BJRI 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	3.78%	4.50%	3.61%	4.22%	3.54%	3.60%	34.49	37.02	33.29	38.35
周度	7.24%	9.91%	8.04%	9.82%	7.80%	7.94%	33.05	38.63	30.57	41.76
月度	13.80%	33.40%	20.97%	20.23%	16.23%	16.52%	30.38	42.03	25.83	49.43
季度	23.33%	76.97%	42.81%	32.54%	28.11%	28.61%	26.97	47.33	20.36	62.69
Annual	—	—	—	—	56.22%	57.23%	20.36	62.69	11.61	110.00
Option Time Horizon	—	—	—	—	21.22%	21.60%	28.90	44.18	23.37	54.62

Calculation Notes: Computed at 2026-03-23T17:45 UTC | Reference Contract: Call option expiring 2026-05-15 (52 days) | Spot 价格 (S): $35.73 | Strike (K): $37.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.4000 (Bid $0.6000 / Ask $4.2000) | Risk-Free Rate (r): 3.73% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 56.22% (CRR binomial tree, American, n=20 steps) | BS IV: 56.91% (European Black-Scholes) | Yahoo IV (Annual): 57.23% → 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
2020-03-09	$0.1300
2019-11-07	$0.1300
2019-08-09	$0.1200
2019-05-10	$0.1200
2019-03-11	$0.1200
2018-11-08	$0.1200
2018-08-10	$0.1100
2018-05-11	$0.1100
2018-03-12	$0.1100
2017-11-10	$0.1100

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.33. Further, an Excess 峰度 of 11.92 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.23%	52	0.72%	0.72%
-11.23% to -8.40%	55	0.76%	1.48%
-8.40% to -5.57%	197	2.73%	4.21%
-5.57% to -2.73%	704	9.75%	13.96%
-2.73% to 0.10%	2815	38.98%	52.94%
0.10% to 2.93%	2422	33.54%	86.48%
2.93% to 5.76%	630	8.72%	95.21%
5.76% to 8.59%	185	2.56%	97.77%
8.59% to 11.43%	71	0.98%	98.75%
Greater than 11.43%	90	1.25%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.68%	3.87%	81.69%	68.27%
±2σ	-7.45%	7.65%	94.95%	95.45%
±3σ	-11.23%	11.42%	98.03%	99.73%

Descriptive Statistics

均值	0.097%
Standard Error	0.044%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.776%
Sample Variance	14.261%
峰度	11.92
偏度	0.33
Range	75.027%
Minimum	-38.185%
Maximum	36.842%
Count	7221

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.595%	3480	48.19%	1.251%
负向	-2.411%	3454	47.83%	-1.153%
Zero	0.000%	287	3.98%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	3.20%
20	1 Month	3.94%
60	1 Quarter	4.01%
250	1 Year	3.70%
750	3 Years	3.74%
1,250	5 Years	4.22%
2,500	10 Years	4.23%
5,000	20 Years	3.91%
12,500	50 Years	4.68%

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 6.70. Further, an Excess 峰度 of 84.77 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.91%	0	0.00%	0.00%
-8.91% to -5.53%	0	0.00%	0.00%
-5.53% to -2.15%	0	0.00%	0.00%
-2.15% to 1.23%	154	2.13%	2.13%
1.23% to 4.61%	4820	66.74%	68.87%
4.61% to 7.99%	1478	20.47%	89.34%
7.99% to 11.36%	408	5.65%	94.99%
11.36% to 14.74%	158	2.19%	97.18%
14.74% to 18.12%	83	1.15%	98.32%
Greater than 18.12%	121	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	0.10%	9.11%	92.09%	68.27%
±2σ	-4.40%	13.62%	96.64%	95.45%
±3σ	-8.91%	18.12%	98.32%	99.73%

Descriptive Statistics

均值	4.607%
Standard Error	0.053%
中位数	3.426%
Mode	7.500%
Standard Deviation	4.505%
Sample Variance	20.294%
峰度	84.77
偏度	6.70
Range	94.893%
Minimum	0.229%
Maximum	95.122%
Count	7222

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.607%	7222	100.00%	4.607%
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 2.11. Further, an Excess 峰度 of 30.48 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -10.73%	52	0.72%	0.72%
-10.73% to -8.02%	62	0.86%	1.58%
-8.02% to -5.31%	184	2.55%	4.13%
-5.31% to -2.60%	693	9.60%	13.72%
-2.60% to 0.10%	2838	39.30%	53.02%
0.10% to 2.81%	2400	33.23%	86.25%
2.81% to 5.52%	677	9.37%	95.62%
5.52% to 8.23%	194	2.69%	98.31%
8.23% to 10.93%	51	0.71%	99.02%
Greater than 10.93%	71	0.98%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.51%	3.71%	82.11%	68.27%
±2σ	-7.12%	7.32%	95.47%	95.45%
±3σ	-10.73%	10.93%	98.30%	99.73%

Descriptive Statistics

均值	0.103%
Standard Error	0.042%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.610%
Sample Variance	13.035%
峰度	30.48
偏度	2.11
Range	83.021%
Minimum	-26.923%
Maximum	56.098%
Count	7222

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.440%	3489	48.31%	1.179%
负向	-2.249%	3453	47.81%	-1.075%
Zero	0.000%	280	3.88%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.10. Further, an Excess 峰度 of 7.42 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -21.32%	8	0.52%	0.52%
-21.32% to -15.89%	11	0.71%	1.23%
-15.89% to -10.46%	42	2.73%	3.96%
-10.46% to -5.04%	192	12.47%	16.43%
-5.04% to 0.39%	570	37.01%	53.44%
0.39% to 5.82%	464	30.13%	83.57%
5.82% to 11.25%	168	10.91%	94.48%
11.25% to 16.68%	46	2.99%	97.47%
16.68% to 22.11%	19	1.23%	98.70%
Greater than 22.11%	20	1.30%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.85%	7.63%	78.44%	68.27%
±2σ	-14.08%	14.87%	94.87%	95.45%
±3σ	-21.32%	22.11%	98.18%	99.73%

Descriptive Statistics

均值	0.393%
Standard Error	0.184%
中位数	0.000%
Mode	0.000%
Standard Deviation	7.238%
Sample Variance	52.395%
峰度	7.42
偏度	0.10
Range	99.316%
Minimum	-58.140%
Maximum	41.176%
Count	1540

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.408%	755	49.03%	2.651%
负向	-4.706%	739	47.99%	-2.258%
Zero	0.000%	46	2.99%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	7.91%
12	1 Quarter	8.77%
52	1 Year	8.35%
156	3 Years	8.70%
260	5 Years	9.82%
520	10 Years	9.76%
1,040	20 Years	9.06%
2,600	50 Years	10.32%

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 5.80. Further, an Excess 峰度 of 57.62 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -18.66%	0	0.00%	0.00%
-18.66% to -11.22%	0	0.00%	0.00%
-11.22% to -3.79%	0	0.00%	0.00%
-3.79% to 3.65%	65	4.22%	4.22%
3.65% to 11.08%	955	61.97%	66.19%
11.08% to 18.52%	330	21.41%	87.61%
18.52% to 25.95%	114	7.40%	95.00%
25.95% to 33.39%	40	2.60%	97.60%
33.39% to 40.82%	16	1.04%	98.64%
Greater than 40.82%	21	1.36%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.17%	21.00%	91.11%	68.27%
±2σ	-8.74%	30.91%	97.21%	95.45%
±3σ	-18.66%	40.82%	98.64%	99.73%

Descriptive Statistics

均值	11.084%
Standard Error	0.253%
中位数	8.504%
Mode	10.000%
Standard Deviation	9.913%
Sample Variance	98.275%
峰度	57.62
偏度	5.80
Range	151.979%
Minimum	0.962%
Maximum	152.941%
Count	1541

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.084%	1541	100.00%	11.084%
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 4.63. Further, an Excess 峰度 of 61.10 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -23.88%	0	0.00%	0.00%
-23.88% to -17.86%	13	0.84%	0.84%
-17.86% to -11.83%	46	2.99%	3.83%
-11.83% to -5.80%	173	11.23%	15.06%
-5.80% to 0.22%	572	37.12%	52.17%
0.22% to 6.25%	524	34.00%	86.18%
6.25% to 12.28%	158	10.25%	96.43%
12.28% to 18.30%	38	2.47%	98.90%
18.30% to 24.33%	4	0.26%	99.16%
Greater than 24.33%	13	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.81%	8.26%	81.89%	68.27%
±2σ	-15.85%	16.30%	96.63%	95.45%
±3σ	-23.88%	24.33%	99.16%	99.73%

Descriptive Statistics

均值	0.224%
Standard Error	0.205%
中位数	0.000%
Mode	0.000%
Standard Deviation	8.036%
Sample Variance	64.584%
峰度	61.10
偏度	4.63
Range	145.075%
Minimum	-22.853%
Maximum	122.222%
Count	1541

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	5.258%	748	48.54%	2.552%
负向	-4.770%	752	48.80%	-2.328%
Zero	0.000%	41	2.66%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.04. Further, an Excess 峰度 of 4.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -39.79%	2	0.56%	0.56%
-39.79% to -29.44%	0	0.00%	0.56%
-29.44% to -19.09%	12	3.39%	3.95%
-19.09% to -8.75%	52	14.69%	18.64%
-8.75% to 1.60%	120	33.90%	52.54%
1.60% to 11.95%	112	31.64%	84.18%
11.95% to 22.30%	40	11.30%	95.48%
22.30% to 32.65%	9	2.54%	98.02%
32.65% to 43.00%	4	1.13%	99.15%
Greater than 43.00%	3	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.20%	15.40%	74.58%	68.27%
±2σ	-25.99%	29.20%	96.05%	95.45%
±3σ	-39.79%	43.00%	98.59%	99.73%

Descriptive Statistics

均值	1.602%
Standard Error	0.733%
中位数	1.117%
Mode	0.000%
Standard Deviation	13.798%
Sample Variance	190.384%
峰度	4.95
偏度	0.04
Range	133.855%
Minimum	-76.163%
Maximum	57.692%
Count	354

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.168%	183	51.70%	5.773%
负向	-8.790%	168	47.46%	-4.172%
Zero	0.000%	3	0.85%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	15.53%
12	1 Year	18.54%
36	3 Years	18.24%
60	5 Years	20.23%
120	10 Years	20.74%
240	20 Years	19.15%
600	50 Years	21.33%

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 9.69. Further, an Excess 峰度 of 117.37 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -74.13%	0	0.00%	0.00%
-74.13% to -49.08%	0	0.00%	0.00%
-49.08% to -24.03%	0	0.00%	0.00%
-24.03% to 1.02%	0	0.00%	0.00%
1.02% to 26.06%	242	68.17%	68.17%
26.06% to 51.11%	96	27.04%	95.21%
51.11% to 76.16%	9	2.54%	97.75%
76.16% to 101.21%	2	0.56%	98.31%
101.21% to 126.25%	3	0.85%	99.15%
Greater than 126.25%	3	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-7.33%	59.46%	96.90%	68.27%
±2σ	-40.73%	92.86%	98.31%	95.45%
±3σ	-74.13%	126.25%	99.15%	99.73%

Descriptive Statistics

均值	26.064%
Standard Error	1.773%
中位数	20.282%
Mode	10.000%
Standard Deviation	33.397%
Sample Variance	1115.363%
峰度	117.37
偏度	9.69
Range	476.161%
Minimum	5.703%
Maximum	481.864%
Count	355

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	26.064%	355	100.00%	26.064%
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 8.30. Further, an Excess 峰度 of 106.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -61.88%	0	0.00%	0.00%
-61.88% to -46.15%	0	0.00%	0.00%
-46.15% to -30.42%	3	0.85%	0.85%
-30.42% to -14.69%	31	8.73%	9.58%
-14.69% to 1.04%	161	45.35%	54.93%
1.04% to 16.77%	133	37.46%	92.39%
16.77% to 32.50%	22	6.20%	98.59%
32.50% to 48.23%	2	0.56%	99.15%
48.23% to 63.96%	1	0.28%	99.44%
Greater than 63.96%	2	0.56%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-19.93%	22.01%	91.83%	68.27%
±2σ	-40.91%	42.98%	99.15%	95.45%
±3σ	-61.88%	63.96%	99.44%	99.73%

Descriptive Statistics

均值	1.038%
Standard Error	1.113%
中位数	-0.535%
Mode	0.000%
Standard Deviation	20.973%
Sample Variance	439.862%
峰度	106.97
偏度	8.30
Range	330.500%
Minimum	-40.256%
Maximum	290.244%
Count	355

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	12.011%	169	47.61%	5.718%
负向	-9.079%	183	51.55%	-4.680%
Zero	0.000%	3	0.84%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.45. Further, an Excess 峰度 of 2.67 proves the distribution possesses Fat Tails (高er Outlier Risk).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -65.42%	1	0.85%	0.85%
-65.42% to -47.93%	0	0.00%	0.85%
-47.93% to -30.43%	3	2.54%	3.39%
-30.43% to -12.94%	20	16.95%	20.34%
-12.94% to 4.56%	44	37.29%	57.63%
4.56% to 22.06%	25	21.19%	78.81%
22.06% to 39.55%	17	14.41%	93.22%
39.55% to 57.05%	6	5.08%	98.31%
57.05% to 74.55%	1	0.85%	99.15%
Greater than 74.55%	1	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-18.77%	27.89%	71.19%	68.27%
±2σ	-42.10%	51.22%	96.61%	95.45%
±3σ	-65.42%	74.55%	98.31%	99.73%

Descriptive Statistics

均值	4.562%
Standard Error	2.148%
中位数	0.870%
Mode	-80.000%
Standard Deviation	23.329%
Sample Variance	544.246%
峰度	2.67
偏度	0.45
Range	179.615%
Minimum	-80.000%
Maximum	99.615%
Count	118

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	19.920%	64	54.24%	10.804%
负向	-13.897%	53	44.91%	-6.242%
Zero	0.000%	1	0.85%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	34.11%
12	3 Years	32.02%
20	5 Years	32.54%
40	10 Years	36.30%
80	20 Years	33.35%
200	50 Years	36.93%

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 6.60. Further, an Excess 峰度 of 46.57 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -178.64%	0	0.00%	0.00%
-178.64% to -120.92%	0	0.00%	0.00%
-120.92% to -63.19%	0	0.00%	0.00%
-63.19% to -5.46%	0	0.00%	0.00%
-5.46% to 52.27%	89	74.79%	74.79%
52.27% to 109.99%	26	21.85%	96.64%
109.99% to 167.72%	1	0.84%	97.48%
167.72% to 225.44%	1	0.84%	98.32%
225.44% to 283.17%	0	0.00%	98.32%
Greater than 283.17%	2	1.68%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-24.70%	129.23%	97.48%	68.27%
±2σ	-101.67%	206.20%	98.32%	95.45%
±3σ	-178.64%	283.17%	98.32%	99.73%

Descriptive Statistics

均值	52.265%
Standard Error	7.056%
中位数	36.905%
Mode	30.388%
Standard Deviation	76.969%
Sample Variance	5924.155%
峰度	46.57
偏度	6.60
Range	627.523%
Minimum	12.410%
Maximum	639.933%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	52.265%	119	100.00%	52.265%
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 7.57. Further, an Excess 峰度 of 71.97 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -125.67%	0	0.00%	0.00%
-125.67% to -93.57%	0	0.00%	0.00%
-93.57% to -61.46%	0	0.00%	0.00%
-61.46% to -29.35%	5	4.20%	4.20%
-29.35% to 2.76%	66	55.46%	59.66%
2.76% to 34.87%	42	35.29%	94.96%
34.87% to 66.98%	4	3.36%	98.32%
66.98% to 99.08%	1	0.84%	99.16%
99.08% to 131.19%	0	0.00%	99.16%
Greater than 131.19%	1	0.84%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-40.05%	45.57%	95.80%	68.27%
±2σ	-82.86%	88.38%	99.16%	95.45%
±3σ	-125.67%	131.19%	99.16%	99.73%

Descriptive Statistics

均值	2.759%
Standard Error	3.924%
中位数	-0.389%
Mode	-26.667%
Standard Deviation	42.811%
Sample Variance	1832.789%
峰度	71.97
偏度	7.57
Range	465.294%
Minimum	-52.794%
Maximum	412.500%
Count	119

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.880%	55	46.22%	10.575%
负向	-14.763%	63	52.94%	-7.816%
Zero	0.000%	1	0.84%	0.000%

BJRI 深度分析报告