BMRN 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	3.11%	2.80%	2.70%	2.71%	2.83%	3.57%	51.70	54.71	50.26	56.27
周度	6.50%	7.04%	6.38%	6.19%	6.23%	7.86%	49.97	56.60	46.95	60.23
月度	13.80%	15.79%	13.73%	13.22%	12.96%	16.37%	46.72	60.54	41.04	68.92
季度	20.68%	27.62%	22.63%	22.47%	22.45%	28.36%	42.49	66.56	33.94	83.32
Annual	—	—	—	—	44.90%	56.71%	33.94	83.32	21.67	130.53
Option Time Horizon	—	—	—	—	17.11%	21.61%	44.82	63.10	37.77	74.88

Calculation Notes: Computed at 2026-04-26T02:47 UTC | Reference Contract: Call option expiring 2026-06-18 (53 days) | Spot 价格 (S): $53.18 | Strike (K): $57.50 (first OTM call ≥ spot) | Observed Mid-价格: $2.0500 (Bid $1.1500 / Ask $2.9500) | Risk-Free Rate (r): 3.69% (1-Month CMT, US Treasury) | Dividend Yield (q): 0.00% | Binomial IV (Annual): 44.90% (CRR binomial tree, American, n=20 steps) | BS IV: 44.38% (European Black-Scholes) | Yahoo IV (Annual): 56.71% → 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 Right Skewed (正向 Asymmetry) with a 偏度 factor of 0.64. Further, an Excess 峰度 of 16.66 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -9.26%	45	0.67%	0.67%
-9.26% to -6.93%	59	0.88%	1.55%
-6.93% to -4.60%	171	2.54%	4.09%
-4.60% to -2.26%	708	10.53%	14.62%
-2.26% to 0.07%	2501	37.20%	51.81%
0.07% to 2.40%	2275	33.83%	85.65%
2.40% to 4.73%	642	9.55%	95.20%
4.73% to 7.07%	191	2.84%	98.04%
7.07% to 9.40%	75	1.12%	99.15%
Greater than 9.40%	57	0.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-3.04%	3.18%	81.13%	68.27%
±2σ	-6.15%	6.29%	95.21%	95.45%
±3σ	-9.26%	9.40%	98.48%	99.73%

Descriptive Statistics

均值	0.069%
Standard Error	0.038%
中位数	0.000%
Mode	0.000%
Standard Deviation	3.110%
Sample Variance	9.675%
峰度	16.66
偏度	0.64
Range	69.894%
Minimum	-35.279%
Maximum	34.615%
Count	6724

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	2.116%	3318	49.35%	1.044%
负向	-1.986%	3300	49.08%	-0.975%
Zero	0.000%	106	1.58%	0.000%

Average True Range Percentage (ATRP)

Trading Days	Horizon	Average 日度 True Range %
5	1 Week	2.18%
20	1 Month	2.50%
60	1 Quarter	3.17%
250	1 Year	2.92%
750	3 Years	2.65%
1,250	5 Years	2.71%
2,500	10 Years	2.93%
5,000	20 Years	3.30%
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 3.22. Further, an Excess 峰度 of 18.33 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -4.50%	0	0.00%	0.00%
-4.50% to -2.40%	0	0.00%	0.00%
-2.40% to -0.30%	0	0.00%	0.00%
-0.30% to 1.79%	913	13.58%	13.58%
1.79% to 3.89%	3480	51.75%	65.32%
3.89% to 5.99%	1363	20.27%	85.59%
5.99% to 8.08%	524	7.79%	93.38%
8.08% to 10.18%	218	3.24%	96.62%
10.18% to 12.28%	101	1.50%	98.13%
Greater than 12.28%	126	1.87%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	1.09%	6.69%	87.81%	68.27%
±2σ	-1.70%	9.48%	95.70%	95.45%
±3σ	-4.50%	12.28%	98.13%	99.73%

Descriptive Statistics

均值	3.890%
Standard Error	0.034%
中位数	3.097%
Mode	4.000%
Standard Deviation	2.796%
Sample Variance	7.820%
峰度	18.33
偏度	3.22
Range	37.019%
Minimum	0.481%
Maximum	37.500%
Count	6725

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	3.890%	6725	100.00%	3.890%
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 0.34. Further, an Excess 峰度 of 7.14 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -8.09%	45	0.67%	0.67%
-8.09% to -6.06%	77	1.14%	1.81%
-6.06% to -4.03%	220	3.27%	5.09%
-4.03% to -2.00%	758	11.27%	16.36%
-2.00% to 0.03%	2295	34.13%	50.48%
0.03% to 2.06%	2258	33.58%	84.06%
2.06% to 4.08%	740	11.00%	95.06%
4.08% to 6.11%	197	2.93%	97.99%
6.11% to 8.14%	73	1.09%	99.08%
Greater than 8.14%	62	0.92%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-2.68%	2.73%	78.59%	68.27%
±2σ	-5.38%	5.44%	94.99%	95.45%
±3σ	-8.09%	8.14%	98.41%	99.73%

Descriptive Statistics

均值	0.027%
Standard Error	0.033%
中位数	0.000%
Mode	0.000%
Standard Deviation	2.704%
Sample Variance	7.311%
峰度	7.14
偏度	0.34
Range	47.997%
Minimum	-23.944%
Maximum	24.053%
Count	6725

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	1.888%	3356	49.90%	0.942%
负向	-1.880%	3274	48.68%	-0.915%
Zero	0.000%	95	1.41%	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 5.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.17%	9	0.64%	0.64%
-19.17% to -14.30%	10	0.72%	1.36%
-14.30% to -9.43%	46	3.30%	4.66%
-9.43% to -4.56%	172	12.32%	16.98%
-4.56% to 0.31%	482	34.53%	51.50%
0.31% to 5.18%	452	32.38%	83.88%
5.18% to 10.06%	149	10.67%	94.56%
10.06% to 14.93%	49	3.51%	98.07%
14.93% to 19.80%	15	1.07%	99.14%
Greater than 19.80%	12	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.18%	6.81%	77.65%	68.27%
±2σ	-12.68%	13.30%	95.06%	95.45%
±3σ	-19.17%	19.80%	98.50%	99.73%

Descriptive Statistics

均值	0.313%
Standard Error	0.174%
中位数	0.153%
Mode	0.000%
Standard Deviation	6.495%
Sample Variance	42.187%
峰度	5.95
偏度	0.25
Range	77.065%
Minimum	-38.907%
Maximum	38.158%
Count	1396

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.723%	714	51.15%	2.416%
负向	-4.381%	670	47.99%	-2.103%
Zero	0.000%	12	0.86%	0.000%

Average True Range Percentage (ATRP)

Weeks	Horizon	Average 周度 True Range %
4	1 Month	5.14%
12	1 Quarter	6.79%
52	1 Year	6.32%
156	3 Years	5.94%
260	5 Years	6.19%
520	10 Years	6.58%
1,040	20 Years	7.55%
2,600	50 Years	9.07%

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 2.82. Further, an Excess 峰度 of 11.84 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -11.56%	0	0.00%	0.00%
-11.56% to -6.28%	0	0.00%	0.00%
-6.28% to -1.00%	0	0.00%	0.00%
-1.00% to 4.28%	193	13.82%	13.82%
4.28% to 9.56%	725	51.90%	65.71%
9.56% to 14.84%	291	20.83%	86.54%
14.84% to 20.12%	90	6.44%	92.98%
20.12% to 25.40%	44	3.15%	96.13%
25.40% to 30.68%	23	1.65%	97.78%
Greater than 30.68%	31	2.22%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	2.52%	16.60%	88.69%	68.27%
±2σ	-4.52%	23.64%	95.20%	95.45%
±3σ	-11.56%	30.68%	97.78%	99.73%

Descriptive Statistics

均值	9.563%
Standard Error	0.188%
中位数	7.420%
Mode	3.895%
Standard Deviation	7.040%
Sample Variance	49.562%
峰度	11.84
偏度	2.82
Range	64.482%
Minimum	1.493%
Maximum	65.975%
Count	1397

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.563%	1397	100.00%	9.563%
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 1.52. Further, an Excess 峰度 of 12.44 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -19.07%	6	0.43%	0.43%
-19.07% to -14.29%	8	0.57%	1.00%
-14.29% to -9.50%	50	3.58%	4.58%
-9.50% to -4.72%	172	12.31%	16.89%
-4.72% to 0.06%	505	36.15%	53.04%
0.06% to 4.85%	442	31.64%	84.68%
4.85% to 9.63%	145	10.38%	95.06%
9.63% to 14.41%	38	2.72%	97.78%
14.41% to 19.19%	19	1.36%	99.14%
Greater than 19.19%	12	0.86%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-6.31%	6.44%	78.17%	68.27%
±2σ	-12.69%	12.82%	96.06%	95.45%
±3σ	-19.07%	19.19%	98.71%	99.73%

Descriptive Statistics

均值	0.063%
Standard Error	0.171%
中位数	-0.164%
Mode	0.000%
Standard Deviation	6.377%
Sample Variance	40.661%
峰度	12.44
偏度	1.52
Range	90.824%
Minimum	-27.619%
Maximum	63.205%
Count	1397

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	4.645%	663	47.46%	2.204%
负向	-4.132%	724	51.83%	-2.141%
Zero	0.000%	10	0.72%	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 1.59. Further, an Excess 峰度 of 14.95 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.05%	2	0.62%	0.62%
-40.05% to -29.70%	3	0.93%	1.56%
-29.70% to -19.34%	8	2.49%	4.05%
-19.34% to -8.99%	40	12.46%	16.51%
-8.99% to 1.36%	106	33.02%	49.53%
1.36% to 11.72%	114	35.51%	85.05%
11.72% to 22.07%	36	11.21%	96.26%
22.07% to 32.42%	8	2.49%	98.75%
32.42% to 42.78%	1	0.31%	99.07%
Greater than 42.78%	3	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-12.44%	15.17%	80.69%	68.27%
±2σ	-26.24%	28.97%	95.02%	95.45%
±3σ	-40.05%	42.78%	98.44%	99.73%

Descriptive Statistics

均值	1.364%
Standard Error	0.770%
中位数	1.443%
Mode	-49.824%
Standard Deviation	13.804%
Sample Variance	190.554%
峰度	14.95
偏度	1.59
Range	164.416%
Minimum	-49.824%
Maximum	114.592%
Count	321

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	9.755%	178	55.45%	5.409%
负向	-9.146%	142	44.24%	-4.046%
Zero	0.000%	1	0.31%	0.000%

Average True Range Percentage (ATRP)

Months	Horizon	Average 月度 True Range %
3	1 Quarter	13.52%
12	1 Year	13.03%
36	3 Years	12.72%
60	5 Years	13.22%
120	10 Years	13.97%
240	20 Years	15.85%
600	50 Years	19.20%

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 2.59. Further, an Excess 峰度 of 9.11 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -25.25%	0	0.00%	0.00%
-25.25% to -13.40%	0	0.00%	0.00%
-13.40% to -1.57%	0	0.00%	0.00%
-1.57% to 10.27%	36	11.18%	11.18%
10.27% to 22.11%	178	55.28%	66.46%
22.11% to 33.95%	62	19.25%	85.71%
33.95% to 45.79%	24	7.45%	93.17%
45.79% to 57.63%	9	2.80%	95.96%
57.63% to 69.47%	4	1.24%	97.20%
Greater than 69.47%	9	2.80%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	6.33%	37.90%	87.58%	68.27%
±2σ	-9.46%	53.69%	95.65%	95.45%
±3σ	-25.24%	69.47%	97.20%	99.73%

Descriptive Statistics

均值	22.113%
Standard Error	0.880%
中位数	16.939%
Mode	13.502%
Standard Deviation	15.786%
Sample Variance	249.209%
峰度	9.11
偏度	2.59
Range	118.920%
Minimum	5.641%
Maximum	124.561%
Count	322

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	22.113%	322	100.00%	22.113%
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 6.25 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -40.59%	1	0.31%	0.31%
-40.59% to -30.30%	1	0.31%	0.62%
-30.30% to -20.00%	8	2.48%	3.11%
-20.00% to -9.70%	44	13.66%	16.77%
-9.70% to 0.60%	130	40.37%	57.14%
0.60% to 10.90%	87	27.02%	84.16%
10.90% to 21.20%	36	11.18%	95.34%
21.20% to 31.49%	5	1.55%	96.89%
31.49% to 41.79%	3	0.93%	97.83%
Greater than 41.79%	7	2.17%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-13.13%	14.33%	81.68%	68.27%
±2σ	-26.86%	28.06%	95.34%	95.45%
±3σ	-40.59%	41.79%	97.52%	99.73%

Descriptive Statistics

均值	0.599%
Standard Error	0.765%
中位数	-1.286%
Mode	-9.845%
Standard Deviation	13.731%
Sample Variance	188.547%
峰度	6.25
偏度	1.39
Range	128.129%
Minimum	-54.000%
Maximum	74.129%
Count	322

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	11.342%	144	44.72%	5.072%
负向	-8.137%	177	54.97%	-4.473%
Zero	0.000%	1	0.31%	0.000%

收盘-to-收盘收益

Gram-Charlier Analysis: Data reveals Fairly Symmetrical with a 偏度 factor of 0.22. Further, an Excess 峰度 of 0.70 proves the distribution possesses Normal Tails (Mesokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -58.52%	0	0.00%	0.00%
-58.52% to -43.01%	2	1.87%	1.87%
-43.01% to -27.50%	6	5.61%	7.48%
-27.50% to -11.99%	10	9.35%	16.82%
-11.99% to 3.52%	36	33.64%	50.47%
3.52% to 19.03%	33	30.84%	81.31%
19.03% to 34.54%	13	12.15%	93.46%
34.54% to 50.05%	5	4.67%	98.13%
50.05% to 65.57%	1	0.93%	99.07%
Greater than 65.57%	1	0.93%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-17.16%	24.20%	73.83%	68.27%
±2σ	-37.84%	44.88%	92.52%	95.45%
±3σ	-58.52%	65.57%	99.07%	99.73%

Descriptive Statistics

均值	3.521%
Standard Error	1.999%
中位数	3.258%
Mode	-50.493%
Standard Deviation	20.682%
Sample Variance	427.763%
峰度	0.70
偏度	0.22
Range	116.384%
Minimum	-50.493%
Maximum	65.891%
Count	107

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	18.106%	57	53.27%	9.645%
负向	-13.106%	50	46.73%	-6.124%
Zero	0.000%	0	0.00%	0.000%

Average True Range Percentage (ATRP)

Quarters	Horizon	Average 季度 True Range %
4	1 Year	22.39%
12	3 Years	21.93%
20	5 Years	22.47%
40	10 Years	23.60%
80	20 Years	28.00%
200	50 Years	33.66%

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 2.40. Further, an Excess 峰度 of 8.28 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -41.31%	0	0.00%	0.00%
-41.31% to -20.59%	0	0.00%	0.00%
-20.59% to 0.13%	0	0.00%	0.00%
0.13% to 20.85%	19	17.59%	17.59%
20.85% to 41.56%	51	47.22%	64.81%
41.56% to 62.28%	22	20.37%	85.19%
62.28% to 83.00%	8	7.41%	92.59%
83.00% to 103.72%	4	3.70%	96.30%
103.72% to 124.43%	1	0.93%	97.22%
Greater than 124.43%	3	2.78%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	13.94%	69.19%	89.81%	68.27%
±2σ	-13.68%	96.81%	95.37%	95.45%
±3σ	-41.31%	124.43%	97.22%	99.73%

Descriptive Statistics

均值	41.563%
Standard Error	2.658%
中位数	32.369%
Mode	14.960%
Standard Deviation	27.623%
Sample Variance	763.032%
峰度	8.28
偏度	2.40
Range	174.514%
Minimum	14.960%
Maximum	189.474%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	41.563%	108	100.00%	41.563%
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 1.55. Further, an Excess 峰度 of 4.13 proves the distribution possesses Extreme Fat Tails (Frequent Outliers, Leptokurtic).

Bin Distribution Over Raw Range

Bin / Range	频率	Prob	Cum. Prob
Less than -66.79%	0	0.00%	0.00%
-66.79% to -49.81%	0	0.00%	0.00%
-49.81% to -32.84%	2	1.85%	1.85%
-32.84% to -15.87%	17	15.74%	17.59%
-15.87% to 1.11%	38	35.19%	52.78%
1.11% to 18.08%	36	33.33%	86.11%
18.08% to 35.06%	6	5.56%	91.67%
35.06% to 52.03%	4	3.70%	95.37%
52.03% to 69.00%	3	2.78%	98.15%
Greater than 69.00%	2	1.85%	100.00%

Standard Deviation Interval Analysis

SD	低er Bnd	Upper Bnd	Actual %	Normal %
±1σ	-21.52%	23.74%	77.78%	68.27%
±2σ	-44.16%	46.37%	94.44%	95.45%
±3σ	-66.79%	69.00%	98.15%	99.73%

Descriptive Statistics

均值	1.108%
Standard Error	2.178%
中位数	-1.293%
Mode	-40.654%
Standard Deviation	22.632%
Sample Variance	512.190%
峰度	4.13
偏度	1.55
Range	141.317%
Minimum	-40.654%
Maximum	100.663%
Count	108

频率 Breakdown

分类	Avg 收益	Count	概率	Freq Adj 收益
正向	17.550%	52	48.15%	8.450%
负向	-14.160%	56	51.85%	-7.342%
Zero	0.000%	0	0.00%	0.000%

BMRN 深度分析报告