ABG 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	3.18%	3.34%	2.95%	3.61%	2.58%	2.85%	208.34	219.36	203.03	225.09
周度	6.91%	8.70%	7.41%	8.34%	5.68%	6.28%	201.98	226.27	190.84	239.48
月度	14.41%	37.24%	19.11%	17.53%	11.82%	13.07%	189.95	240.59	168.78	270.77
季度	27.22%	88.58%	30.43%	29.74%	20.47%	22.64%	174.21	262.33	141.97	321.91
Annual	—	—	—	—	40.93%	45.28%	141.97	321.91	94.28	484.74
Option Time Horizon	—	—	—	—	14.69%	16.25%	184.58	247.60	159.36	286.78

Calculation Notes: Computed at 2026-03-01T12:16 UTC | Reference Contract: Call option expiring 2026-04-17 (47 days) | Spot 价格 (S): $213.78 | Strike (K): $220.00 (first OTM call ≥ spot) | Observed Mid-价格: $10.4000 (Bid $9.5000 / Ask $11.3000) | Risk-Free Rate (r): 3.74% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 40.93% (CRR binomial tree, American, n=20 steps) | BS IV: 41.42% (European Black-Scholes) | Yahoo IV (Annual): 45.28% → period-scaled as σ_period = σ_annual·√h | 价格 bands: Upper = S·e^+σ√h, 低er = S·e^−σ√h

Historical Dividend Payouts

Ex-Dividend Date	Amount
2008-07-30	$0.2250
2008-05-15	$0.2250
2008-02-06	$0.2250
2007-11-01	$0.2250
2007-08-02	$0.2250
2007-05-09	$0.2000
2007-01-24	$0.2000
2006-10-31	$0.2000
2006-08-09	$0.2000

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.47. Further, an Excess 峰度 of 12.69 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.45%	42	0.69%	0.69%
-9.45% to -7.06%	62	1.02%	1.72%
-7.06% to -4.68%	154	2.54%	4.26%
-4.68% to -2.29%	647	10.67%	14.93%
-2.29% to 0.10%	2163	35.68%	50.61%
0.10% to 2.48%	2114	34.87%	85.48%
2.48% to 4.87%	609	10.05%	95.53%
4.87% to 7.25%	163	2.69%	98.22%
7.25% to 9.64%	52	0.86%	99.08%
Greater than 9.64%	56	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.09%	3.28%	80.80%	68.27%
±2σ	-6.27%	6.46%	95.32%	95.45%
±3σ	-9.45%	9.64%	98.38%	99.73%

Descriptive Statistics

均值	0.095%
Standard Error	0.041%
中位数	0.067%
Mode	0.000%
Standard Deviation	3.182%
Sample Variance	10.124%
峰度	12.69
偏度	0.47
Range	61.492%
Minimum	-29.577%
Maximum	31.915%
Count	6062

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.133%	3086	50.91%	1.086%
负向	-2.063%	2912	48.04%	-0.991%
Zero	0.000%	64	1.06%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.18%
20	1 Month	3.07%
60	1 Quarter	3.50%
250	1 Year	3.22%
750	3 Years	3.24%
1,250	5 Years	3.61%
2,500	10 Years	3.59%
5,000	20 Years	4.00%
12,500	50 Years	3.95%

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 7.03. Further, an Excess 峰度 of 113.04 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.15%	0	0.00%	0.00%
-6.15% to -3.65%	0	0.00%	0.00%
-3.65% to -1.14%	0	0.00%	0.00%
-1.14% to 1.36%	284	4.68%	4.68%
1.36% to 3.86%	3783	62.39%	67.08%
3.86% to 6.37%	1331	21.95%	89.03%
6.37% to 8.87%	360	5.94%	94.97%
8.87% to 11.37%	139	2.29%	97.26%
11.37% to 13.88%	74	1.22%	98.48%
Greater than 13.88%	92	1.52%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.52%	7.20%	91.70%	68.27%
±2σ	-2.81%	10.54%	96.64%	95.45%
±3σ	-6.15%	13.88%	98.48%	99.73%

Descriptive Statistics

均值	3.863%
Standard Error	0.043%
中位数	3.034%
Mode	2.041%
Standard Deviation	3.338%
Sample Variance	11.145%
峰度	113.04
偏度	7.03
Range	92.141%
Minimum	0.359%
Maximum	92.500%
Count	6063

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.863%	6063	100.00%	3.863%
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 0.96. Further, an Excess 峰度 of 22.46 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.81%	45	0.74%	0.74%
-8.81% to -6.60%	43	0.71%	1.45%
-6.60% to -4.39%	151	2.49%	3.94%
-4.39% to -2.18%	639	10.54%	14.48%
-2.18% to 0.03%	2265	37.36%	51.84%
0.03% to 2.24%	2043	33.70%	85.54%
2.24% to 4.45%	604	9.96%	95.50%
4.45% to 6.66%	165	2.72%	98.22%
6.66% to 8.87%	60	0.99%	99.21%
Greater than 8.87%	48	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.92%	2.98%	81.15%	68.27%
±2σ	-5.86%	5.92%	95.86%	95.45%
±3σ	-8.81%	8.87%	98.47%	99.73%

Descriptive Statistics

均值	0.031%
Standard Error	0.038%
中位数	-0.030%
Mode	0.000%
Standard Deviation	2.946%
Sample Variance	8.681%
峰度	22.46
偏度	0.96
Range	73.723%
Minimum	-28.723%
Maximum	45.000%
Count	6063

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.984%	2938	48.46%	0.961%
负向	-1.850%	3049	50.29%	-0.930%
Zero	0.000%	76	1.25%	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 0.71. Further, an Excess 峰度 of 15.34 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -20.29%	7	0.56%	0.56%
-20.29% to -15.10%	9	0.72%	1.27%
-15.10% to -9.92%	36	2.86%	4.14%
-9.92% to -4.73%	127	10.10%	14.24%
-4.73% to 0.45%	463	36.83%	51.07%
0.45% to 5.64%	434	34.53%	85.60%
5.64% to 10.82%	128	10.18%	95.78%
10.82% to 16.01%	34	2.70%	98.49%
16.01% to 21.19%	10	0.80%	99.28%
Greater than 21.19%	9	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.46%	7.37%	81.23%	68.27%
±2σ	-13.37%	14.28%	95.62%	95.45%
±3σ	-20.29%	21.19%	98.73%	99.73%

Descriptive Statistics

均值	0.454%
Standard Error	0.195%
中位数	0.352%
Mode	-2.425%
Standard Deviation	6.913%
Sample Variance	47.793%
峰度	15.34
偏度	0.71
Range	113.420%
Minimum	-46.753%
Maximum	66.667%
Count	1257

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.710%	661	52.59%	2.477%
负向	-4.274%	595	47.34%	-2.023%
Zero	0.000%	1	0.08%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	6.34%
12	1 Quarter	7.48%
52	1 Year	7.23%
156	3 Years	7.34%
260	5 Years	8.34%
520	10 Years	8.29%
1,040	20 Years	9.25%
2,600	50 Years	9.15%

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 5.30. Further, an Excess 峰度 of 43.67 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.34%	0	0.00%	0.00%
-16.34% to -9.82%	0	0.00%	0.00%
-9.82% to -3.29%	0	0.00%	0.00%
-3.29% to 3.23%	48	3.82%	3.82%
3.23% to 9.76%	810	64.39%	68.20%
9.76% to 16.29%	264	20.99%	89.19%
16.29% to 22.81%	76	6.04%	95.23%
22.81% to 29.34%	26	2.07%	97.30%
29.34% to 35.86%	13	1.03%	98.33%
Greater than 35.86%	21	1.67%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.06%	18.46%	92.37%	68.27%
±2σ	-7.64%	27.16%	96.66%	95.45%
±3σ	-16.34%	35.86%	98.33%	99.73%

Descriptive Statistics

均值	9.759%
Standard Error	0.245%
中位数	7.665%
Mode	6.264%
Standard Deviation	8.701%
Sample Variance	75.709%
峰度	43.67
偏度	5.30
Range	116.192%
Minimum	1.522%
Maximum	117.714%
Count	1258

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.759%	1258	100.00%	9.759%
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 3.46. Further, an Excess 峰度 of 36.96 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -22.08%	4	0.32%	0.32%
-22.08% to -16.52%	6	0.48%	0.79%
-16.52% to -10.97%	28	2.23%	3.02%
-10.97% to -5.42%	127	10.10%	13.12%
-5.42% to 0.14%	509	40.46%	53.58%
0.14% to 5.69%	429	34.10%	87.68%
5.69% to 11.25%	104	8.27%	95.95%
11.25% to 16.80%	34	2.70%	98.65%
16.80% to 22.36%	7	0.56%	99.21%
Greater than 22.36%	10	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.27%	7.54%	83.62%	68.27%
±2σ	-14.67%	14.95%	96.98%	95.45%
±3σ	-22.08%	22.36%	98.89%	99.73%

Descriptive Statistics

均值	0.138%
Standard Error	0.209%
中位数	-0.176%
Mode	0.000%
Standard Deviation	7.406%
Sample Variance	54.845%
峰度	36.96
偏度	3.46
Range	122.138%
Minimum	-38.723%
Maximum	83.415%
Count	1258

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.849%	596	47.38%	2.297%
负向	-4.147%	655	52.07%	-2.159%
Zero	0.000%	7	0.56%	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 1.91. Further, an Excess 峰度 of 20.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.30%	1	0.35%	0.35%
-41.30% to -30.49%	1	0.35%	0.69%
-30.49% to -19.68%	9	3.11%	3.81%
-19.68% to -8.87%	31	10.73%	14.53%
-8.87% to 1.94%	116	40.14%	54.67%
1.94% to 12.75%	85	29.41%	84.08%
12.75% to 23.56%	36	12.46%	96.54%
23.56% to 34.37%	6	2.08%	98.62%
34.37% to 45.19%	1	0.35%	98.96%
Greater than 45.19%	3	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.47%	16.36%	83.04%	68.27%
±2σ	-26.88%	30.77%	96.89%	95.45%
±3σ	-41.30%	45.18%	98.62%	99.73%

Descriptive Statistics

均值	1.943%
Standard Error	0.848%
中位数	1.072%
Mode	-7.471%
Standard Deviation	14.414%
Sample Variance	207.764%
峰度	20.28
偏度	1.91
Range	196.150%
Minimum	-71.788%
Maximum	124.362%
Count	289

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.917%	163	56.40%	5.593%
负向	-8.440%	125	43.25%	-3.651%
Zero	0.000%	1	0.35%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	13.58%
12	1 Year	14.44%
36	3 Years	15.87%
60	5 Years	17.53%
120	10 Years	17.60%
240	20 Years	19.42%
600	50 Years	19.25%

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 10.92. Further, an Excess 峰度 of 145.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -88.15%	0	0.00%	0.00%
-88.15% to -60.22%	0	0.00%	0.00%
-60.22% to -32.28%	0	0.00%	0.00%
-32.28% to -4.35%	0	0.00%	0.00%
-4.35% to 23.58%	209	72.07%	72.07%
23.58% to 51.51%	69	23.79%	95.86%
51.51% to 79.45%	6	2.07%	97.93%
79.45% to 107.38%	2	0.69%	98.62%
107.38% to 135.31%	0	0.00%	98.62%
Greater than 135.31%	4	1.38%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.66%	60.83%	96.90%	68.27%
±2σ	-50.91%	98.07%	98.28%	95.45%
±3σ	-88.15%	135.31%	98.62%	99.73%

Descriptive Statistics

均值	23.581%
Standard Error	2.187%
中位数	16.684%
Mode	3.556%
Standard Deviation	37.244%
Sample Variance	1387.100%
峰度	145.94
偏度	10.92
Range	550.158%
Minimum	3.556%
Maximum	553.714%
Count	290

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.581%	290	100.00%	23.581%
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 7.77. Further, an Excess 峰度 of 99.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -56.99%	0	0.00%	0.00%
-56.99% to -42.66%	1	0.34%	0.34%
-42.66% to -28.33%	2	0.69%	1.03%
-28.33% to -14.00%	20	6.90%	7.93%
-14.00% to 0.33%	137	47.24%	55.17%
0.33% to 14.66%	108	37.24%	92.41%
14.66% to 28.99%	17	5.86%	98.28%
28.99% to 43.33%	3	1.03%	99.31%
43.33% to 57.66%	0	0.00%	99.31%
Greater than 57.66%	2	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.78%	19.44%	90.00%	68.27%
±2σ	-37.88%	38.55%	97.93%	95.45%
±3σ	-56.99%	57.66%	99.31%	99.73%

Descriptive Statistics

均值	0.332%
Standard Error	1.122%
中位数	-1.011%
Mode	-10.010%
Standard Deviation	19.108%
Sample Variance	365.130%
峰度	99.88
偏度	7.77
Range	306.005%
Minimum	-56.774%
Maximum	249.231%
Count	290

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.654%	135	46.55%	4.960%
负向	-8.657%	155	53.45%	-4.627%
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 2.16. Further, an Excess 峰度 of 13.38 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -75.95%	0	0.00%	0.00%
-75.95% to -55.53%	1	1.04%	1.04%
-55.53% to -35.12%	3	3.12%	4.17%
-35.12% to -14.70%	13	13.54%	17.71%
-14.70% to 5.72%	34	35.42%	53.12%
5.72% to 26.14%	31	32.29%	85.42%
26.14% to 46.56%	11	11.46%	96.88%
46.56% to 66.97%	2	2.08%	98.96%
66.97% to 87.39%	0	0.00%	98.96%
Greater than 87.39%	1	1.04%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.50%	32.95%	82.29%	68.27%
±2σ	-48.73%	60.17%	96.88%	95.45%
±3σ	-75.95%	87.39%	98.96%	99.73%

Descriptive Statistics

均值	5.721%
Standard Error	2.779%
中位数	4.500%
Mode	-67.205%
Standard Deviation	27.224%
Sample Variance	741.129%
峰度	13.38
偏度	2.16
Range	237.317%
Minimum	-67.205%
Maximum	170.112%
Count	96

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	20.278%	57	59.38%	12.040%
负向	-15.554%	39	40.62%	-6.319%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	23.40%
12	3 Years	27.80%
20	5 Years	29.74%
40	10 Years	31.11%
80	20 Years	35.60%
200	50 Years	34.86%

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 6.30. Further, an Excess 峰度 of 42.26 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -214.87%	0	0.00%	0.00%
-214.87% to -148.43%	0	0.00%	0.00%
-148.43% to -82.00%	0	0.00%	0.00%
-82.00% to -15.56%	0	0.00%	0.00%
-15.56% to 50.88%	78	80.41%	80.41%
50.88% to 117.32%	15	15.46%	95.88%
117.32% to 183.75%	2	2.06%	97.94%
183.75% to 250.19%	0	0.00%	97.94%
250.19% to 316.63%	0	0.00%	97.94%
Greater than 316.63%	2	2.06%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-37.70%	139.46%	96.91%	68.27%
±2σ	-126.29%	228.05%	97.94%	95.45%
±3σ	-214.87%	316.63%	97.94%	99.73%

Descriptive Statistics

均值	50.880%
Standard Error	8.994%
中位数	32.500%
Mode	14.594%
Standard Deviation	88.583%
Sample Variance	7846.896%
峰度	42.26
偏度	6.30
Range	697.977%
Minimum	14.594%
Maximum	712.571%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	50.880%	97	100.00%	50.880%
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 3.37. Further, an Excess 峰度 of 19.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -90.38%	0	0.00%	0.00%
-90.38% to -67.56%	0	0.00%	0.00%
-67.56% to -44.75%	1	1.03%	1.03%
-44.75% to -21.93%	12	12.37%	13.40%
-21.93% to 0.89%	47	48.45%	61.86%
0.89% to 23.71%	27	27.84%	89.69%
23.71% to 46.53%	5	5.15%	94.85%
46.53% to 69.35%	3	3.09%	97.94%
69.35% to 92.17%	1	1.03%	98.97%
Greater than 92.17%	1	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-29.53%	31.32%	88.66%	68.27%
±2σ	-59.96%	61.74%	94.85%	95.45%
±3σ	-90.38%	92.17%	98.97%	99.73%

Descriptive Statistics

均值	0.891%
Standard Error	3.089%
中位数	-4.300%
Mode	-63.806%
Standard Deviation	30.425%
Sample Variance	925.655%
峰度	19.88
偏度	3.37
Range	266.575%
Minimum	-63.806%
Maximum	202.769%
Count	97

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	23.579%	40	41.24%	9.723%
负向	-15.030%	57	58.76%	-8.832%
Zero	0.000%	0	0.00%	0.000%

ABG 深度分析报告