AMZN 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	3.47%	3.29%	2.91%	2.89%	2.38%	2.46%	257.78	270.35	251.71	276.87
周度	8.08%	9.10%	7.83%	7.00%	5.24%	5.42%	250.50	278.20	237.71	293.18
月度	16.16%	21.36%	14.81%	14.90%	10.92%	11.28%	236.69	294.44	212.21	328.40
季度	31.60%	53.19%	25.02%	24.88%	18.91%	19.54%	218.51	318.93	180.87	385.31
Annual	—	—	—	—	37.81%	39.08%	180.87	385.31	123.92	562.40
Option Time Horizon	—	—	—	—	14.41%	14.89%	228.56	304.91	197.89	352.17

Calculation Notes: Computed at 2026-04-26T02:43 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $263.99 | Strike (K): $265.00 (first OTM call ≥ spot) | Observed Mid-价格: $15.2500 (Bid $15.1500 / Ask $15.3500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 37.81% (CRR binomial tree, American, n=20 steps) | BS IV: 37.55% (European Black-Scholes) | Yahoo IV (Annual): 39.08% → 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 1.06. Further, an Excess 峰度 of 11.49 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.25%	58	0.80%	0.80%
-10.25% to -7.65%	70	0.96%	1.76%
-7.65% to -5.04%	190	2.61%	4.37%
-5.04% to -2.44%	663	9.11%	13.48%
-2.44% to 0.17%	2849	39.13%	52.61%
0.17% to 2.77%	2546	34.97%	87.58%
2.77% to 5.38%	570	7.83%	95.41%
5.38% to 7.99%	164	2.25%	97.66%
7.99% to 10.59%	75	1.03%	98.70%
Greater than 10.59%	95	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.31%	3.64%	82.65%	68.27%
±2σ	-6.78%	7.12%	94.71%	95.45%
±3σ	-10.25%	10.59%	97.90%	99.73%

Descriptive Statistics

均值	0.168%
Standard Error	0.041%
中位数	0.049%
Mode	0.000%
Standard Deviation	3.474%
Sample Variance	12.068%
峰度	11.49
偏度	1.06
Range	59.237%
Minimum	-24.766%
Maximum	34.471%
Count	7280

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.301%	3716	51.04%	1.175%
负向	-2.078%	3526	48.43%	-1.006%
Zero	0.000%	38	0.52%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.60%
20	1 Month	3.04%
60	1 Quarter	3.04%
250	1 Year	2.53%
750	3 Years	2.60%
1,250	5 Years	2.89%
2,500	10 Years	2.58%
5,000	20 Years	2.91%
12,500	50 Years	3.99%

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 2.90. Further, an Excess 峰度 of 12.54 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -6.07%	0	0.00%	0.00%
-6.07% to -3.60%	0	0.00%	0.00%
-3.60% to -1.14%	0	0.00%	0.00%
-1.14% to 1.33%	745	10.23%	10.23%
1.33% to 3.80%	4223	58.00%	68.23%
3.80% to 6.27%	1279	17.57%	85.80%
6.27% to 8.73%	476	6.54%	92.34%
8.73% to 11.20%	271	3.72%	96.06%
11.20% to 13.67%	131	1.80%	97.86%
Greater than 13.67%	156	2.14%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.51%	7.09%	88.42%	68.27%
±2σ	-2.78%	10.38%	95.11%	95.45%
±3σ	-6.07%	13.67%	97.86%	99.73%

Descriptive Statistics

均值	3.800%
Standard Error	0.039%
中位数	2.746%
Mode	1.911%
Standard Deviation	3.290%
Sample Variance	10.823%
峰度	12.54
偏度	2.90
Range	32.894%
Minimum	0.375%
Maximum	33.269%
Count	7281

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.800%	7281	100.00%	3.800%
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 0.06. Further, an Excess 峰度 of 9.00 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.75%	71	0.98%	0.98%
-8.75% to -6.57%	82	1.13%	2.10%
-6.57% to -4.38%	181	2.49%	4.59%
-4.38% to -2.19%	664	9.12%	13.71%
-2.19% to -0.01%	2635	36.19%	49.90%
-0.01% to 2.18%	2651	36.41%	86.31%
2.18% to 4.36%	654	8.98%	95.29%
4.36% to 6.55%	196	2.69%	97.98%
6.55% to 8.73%	72	0.99%	98.97%
Greater than 8.73%	75	1.03%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.92%	2.91%	81.44%	68.27%
±2σ	-5.84%	5.82%	94.57%	95.45%
±3σ	-8.75%	8.73%	97.99%	99.73%

Descriptive Statistics

均值	-0.009%
Standard Error	0.034%
中位数	-0.004%
Mode	0.000%
Standard Deviation	2.914%
Sample Variance	8.492%
峰度	9.00
偏度	0.06
Range	48.315%
Minimum	-22.420%
Maximum	25.895%
Count	7281

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.890%	3601	49.46%	0.935%
负向	-1.886%	3645	50.06%	-0.944%
Zero	0.000%	35	0.48%	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 1.34. Further, an Excess 峰度 of 10.35 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.40%	7	0.46%	0.46%
-23.40% to -17.34%	20	1.32%	1.79%
-17.34% to -11.28%	48	3.18%	4.97%
-11.28% to -5.22%	138	9.14%	14.11%
-5.22% to 0.84%	575	38.08%	52.19%
0.84% to 6.91%	530	35.10%	87.28%
6.91% to 12.97%	121	8.01%	95.30%
12.97% to 19.03%	37	2.45%	97.75%
19.03% to 25.09%	15	0.99%	98.74%
Greater than 25.09%	19	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.24%	8.93%	82.19%	68.27%
±2σ	-15.32%	17.01%	94.57%	95.45%
±3σ	-23.40%	25.09%	98.28%	99.73%

Descriptive Statistics

均值	0.845%
Standard Error	0.208%
中位数	0.562%
Mode	0.433%
Standard Deviation	8.082%
Sample Variance	65.312%
峰度	10.35
偏度	1.34
Range	110.521%
Minimum	-37.848%
Maximum	72.673%
Count	1510

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.520%	824	54.57%	3.012%
负向	-4.785%	684	45.30%	-2.168%
Zero	0.000%	2	0.13%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.53%
12	1 Quarter	8.16%
52	1 Year	6.37%
156	3 Years	6.23%
260	5 Years	7.00%
520	10 Years	6.30%
1,040	20 Years	7.01%
2,600	50 Years	9.61%

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 2.70. Further, an Excess 峰度 of 10.31 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -17.01%	0	0.00%	0.00%
-17.01% to -10.19%	0	0.00%	0.00%
-10.19% to -3.37%	0	0.00%	0.00%
-3.37% to 3.46%	144	9.53%	9.53%
3.46% to 10.28%	892	59.03%	68.56%
10.28% to 17.10%	254	16.81%	85.37%
17.10% to 23.92%	108	7.15%	92.52%
23.92% to 30.74%	49	3.24%	95.76%
30.74% to 37.56%	30	1.99%	97.75%
Greater than 37.56%	34	2.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.18%	19.37%	87.76%	68.27%
±2σ	-7.91%	28.47%	95.10%	95.45%
±3σ	-17.01%	37.56%	97.75%	99.73%

Descriptive Statistics

均值	10.278%
Standard Error	0.234%
中位数	7.094%
Mode	2.483%
Standard Deviation	9.095%
Sample Variance	82.711%
峰度	10.31
偏度	2.70
Range	85.985%
Minimum	0.987%
Maximum	86.972%
Count	1511

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.278%	1511	100.00%	10.278%
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 0.91. Further, an Excess 峰度 of 8.01 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.59%	11	0.73%	0.73%
-23.59% to -17.72%	19	1.26%	1.99%
-17.72% to -11.84%	34	2.25%	4.24%
-11.84% to -5.97%	134	8.87%	13.10%
-5.97% to -0.09%	618	40.90%	54.00%
-0.09% to 5.78%	495	32.76%	86.76%
5.78% to 11.66%	115	7.61%	94.37%
11.66% to 17.53%	42	2.78%	97.15%
17.53% to 23.41%	24	1.59%	98.74%
Greater than 23.41%	19	1.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.93%	7.74%	82.00%	68.27%
±2σ	-15.76%	15.57%	94.11%	95.45%
±3σ	-23.59%	23.41%	98.01%	99.73%

Descriptive Statistics

均值	-0.093%
Standard Error	0.202%
中位数	-0.562%
Mode	-2.437%
Standard Deviation	7.833%
Sample Variance	61.361%
峰度	8.01
偏度	0.91
Range	104.761%
Minimum	-40.657%
Maximum	64.104%
Count	1511

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.481%	682	45.14%	2.474%
负向	-4.689%	827	54.73%	-2.566%
Zero	0.000%	2	0.13%	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 2.08. Further, an Excess 峰度 of 12.47 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -44.97%	0	0.00%	0.00%
-44.97% to -32.85%	3	0.86%	0.86%
-32.85% to -20.73%	10	2.88%	3.75%
-20.73% to -8.61%	40	11.53%	15.27%
-8.61% to 3.51%	135	38.90%	54.18%
3.51% to 15.63%	118	34.01%	88.18%
15.63% to 27.75%	26	7.49%	95.68%
27.75% to 39.87%	7	2.02%	97.69%
39.87% to 51.99%	1	0.29%	97.98%
Greater than 51.99%	7	2.02%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.65%	19.67%	82.13%	68.27%
±2σ	-28.81%	35.83%	95.39%	95.45%
±3σ	-44.97%	51.99%	97.98%	99.73%

Descriptive Statistics

均值	3.507%
Standard Error	0.868%
中位数	2.437%
Mode	-3.276%
Standard Deviation	16.160%
Sample Variance	261.140%
峰度	12.47
偏度	2.08
Range	167.538%
Minimum	-41.155%
Maximum	126.383%
Count	347

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.007%	205	59.08%	7.093%
负向	-8.765%	142	40.92%	-3.587%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	19.96%
12	1 Year	14.06%
36	3 Years	13.37%
60	5 Years	14.90%
120	10 Years	13.73%
240	20 Years	15.25%
600	50 Years	21.37%

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 2.43. Further, an Excess 峰度 of 7.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.41%	0	0.00%	0.00%
-39.41% to -23.39%	0	0.00%	0.00%
-23.39% to -7.37%	0	0.00%	0.00%
-7.37% to 8.65%	40	11.49%	11.49%
8.65% to 24.67%	198	56.90%	68.39%
24.67% to 40.69%	58	16.67%	85.06%
40.69% to 56.71%	21	6.03%	91.09%
56.71% to 72.73%	15	4.31%	95.40%
72.73% to 88.75%	8	2.30%	97.70%
Greater than 88.75%	8	2.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	3.31%	46.03%	86.78%	68.27%
±2σ	-18.05%	67.39%	94.54%	95.45%
±3σ	-39.41%	88.75%	97.70%	99.73%

Descriptive Statistics

均值	24.670%
Standard Error	1.145%
中位数	17.373%
Mode	6.227%
Standard Deviation	21.360%
Sample Variance	456.244%
峰度	7.28
偏度	2.43
Range	150.657%
Minimum	3.282%
Maximum	153.939%
Count	348

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	24.670%	348	100.00%	24.670%
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 0.89. Further, an Excess 峰度 of 4.17 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -45.48%	2	0.57%	0.57%
-45.48% to -34.37%	5	1.44%	2.01%
-34.37% to -23.26%	5	1.44%	3.45%
-23.26% to -12.15%	43	12.36%	15.80%
-12.15% to -1.03%	139	39.94%	55.75%
-1.03% to 10.08%	103	29.60%	85.34%
10.08% to 21.19%	27	7.76%	93.10%
21.19% to 32.30%	14	4.02%	97.13%
32.30% to 43.41%	5	1.44%	98.56%
Greater than 43.41%	5	1.44%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-15.85%	13.78%	80.75%	68.27%
±2σ	-30.66%	28.59%	93.68%	95.45%
±3σ	-45.48%	43.41%	97.99%	99.73%

Descriptive Statistics

均值	-1.035%
Standard Error	0.794%
中位数	-2.335%
Mode	-7.626%
Standard Deviation	14.815%
Sample Variance	219.483%
峰度	4.17
偏度	0.89
Range	124.602%
Minimum	-55.890%
Maximum	68.712%
Count	348

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.473%	140	40.23%	4.616%
负向	-9.454%	208	59.77%	-5.651%
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 2.28. Further, an Excess 峰度 of 9.24 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -84.20%	0	0.00%	0.00%
-84.20% to -60.50%	0	0.00%	0.00%
-60.50% to -36.80%	4	3.48%	3.48%
-36.80% to -13.11%	13	11.30%	14.78%
-13.11% to 10.59%	48	41.74%	56.52%
10.59% to 34.29%	36	31.30%	87.83%
34.29% to 57.99%	9	7.83%	95.65%
57.99% to 81.69%	1	0.87%	96.52%
81.69% to 105.39%	1	0.87%	97.39%
Greater than 105.39%	3	2.61%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.01%	42.19%	84.35%	68.27%
±2σ	-52.60%	73.79%	95.65%	95.45%
±3σ	-84.20%	105.39%	97.39%	99.73%

Descriptive Statistics

均值	10.594%
Standard Error	2.947%
中位数	6.788%
Mode	-52.730%
Standard Deviation	31.599%
Sample Variance	998.473%
峰度	9.24
偏度	2.28
Range	230.189%
Minimum	-52.730%
Maximum	177.459%
Count	115

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	25.001%	72	62.61%	15.653%
负向	-13.530%	43	37.39%	-5.059%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	22.89%
12	3 Years	24.19%
20	5 Years	24.88%
40	10 Years	23.96%
80	20 Years	27.94%
200	50 Years	40.99%

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 3.57. Further, an Excess 峰度 of 16.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -108.19%	0	0.00%	0.00%
-108.19% to -68.30%	0	0.00%	0.00%
-68.30% to -28.41%	0	0.00%	0.00%
-28.41% to 11.48%	0	0.00%	0.00%
11.48% to 51.37%	88	75.86%	75.86%
51.37% to 91.26%	12	10.34%	86.21%
91.26% to 131.14%	8	6.90%	93.10%
131.14% to 171.03%	4	3.45%	96.55%
171.03% to 210.92%	2	1.72%	98.28%
Greater than 210.92%	2	1.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.82%	104.55%	87.93%	68.27%
±2σ	-55.00%	157.74%	95.69%	95.45%
±3σ	-108.19%	210.92%	98.28%	99.73%

Descriptive Statistics

均值	51.367%
Standard Error	4.938%
中位数	34.850%
Mode	23.021%
Standard Deviation	53.185%
Sample Variance	2828.602%
峰度	16.95
偏度	3.57
Range	383.117%
Minimum	11.603%
Maximum	394.720%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	51.367%	116	100.00%	51.367%
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 1.39. Further, an Excess 峰度 of 4.94 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -78.54%	0	0.00%	0.00%
-78.54% to -59.78%	1	0.86%	0.86%
-59.78% to -41.01%	3	2.59%	3.45%
-41.01% to -22.25%	16	13.79%	17.24%
-22.25% to -3.48%	43	37.07%	54.31%
-3.48% to 15.28%	37	31.90%	86.21%
15.28% to 34.05%	12	10.34%	96.55%
34.05% to 52.81%	0	0.00%	96.55%
52.81% to 71.58%	1	0.86%	97.41%
Greater than 71.58%	3	2.59%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-28.50%	21.54%	81.03%	68.27%
±2σ	-53.52%	46.56%	93.97%	95.45%
±3σ	-78.54%	71.58%	97.41%	99.73%

Descriptive Statistics

均值	-3.484%
Standard Error	2.323%
中位数	-5.806%
Mode	-63.478%
Standard Deviation	25.020%
Sample Variance	625.981%
峰度	4.94
偏度	1.39
Range	170.337%
Minimum	-63.478%
Maximum	106.859%
Count	116

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.942%	46	39.66%	7.115%
负向	-17.564%	70	60.34%	-10.599%
Zero	0.000%	0	0.00%	0.000%

AMZN 深度分析报告