ASO 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	2.96%	2.28%	2.68%	4.12%	3.10%	3.34%	55.44	58.99	53.75	60.85
周度	6.40%	5.28%	6.13%	9.66%	6.82%	7.35%	53.42	61.23	49.90	65.55
月度	11.41%	8.50%	11.05%	19.99%	14.20%	15.29%	49.62	65.92	43.05	75.98
季度	21.02%	16.11%	17.94%	35.19%	24.60%	26.49%	44.72	73.14	34.97	93.54
Annual	—	—	—	—	49.20%	52.98%	34.97	93.54	21.38	152.99
Option Time Horizon	—	—	—	—	18.75%	20.19%	47.41	68.98	39.31	83.21

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $57.19 | Strike (K): $57.50 (first OTM call ≥ spot) | Observed Mid-价格: $4.2000 (Bid $3.9000 / Ask $4.5000) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.95% | Binomial IV (Annual): 49.20% (CRR binomial tree, American, n=20 steps) | BS IV: 48.88% (European Black-Scholes) | Yahoo IV (Annual): 52.98% → 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
2026-03-20	$0.1500
2025-12-18	$0.1300
2025-09-11	$0.1300
2025-06-18	$0.1300
2025-03-25	$0.1300
2024-12-18	$0.1100
2024-09-19	$0.1100
2024-06-20	$0.1100
2024-03-25	$0.1100
2023-12-12	$0.0900
2023-09-12	$0.0900
2023-06-14	$0.0900
2023-03-22	$0.0900
2022-12-19	$0.0750
2022-09-14	$0.0750
2022-06-15	$0.0750
2022-03-16	$0.0750

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.39. Further, an Excess 峰度 of 4.09 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.73%	6	0.43%	0.43%
-8.73% to -6.51%	13	0.93%	1.36%
-6.51% to -4.29%	41	2.94%	4.30%
-4.29% to -2.07%	204	14.62%	18.92%
-2.07% to 0.15%	471	33.76%	52.69%
0.15% to 2.37%	396	28.39%	81.08%
2.37% to 4.59%	185	13.26%	94.34%
4.59% to 6.81%	52	3.73%	98.06%
6.81% to 9.03%	16	1.15%	99.21%
Greater than 9.03%	11	0.79%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.81%	3.11%	74.77%	68.27%
±2σ	-5.77%	6.07%	96.06%	95.45%
±3σ	-8.73%	9.03%	98.78%	99.73%

Descriptive Statistics

均值	0.152%
Standard Error	0.079%
中位数	0.000%
Mode	2.533%
Standard Deviation	2.960%
Sample Variance	8.761%
峰度	4.09
偏度	0.39
Range	35.980%
Minimum	-17.699%
Maximum	18.281%
Count	1395

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.338%	695	49.82%	1.165%
负向	-2.027%	697	49.96%	-1.013%
Zero	0.000%	3	0.21%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.12%
20	1 Month	4.06%
60	1 Quarter	4.34%
250	1 Year	4.09%
750	3 Years	3.78%
1,250	5 Years	4.12%
2,500	10 Years	4.33%
5,000	20 Years	4.33%
12,500	50 Years	4.33%

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 2.77. Further, an Excess 峰度 of 14.08 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.62%	0	0.00%	0.00%
-2.62% to -0.91%	0	0.00%	0.00%
-0.91% to 0.80%	0	0.00%	0.00%
0.80% to 2.51%	246	17.62%	17.62%
2.51% to 4.22%	641	45.92%	63.54%
4.22% to 5.93%	300	21.49%	85.03%
5.93% to 7.64%	113	8.09%	93.12%
7.64% to 9.35%	50	3.58%	96.70%
9.35% to 11.06%	18	1.29%	97.99%
Greater than 11.06%	28	2.01%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.94%	6.50%	83.24%	68.27%
±2σ	-0.34%	8.78%	95.63%	95.45%
±3σ	-2.62%	11.06%	97.99%	99.73%

Descriptive Statistics

均值	4.219%
Standard Error	0.061%
中位数	3.700%
Mode	4.050%
Standard Deviation	2.281%
Sample Variance	5.204%
峰度	14.08
偏度	2.77
Range	23.082%
Minimum	1.101%
Maximum	24.183%
Count	1396

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.219%	1396	100.00%	4.219%
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 -0.16. Further, an Excess 峰度 of 4.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.01%	5	0.36%	0.36%
-8.01% to -6.00%	15	1.07%	1.43%
-6.00% to -4.00%	47	3.37%	4.80%
-4.00% to -1.99%	217	15.54%	20.34%
-1.99% to 0.02%	404	28.94%	49.28%
0.02% to 2.02%	444	31.81%	81.09%
2.02% to 4.03%	186	13.32%	94.41%
4.03% to 6.04%	57	4.08%	98.50%
6.04% to 8.04%	11	0.79%	99.28%
Greater than 8.04%	10	0.72%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.66%	2.69%	74.14%	68.27%
±2σ	-5.33%	5.37%	95.34%	95.45%
±3σ	-8.01%	8.04%	98.93%	99.73%

Descriptive Statistics

均值	0.017%
Standard Error	0.072%
中位数	0.051%
Mode	0.000%
Standard Deviation	2.676%
Sample Variance	7.159%
峰度	4.10
偏度	-0.16
Range	32.975%
Minimum	-18.893%
Maximum	14.082%
Count	1396

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.973%	709	50.79%	1.002%
负向	-2.019%	681	48.78%	-0.985%
Zero	0.000%	6	0.43%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.46. Further, an Excess 峰度 of 1.61 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.48%	1	0.34%	0.34%
-18.48% to -13.68%	1	0.34%	0.69%
-13.68% to -8.88%	11	3.79%	4.48%
-8.88% to -4.08%	58	20.00%	24.48%
-4.08% to 0.72%	83	28.62%	53.10%
0.72% to 5.52%	71	24.48%	77.59%
5.52% to 10.32%	47	16.21%	93.79%
10.32% to 15.12%	15	5.17%	98.97%
15.12% to 19.92%	1	0.34%	99.31%
Greater than 19.92%	2	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-5.68%	7.12%	72.41%	68.27%
±2σ	-12.08%	13.52%	96.21%	95.45%
±3σ	-18.48%	19.92%	98.97%	99.73%

Descriptive Statistics

均值	0.719%
Standard Error	0.376%
中位数	0.305%
Mode	0.434%
Standard Deviation	6.400%
Sample Variance	40.954%
峰度	1.61
偏度	0.46
Range	50.829%
Minimum	-20.215%
Maximum	30.614%
Count	290

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.534%	149	51.38%	2.843%
负向	-4.399%	140	48.28%	-2.124%
Zero	0.000%	1	0.34%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	8.29%
12	1 Quarter	8.39%
52	1 Year	9.39%
156	3 Years	8.89%
260	5 Years	9.66%
520	10 Years	10.01%
1,040	20 Years	10.01%
2,600	50 Years	10.01%

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

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -5.39%	0	0.00%	0.00%
-5.39% to -1.43%	0	0.00%	0.00%
-1.43% to 2.53%	0	0.00%	0.00%
2.53% to 6.49%	52	17.87%	17.87%
6.49% to 10.45%	125	42.96%	60.82%
10.45% to 14.40%	72	24.74%	85.57%
14.40% to 18.36%	21	7.22%	92.78%
18.36% to 22.32%	10	3.44%	96.22%
22.32% to 26.28%	7	2.41%	98.63%
Greater than 26.28%	4	1.37%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	5.17%	15.72%	82.13%	68.27%
±2σ	-0.11%	21.00%	96.22%	95.45%
±3σ	-5.39%	26.28%	98.63%	99.73%

Descriptive Statistics

均值	10.445%
Standard Error	0.309%
中位数	9.213%
Mode	7.576%
Standard Deviation	5.277%
Sample Variance	27.847%
峰度	8.39
偏度	2.33
Range	37.722%
Minimum	2.830%
Maximum	40.552%
Count	291

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.445%	291	100.00%	10.445%
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 0.11. Further, an Excess 峰度 of 1.35 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.65%	2	0.69%	0.69%
-18.65% to -14.05%	2	0.69%	1.37%
-14.05% to -9.45%	11	3.78%	5.15%
-9.45% to -4.85%	52	17.87%	23.02%
-4.85% to -0.25%	71	24.40%	47.42%
-0.25% to 4.35%	96	32.99%	80.41%
4.35% to 8.95%	41	14.09%	94.50%
8.95% to 13.55%	13	4.47%	98.97%
13.55% to 18.15%	1	0.34%	99.31%
Greater than 18.15%	2	0.69%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.38%	5.88%	70.79%	68.27%
±2σ	-12.52%	12.02%	96.56%	95.45%
±3σ	-18.65%	18.15%	98.63%	99.73%

Descriptive Statistics

均值	-0.249%
Standard Error	0.360%
中位数	-0.078%
Mode	-1.506%
Standard Deviation	6.133%
Sample Variance	37.610%
峰度	1.35
偏度	0.11
Range	47.340%
Minimum	-21.893%
Maximum	25.447%
Count	291

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.553%	144	49.48%	2.253%
负向	-4.988%	146	50.17%	-2.503%
Zero	0.000%	1	0.34%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.09. 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 -31.47%	0	0.00%	0.00%
-31.47% to -22.92%	1	1.52%	1.52%
-22.92% to -14.36%	2	3.03%	4.55%
-14.36% to -5.80%	14	21.21%	25.76%
-5.80% to 2.76%	16	24.24%	50.00%
2.76% to 11.31%	17	25.76%	75.76%
11.31% to 19.87%	12	18.18%	93.94%
19.87% to 28.43%	3	4.55%	98.48%
28.43% to 36.99%	1	1.52%	100.00%
Greater than 36.99%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-8.65%	14.17%	66.67%	68.27%
±2σ	-20.06%	25.58%	95.45%	95.45%
±3σ	-31.47%	36.99%	100.00%	99.73%

Descriptive Statistics

均值	2.756%
Standard Error	1.405%
中位数	3.161%
Mode	-22.922%
Standard Deviation	11.410%
Sample Variance	130.199%
峰度	-0.51
偏度	0.09
Range	52.872%
Minimum	-22.922%
Maximum	29.950%
Count	66

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	10.515%	39	59.09%	6.213%
负向	-8.452%	27	40.91%	-3.458%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	15.72%
12	1 Year	19.31%
36	3 Years	18.86%
60	5 Years	19.99%
120	10 Years	20.63%
240	20 Years	20.63%
600	50 Years	20.63%

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 1.40. Further, an Excess 峰度 of 3.56 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -2.54%	0	0.00%	0.00%
-2.54% to 3.83%	0	0.00%	0.00%
3.83% to 10.21%	0	0.00%	0.00%
10.21% to 16.58%	14	20.90%	20.90%
16.58% to 22.95%	25	37.31%	58.21%
22.95% to 29.32%	15	22.39%	80.60%
29.32% to 35.70%	7	10.45%	91.04%
35.70% to 42.07%	4	5.97%	97.01%
42.07% to 48.44%	1	1.49%	98.51%
Greater than 48.44%	1	1.49%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	14.45%	31.45%	71.64%	68.27%
±2σ	5.96%	39.95%	97.01%	95.45%
±3σ	-2.54%	48.44%	98.51%	99.73%

Descriptive Statistics

均值	22.951%
Standard Error	1.038%
中位数	22.023%
Mode	10.627%
Standard Deviation	8.497%
Sample Variance	72.207%
峰度	3.56
偏度	1.40
Range	47.899%
Minimum	10.627%
Maximum	58.526%
Count	67

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.951%	67	100.00%	22.951%
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 0.47. Further, an Excess 峰度 of -0.17 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -34.69%	0	0.00%	0.00%
-34.69% to -26.41%	0	0.00%	0.00%
-26.41% to -18.12%	4	5.97%	5.97%
-18.12% to -9.83%	11	16.42%	22.39%
-9.83% to -1.54%	22	32.84%	55.22%
-1.54% to 6.75%	15	22.39%	77.61%
6.75% to 15.03%	10	14.93%	92.54%
15.03% to 23.32%	4	5.97%	98.51%
23.32% to 31.61%	1	1.49%	100.00%
Greater than 31.61%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.59%	9.51%	68.66%	68.27%
±2σ	-23.64%	20.56%	97.01%	95.45%
±3σ	-34.69%	31.61%	100.00%	99.73%

Descriptive Statistics

均值	-1.542%
Standard Error	1.350%
中位数	-2.866%
Mode	-21.379%
Standard Deviation	11.050%
Sample Variance	122.107%
峰度	-0.17
偏度	0.47
Range	51.383%
Minimum	-21.379%
Maximum	30.004%
Count	67

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.172%	28	41.79%	3.833%
负向	-9.234%	39	58.21%	-5.375%
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 0.32. Further, an Excess 峰度 of -0.65 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -54.60%	0	0.00%	0.00%
-54.60% to -38.84%	0	0.00%	0.00%
-38.84% to -23.07%	2	9.09%	9.09%
-23.07% to -7.31%	1	4.55%	13.64%
-7.31% to 8.46%	9	40.91%	54.55%
8.46% to 24.22%	5	22.73%	77.27%
24.22% to 39.98%	2	9.09%	86.36%
39.98% to 55.75%	3	13.64%	100.00%
55.75% to 71.51%	0	0.00%	100.00%
Greater than 71.51%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.56%	29.47%	68.18%	68.27%
±2σ	-33.58%	50.49%	100.00%	95.45%
±3σ	-54.60%	71.51%	100.00%	99.73%

Descriptive Statistics

均值	8.456%
Standard Error	4.481%
中位数	3.508%
Mode	-27.779%
Standard Deviation	21.018%
Sample Variance	441.742%
峰度	-0.65
偏度	0.32
Range	74.038%
Minimum	-27.779%
Maximum	46.259%
Count	22

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	21.724%	13	59.09%	12.837%
负向	-10.709%	9	40.91%	-4.381%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.64%
12	3 Years	34.06%
20	5 Years	35.19%
40	10 Years	38.22%
80	20 Years	38.22%
200	50 Years	38.22%

高-to-低收益

Gram-Charlier Analysis: Data reveals Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.70. Further, an Excess 峰度 of 0.13 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.55%	0	0.00%	0.00%
-4.55% to 7.54%	0	0.00%	0.00%
7.54% to 19.62%	0	0.00%	0.00%
19.62% to 31.70%	6	26.09%	26.09%
31.70% to 43.79%	7	30.43%	56.52%
43.79% to 55.88%	5	21.74%	78.26%
55.88% to 67.96%	3	13.04%	91.30%
67.96% to 80.04%	2	8.70%	100.00%
80.04% to 92.13%	0	0.00%	100.00%
Greater than 92.13%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	27.68%	59.90%	65.22%	68.27%
±2σ	11.56%	76.02%	91.30%	95.45%
±3σ	-4.55%	92.13%	100.00%	99.73%

Descriptive Statistics

均值	43.790%
Standard Error	3.360%
中位数	42.120%
Mode	20.807%
Standard Deviation	16.113%
Sample Variance	259.617%
峰度	0.13
偏度	0.70
Range	59.233%
Minimum	20.807%
Maximum	80.040%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	43.790%	23	100.00%	43.790%
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 0.01 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.75%	0	0.00%	0.00%
-58.75% to -45.29%	0	0.00%	0.00%
-45.29% to -31.84%	0	0.00%	0.00%
-31.84% to -18.38%	5	21.74%	21.74%
-18.38% to -4.93%	6	26.09%	47.83%
-4.93% to 8.53%	8	34.78%	82.61%
8.53% to 21.98%	2	8.70%	91.30%
21.98% to 35.44%	2	8.70%	100.00%
35.44% to 48.90%	0	0.00%	100.00%
Greater than 48.90%	0	0.00%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-22.87%	13.01%	69.57%	68.27%
±2σ	-40.81%	30.96%	91.30%	95.45%
±3σ	-58.75%	48.90%	100.00%	99.73%

Descriptive Statistics

均值	-4.926%
Standard Error	3.741%
中位数	-3.952%
Mode	-30.279%
Standard Deviation	17.941%
Sample Variance	321.873%
峰度	0.01
偏度	0.54
Range	65.205%
Minimum	-30.279%
Maximum	34.926%
Count	23

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.911%	9	39.13%	5.052%
负向	-16.393%	14	60.87%	-9.978%
Zero	0.000%	0	0.00%	0.000%

ASO 深度分析报告