ARKK 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	2.50%	1.99%	2.08%	3.89%	2.62%	2.92%	74.52	78.53	72.59	80.62
周度	5.46%	5.25%	5.50%	9.22%	5.77%	6.42%	72.21	81.05	68.16	85.86
月度	10.42%	10.94%	10.40%	19.46%	12.02%	13.37%	67.84	86.27	60.15	97.29
季度	20.00%	21.41%	20.16%	35.38%	20.82%	23.15%	62.12	94.20	50.45	116.00
Annual	—	—	—	—	41.63%	46.30%	50.45	116.00	33.27	175.91
Option Time Horizon	—	—	—	—	15.86%	17.64%	65.28	89.65	55.70	105.07

Calculation Notes: Computed at 2026-04-26T02:49 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $76.50 | Strike (K): $77.00 (first OTM call ≥ spot) | Observed Mid-价格: $4.7750 (Bid $4.3500 / Ask $5.2000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 41.63% (CRR binomial tree, American, n=20 steps) | BS IV: 41.46% (European Black-Scholes) | Yahoo IV (Annual): 46.30% → 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
2023-09-08	$0.3640
2021-12-29	$0.7830
2020-12-29	$2.0440
2019-12-27	$0.1910
2018-12-27	$1.1680
2017-12-27	$0.4880
2015-12-24	$0.4650

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.03. Further, an Excess 峰度 of 3.22 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -7.41%	12	0.44%	0.44%
-7.41% to -5.54%	46	1.70%	2.14%
-5.54% to -3.66%	109	4.02%	6.16%
-3.66% to -1.79%	341	12.58%	18.74%
-1.79% to 0.08%	788	29.07%	47.81%
0.08% to 1.96%	921	33.97%	81.78%
1.96% to 3.83%	342	12.62%	94.39%
3.83% to 5.70%	110	4.06%	98.45%
5.70% to 7.58%	22	0.81%	99.26%
Greater than 7.58%	20	0.74%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.41%	2.58%	75.21%	68.27%
±2σ	-4.91%	5.08%	94.54%	95.45%
±3σ	-7.41%	7.58%	98.82%	99.73%

Descriptive Statistics

均值	0.084%
Standard Error	0.048%
中位数	0.176%
Mode	0.000%
Standard Deviation	2.498%
Sample Variance	6.239%
峰度	3.22
偏度	0.03
Range	32.209%
Minimum	-15.571%
Maximum	16.638%
Count	2711

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.767%	1455	53.67%	0.948%
负向	-1.880%	1247	46.00%	-0.865%
Zero	0.000%	9	0.33%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.18%
20	1 Month	3.71%
60	1 Quarter	3.73%
250	1 Year	3.13%
750	3 Years	3.30%
1,250	5 Years	3.89%
2,500	10 Years	3.23%
5,000	20 Years	3.09%
12,500	50 Years	3.09%

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 1.82. Further, an Excess 峰度 of 6.27 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -3.20%	0	0.00%	0.00%
-3.20% to -1.71%	0	0.00%	0.00%
-1.71% to -0.22%	0	0.00%	0.00%
-0.22% to 1.28%	564	20.80%	20.80%
1.28% to 2.77%	1056	38.94%	59.73%
2.77% to 4.26%	613	22.60%	82.34%
4.26% to 5.76%	284	10.47%	92.81%
5.76% to 7.25%	113	4.17%	96.98%
7.25% to 8.74%	47	1.73%	98.71%
Greater than 8.74%	35	1.29%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.78%	4.76%	75.55%	68.27%
±2σ	-1.21%	6.75%	95.87%	95.45%
±3σ	-3.20%	8.74%	98.71%	99.73%

Descriptive Statistics

均值	2.770%
Standard Error	0.038%
中位数	2.332%
Mode	2.193%
Standard Deviation	1.991%
Sample Variance	3.965%
峰度	6.27
偏度	1.82
Range	18.269%
Minimum	0.005%
Maximum	18.274%
Count	2712

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.770%	2712	100.00%	2.770%
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 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 -6.16%	16	0.59%	0.59%
-6.16% to -4.59%	26	0.96%	1.55%
-4.59% to -3.03%	103	3.80%	5.35%
-3.03% to -1.47%	328	12.09%	17.44%
-1.47% to 0.09%	935	34.48%	51.92%
0.09% to 1.65%	809	29.83%	81.75%
1.65% to 3.21%	317	11.69%	93.44%
3.21% to 4.77%	114	4.20%	97.64%
4.77% to 6.34%	43	1.59%	99.23%
Greater than 6.34%	21	0.77%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-1.99%	2.17%	75.11%	68.27%
±2σ	-4.07%	4.25%	94.43%	95.45%
±3σ	-6.16%	6.34%	98.64%	99.73%

Descriptive Statistics

均值	0.090%
Standard Error	0.040%
中位数	0.022%
Mode	0.000%
Standard Deviation	2.082%
Sample Variance	4.333%
峰度	3.06
偏度	0.02
Range	24.509%
Minimum	-14.413%
Maximum	10.096%
Count	2712

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.568%	1365	50.33%	0.789%
负向	-1.423%	1334	49.19%	-0.700%
Zero	0.000%	13	0.48%	0.000%

收盘-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 2.17 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.00%	5	0.83%	0.83%
-16.00% to -11.90%	6	1.00%	1.84%
-11.90% to -7.80%	31	5.18%	7.01%
-7.80% to -3.71%	66	11.02%	18.03%
-3.71% to 0.39%	173	28.88%	46.91%
0.39% to 4.49%	204	34.06%	80.97%
4.49% to 8.58%	82	13.69%	94.66%
8.58% to 12.68%	25	4.17%	98.83%
12.68% to 16.78%	4	0.67%	99.50%
Greater than 16.78%	3	0.50%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.07%	5.85%	75.96%	68.27%
±2σ	-10.54%	11.31%	94.82%	95.45%
±3σ	-16.00%	16.78%	98.66%	99.73%

Descriptive Statistics

均值	0.389%
Standard Error	0.223%
中位数	0.619%
Mode	0.000%
Standard Deviation	5.463%
Sample Variance	29.846%
峰度	2.17
偏度	-0.20
Range	48.123%
Minimum	-24.194%
Maximum	23.929%
Count	599

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.883%	341	56.93%	2.211%
负向	-4.279%	255	42.57%	-1.822%
Zero	0.000%	3	0.50%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	9.31%
12	1 Quarter	8.69%
52	1 Year	7.28%
156	3 Years	7.94%
260	5 Years	9.22%
520	10 Years	7.72%
1,040	20 Years	7.23%
2,600	50 Years	7.23%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.36%	0	0.00%	0.00%
-8.36% to -4.42%	0	0.00%	0.00%
-4.42% to -0.48%	0	0.00%	0.00%
-0.48% to 3.46%	130	21.67%	21.67%
3.46% to 7.40%	225	37.50%	59.17%
7.40% to 11.34%	154	25.67%	84.83%
11.34% to 15.28%	44	7.33%	92.17%
15.28% to 19.21%	22	3.67%	95.83%
19.21% to 23.16%	13	2.17%	98.00%
Greater than 23.16%	12	2.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.14%	12.65%	79.00%	68.27%
±2σ	-3.11%	17.90%	95.00%	95.45%
±3σ	-8.36%	23.16%	98.00%	99.73%

Descriptive Statistics

均值	7.396%
Standard Error	0.214%
中位数	6.255%
Mode	5.282%
Standard Deviation	5.253%
Sample Variance	27.590%
峰度	4.67
偏度	1.80
Range	38.174%
Minimum	0.009%
Maximum	38.183%
Count	600

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.396%	600	100.00%	7.396%
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 1.21. Further, an Excess 峰度 of 5.29 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -16.39%	2	0.33%	0.33%
-16.39% to -12.27%	1	0.17%	0.50%
-12.27% to -8.14%	20	3.33%	3.83%
-8.14% to -4.02%	87	14.50%	18.33%
-4.02% to 0.11%	238	39.67%	58.00%
0.11% to 4.23%	149	24.83%	82.83%
4.23% to 8.36%	59	9.83%	92.67%
8.36% to 12.48%	25	4.17%	96.83%
12.48% to 16.61%	13	2.17%	99.00%
Greater than 16.61%	6	1.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.39%	5.61%	77.83%	68.27%
±2σ	-10.89%	11.11%	95.33%	95.45%
±3σ	-16.39%	16.61%	98.67%	99.73%

Descriptive Statistics

均值	0.108%
Standard Error	0.225%
中位数	-0.571%
Mode	-4.378%
Standard Deviation	5.500%
Sample Variance	30.248%
峰度	5.29
偏度	1.21
Range	56.715%
Minimum	-18.946%
Maximum	37.769%
Count	600

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.625%	259	43.17%	1.996%
负向	-3.341%	339	56.50%	-1.888%
Zero	0.000%	2	0.33%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.25. Further, an Excess 峰度 of 0.35 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.70%	0	0.00%	0.00%
-29.70% to -21.88%	1	0.72%	0.72%
-21.88% to -14.06%	5	3.62%	4.35%
-14.06% to -6.25%	26	18.84%	23.19%
-6.25% to 1.57%	44	31.88%	55.07%
1.57% to 9.38%	29	21.01%	76.09%
9.38% to 17.20%	25	18.12%	94.20%
17.20% to 25.02%	4	2.90%	97.10%
25.02% to 32.83%	4	2.90%	100.00%
Greater than 32.83%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.85%	11.99%	65.94%	68.27%
±2σ	-19.27%	22.41%	94.20%	95.45%
±3σ	-29.69%	32.83%	100.00%	99.73%

Descriptive Statistics

均值	1.568%
Standard Error	0.887%
中位数	0.694%
Mode	-28.903%
Standard Deviation	10.421%
Sample Variance	108.601%
峰度	0.35
偏度	0.25
Range	60.345%
Minimum	-28.903%
Maximum	31.442%
Count	138

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	8.554%	77	55.80%	4.773%
负向	-7.252%	61	44.20%	-3.206%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	17.38%
12	1 Year	16.62%
36	3 Years	17.40%
60	5 Years	19.46%
120	10 Years	16.89%
240	20 Years	15.81%
600	50 Years	15.81%

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 1.58. Further, an Excess 峰度 of 3.88 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -15.35%	0	0.00%	0.00%
-15.35% to -7.15%	0	0.00%	0.00%
-7.15% to 1.06%	1	0.72%	0.72%
1.06% to 9.26%	34	24.46%	25.18%
9.26% to 17.47%	44	31.65%	56.83%
17.47% to 25.68%	35	25.18%	82.01%
25.68% to 33.88%	15	10.79%	92.81%
33.88% to 42.09%	5	3.60%	96.40%
42.09% to 50.29%	2	1.44%	97.84%
Greater than 50.29%	3	2.16%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.53%	28.41%	76.26%	68.27%
±2σ	-4.41%	39.35%	96.40%	95.45%
±3σ	-15.35%	50.29%	97.84%	99.73%

Descriptive Statistics

均值	17.469%
Standard Error	0.928%
中位数	15.255%
Mode	0.196%
Standard Deviation	10.941%
Sample Variance	119.700%
峰度	3.88
偏度	1.58
Range	68.131%
Minimum	0.196%
Maximum	68.327%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.469%	139	100.00%	17.469%
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 0.57. 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 -31.39%	0	0.00%	0.00%
-31.39% to -23.59%	0	0.00%	0.00%
-23.59% to -15.79%	6	4.32%	4.32%
-15.79% to -7.99%	25	17.99%	22.30%
-7.99% to -0.18%	40	28.78%	51.08%
-0.18% to 7.62%	40	28.78%	79.86%
7.62% to 15.42%	20	14.39%	94.24%
15.42% to 23.22%	5	3.60%	97.84%
23.22% to 31.02%	2	1.44%	99.28%
Greater than 31.02%	1	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-10.59%	10.22%	69.78%	68.27%
±2σ	-20.99%	20.62%	94.96%	95.45%
±3σ	-31.39%	31.02%	99.28%	99.73%

Descriptive Statistics

均值	-0.185%
Standard Error	0.882%
中位数	-0.465%
Mode	-23.552%
Standard Deviation	10.402%
Sample Variance	108.192%
峰度	1.42
偏度	0.57
Range	65.213%
Minimum	-23.552%
Maximum	41.661%
Count	139

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	7.843%	67	48.20%	3.780%
负向	-7.656%	72	51.80%	-3.966%
Zero	0.000%	0	0.00%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.34. Further, an Excess 峰度 of 0.59 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.96%	0	0.00%	0.00%
-54.96% to -39.96%	0	0.00%	0.00%
-39.96% to -24.96%	3	6.52%	6.52%
-24.96% to -9.97%	6	13.04%	19.57%
-9.97% to 5.03%	18	39.13%	58.70%
5.03% to 20.03%	13	28.26%	86.96%
20.03% to 35.02%	1	2.17%	89.13%
35.02% to 50.02%	4	8.70%	97.83%
50.02% to 65.02%	1	2.17%	100.00%
Greater than 65.02%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-14.97%	25.03%	73.91%	68.27%
±2σ	-34.96%	45.02%	89.13%	95.45%
±3σ	-54.96%	65.02%	100.00%	99.73%

Descriptive Statistics

均值	5.030%
Standard Error	2.948%
中位数	3.079%
Mode	-37.518%
Standard Deviation	19.996%
Sample Variance	399.831%
峰度	0.59
偏度	0.34
Range	91.322%
Minimum	-37.518%
Maximum	53.804%
Count	46

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	16.477%	28	60.87%	10.030%
负向	-12.776%	18	39.13%	-4.999%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	33.66%
12	3 Years	35.84%
20	5 Years	35.38%
40	10 Years	31.50%
80	20 Years	29.67%
200	50 Years	29.67%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 1.00. Further, an Excess 峰度 of 0.51 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -29.33%	0	0.00%	0.00%
-29.33% to -13.27%	0	0.00%	0.00%
-13.27% to 2.79%	1	2.13%	2.13%
2.79% to 18.84%	10	21.28%	23.40%
18.84% to 34.90%	19	40.43%	63.83%
34.90% to 50.96%	8	17.02%	80.85%
50.96% to 67.02%	4	8.51%	89.36%
67.02% to 83.07%	3	6.38%	95.74%
83.07% to 99.13%	2	4.26%	100.00%
Greater than 99.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.49%	56.31%	70.21%	68.27%
±2σ	-7.92%	77.72%	95.74%	95.45%
±3σ	-29.33%	99.13%	100.00%	99.73%

Descriptive Statistics

均值	34.902%
Standard Error	3.123%
中位数	27.929%
Mode	0.196%
Standard Deviation	21.410%
Sample Variance	458.405%
峰度	0.51
偏度	1.00
Range	95.391%
Minimum	0.196%
Maximum	95.587%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	34.902%	47	100.00%	34.902%
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 1.26. Further, an Excess 峰度 of 2.84 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.37%	0	0.00%	0.00%
-61.37% to -46.25%	0	0.00%	0.00%
-46.25% to -31.13%	2	4.26%	4.26%
-31.13% to -16.01%	5	10.64%	14.89%
-16.01% to -0.90%	19	40.43%	55.32%
-0.90% to 14.22%	13	27.66%	82.98%
14.22% to 29.34%	5	10.64%	93.62%
29.34% to 44.46%	1	2.13%	95.74%
44.46% to 59.58%	0	0.00%	95.74%
Greater than 59.58%	2	4.26%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.05%	19.26%	78.72%	68.27%
±2σ	-41.21%	39.42%	93.62%	95.45%
±3σ	-61.37%	59.58%	95.74%	99.73%

Descriptive Statistics

均值	-0.895%
Standard Error	2.940%
中位数	-1.981%
Mode	-33.084%
Standard Deviation	20.158%
Sample Variance	406.340%
峰度	2.84
偏度	1.26
Range	95.804%
Minimum	-33.084%
Maximum	62.720%
Count	47

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	15.390%	20	42.55%	6.549%
负向	-12.959%	27	57.45%	-7.445%
Zero	0.000%	0	0.00%	0.000%

ARKK 深度分析报告