard Deviation	13.130%
Sample Variance	172.392%
峰度	5.40
偏度	1.87
Range	80.518%
Minimum	9.482%
Maximum	90.000%
Count	98

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	27.916%	98	100.00%	27.916%
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 0.49. 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 -44.03%	0	0.00%	0.00%
-44.03% to -33.07%	1	1.02%	1.02%
-33.07% to -22.10%	3	3.06%	4.08%
-22.10% to -11.14%	18	18.37%	22.45%
-11.14% to -0.18%	28	28.57%	51.02%
-0.18% to 10.79%	27	27.55%	78.57%
10.79% to 21.75%	14	14.29%	92.86%
21.75% to 32.71%	5	5.10%	97.96%
32.71% to 43.67%	1	1.02%	98.98%
Greater than 43.67%	1	1.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.80%	14.44%	70.41%	68.27%
±2σ	-29.41%	29.06%	93.88%	95.45%
±3σ	-44.03%	43.67%	98.98%	99.73%

Descriptive Statistics

均值	-0.178%
Standard Error	1.477%
中位数	-1.627%
Mode	-6.658%
Standard Deviation	14.617%
Sample Variance	213.650%
峰度	0.38
偏度	0.49
Range	78.028%
Minimum	-33.953%
Maximum	44.075%
Count	98

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.848%	47	47.96%	5.682%
负向	-11.260%	51	52.04%	-5.860%
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 0.52. Further, an Excess 峰度 of 0.39 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -87.87%	0	0.00%	0.00%
-87.87% to -63.53%	0	0.00%	0.00%
-63.53% to -39.19%	2	6.25%	6.25%
-39.19% to -14.84%	7	21.88%	28.12%
-14.84% to 9.50%	7	21.88%	50.00%
9.50% to 33.85%	10	31.25%	81.25%
33.85% to 58.19%	4	12.50%	93.75%
58.19% to 82.53%	1	3.12%	96.88%
82.53% to 106.88%	1	3.12%	100.00%
Greater than 106.88%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.96%	41.96%	68.75%	68.27%
±2σ	-55.41%	74.42%	93.75%	95.45%
±3σ	-87.87%	106.88%	100.00%	99.73%

Descriptive Statistics

均值	9.502%
Standard Error	5.738%
中位数	8.091%
Mode	-47.811%
Standard Deviation	32.458%
Sample Variance	1053.547%
峰度	0.39
偏度	0.52
Range	141.386%
Minimum	-47.811%
Maximum	93.575%
Count	32

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	28.448%	20	62.50%	17.780%
负向	-22.074%	12	37.50%	-8.278%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	38.17%
12	3 Years	39.82%
20	5 Years	40.69%
40	10 Years	46.22%
80	20 Years	46.22%
200	50 Years	46.22%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.86. Further, an Excess 峰度 of 0.20 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -13.46%	0	0.00%	0.00%
-13.46% to 4.31%	0	0.00%	0.00%
4.31% to 22.08%	1	3.03%	3.03%
22.08% to 39.85%	7	21.21%	24.24%
39.85% to 57.63%	11	33.33%	57.58%
57.63% to 75.40%	7	21.21%	78.79%
75.40% to 93.17%	4	12.12%	90.91%
93.17% to 110.94%	2	6.06%	96.97%
110.94% to 128.71%	1	3.03%	100.00%
Greater than 128.71%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	33.93%	81.32%	72.73%	68.27%
±2σ	10.23%	105.02%	93.94%	95.45%
±3σ	-13.46%	128.71%	100.00%	99.73%

Descriptive Statistics

均值	57.626%
Standard Error	4.125%
中位数	55.679%
Mode	21.624%
Standard Deviation	23.696%
Sample Variance	561.496%
峰度	0.20
偏度	0.86
Range	94.131%
Minimum	21.624%
Maximum	115.755%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	57.626%	33	100.00%	57.626%
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 1.06. Further, an Excess 峰度 of 1.08 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -95.71%	0	0.00%	0.00%
-95.71% to -71.83%	0	0.00%	0.00%
-71.83% to -47.95%	1	3.03%	3.03%
-47.95% to -24.07%	6	18.18%	21.21%
-24.07% to -0.18%	15	45.45%	66.67%
-0.18% to 23.70%	2	6.06%	72.73%
23.70% to 47.58%	7	21.21%	93.94%
47.58% to 71.47%	1	3.03%	96.97%
71.47% to 95.35%	1	3.03%	100.00%
Greater than 95.35%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-32.03%	31.66%	75.76%	68.27%
±2σ	-63.87%	63.51%	93.94%	95.45%
±3σ	-95.71%	95.35%	100.00%	99.73%

Descriptive Statistics

均值	-0.182%
Standard Error	5.543%
中位数	-7.996%
Mode	-48.995%
Standard Deviation	31.844%
Sample Variance	1014.013%
峰度	1.08
偏度	1.06
Range	141.878%
Minimum	-48.995%
Maximum	92.883%
Count	33

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	36.389%	11	33.33%	12.130%
负向	-18.468%	22	66.67%	-12.312%
Zero	0.000%	0	0.00%	0.000%

ZS 深度分析报告